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Nearest positive semi-definite covariance matrix 1.0

  Date Added: August 27, 2013  |  Visits: 210

Nearest positive semi-definite covariance matrix

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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

Requirements: No special requirements
Platforms: Matlab
Keyword: Constraint Diagonal Eigenvalues Elements Nonnegative Output Subject Symmetric
Users rating: 0/10

License: Shareware Size: 10 KB
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