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Converts a non positive definite symmetric matrix to positive definite symmetric matrix

Function that transforms a non positive definite symmetric matrix to a positive definite.

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Updated 02 Apr 2012

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Function that transforms a non positive definite symmetric matrix to positive definite symmetric matrix -i.e. invertible-.

One particular case could be the inversion of a covariance matrix. The eigendecomposition of a matrix is used to add a small value to eigenvalues <= 0.

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MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux