This functions returns the nearest (minimizing the Frobenius norm of the difference) symmetric and positive definite matrix to a supplied square matrix which can be real or complex. It is particularly useful for ensuring that estimated covariance or cross-spectral matrices have the expected properties of these classes.
By default, it uses the method of Nicholas Highgam:
Higham NJ. Computing a nearest symmetric positive semidefinite matrix.
Linear algebra and its applications. 1988 May 1;103:103-18.
This function was modified from nearestSPD.m by John D'Errico
Most importantly I added support for complex matrices, which must be Hermitian rather than symmetric.
I also added the 'eig' method and made other small changes.
Burke Rosen (2021). nearestPSD (https://www.mathworks.com/matlabcentral/fileexchange/73742-nearestpsd), MATLAB Central File Exchange. Retrieved .
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Inspired by: nearestSPD
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