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Nearest positive semi-definite covariance matrix

version 1.1.0.0 (5.08 KB) by Marco B.
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite

1K Downloads

Updated 12 Dec 2011

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The function performs a nonlinear, constrained optimization to find a positive semi-definite matrix that is closest (2-norm) to a symmetric matrix that is not positive semi-definite which the user provides to the function. The optimization is subject to the constraint that the output matrix' diagonal elements as well as its eigenvalues are non-negative.

Cite As

Marco B. (2021). Nearest positive semi-definite covariance matrix (https://www.mathworks.com/matlabcentral/fileexchange/34182-nearest-positive-semi-definite-covariance-matrix), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2009a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Acknowledgements

Inspired: nearestSPD

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