Nearest positive semi-definite covariance matrix 1.0

Date Added: August 27, 2013 | Visits: 375

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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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