Converts a non positive definite symmetric matrix to positive definite symmetric matrix
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.
Cite As
Felix Fernando González-Navarro (2024). Converts a non positive definite symmetric matrix to positive definite symmetric matrix (https://www.mathworks.com/matlabcentral/fileexchange/35938-converts-a-non-positive-definite-symmetric-matrix-to-positive-definite-symmetric-matrix), MATLAB Central File Exchange. Retrieved .
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- MATLAB > Mathematics > Linear Algebra >
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