Nearest positive semi-definite covariance matrix

Versión 1.1.0.0 (5,08 KB) por Marco B.
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite
1.0
(1)
1,1K descargas
Actualizado 12 dic 2011

Ver licencia

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.

Citar como

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. Recuperado .

Compatibilidad con la versión de MATLAB
Se creó con R2009a
Compatible con cualquier versión
Compatibilidad con las plataformas
Windows macOS Linux
Categorías
Más información sobre Linear Algebra en Help Center y MATLAB Answers.
Agradecimientos

Inspiración para: nearestSPD

Community Treasure Hunt

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

Start Hunting!

Versión Publicado Notas de la versión
1.1.0.0

Example input matrix added
1.0.0.0