Nearest positive semi-definite covariance matrix

Version 1.1.0.0 (5,08 ko) par Marco B.
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite
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Mise à jour 12 déc. 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.

Citation pour cette source

Marco B. (2024). Nearest positive semi-definite covariance matrix (https://www.mathworks.com/matlabcentral/fileexchange/34182-nearest-positive-semi-definite-covariance-matrix), MATLAB Central File Exchange. Récupéré le .

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Version Publié le Notes de version
1.1.0.0

Example input matrix added

1.0.0.0