Nearest positive semi-definite covariance matrix

Version 1.1.0.0 (5,08 KB) von Marco B.
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite
1.0
(1)
1,1K Downloads
Aktualisiert 12. Dez 2011

Lizenz anzeigen

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.

Zitieren als

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. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2009a
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Linear Algebra finden Sie in Help Center und MATLAB Answers
Quellenangaben

Inspiriert: nearestSPD

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Version Veröffentlicht Versionshinweise
1.1.0.0

Example input matrix added
1.0.0.0