Nearest positive semi-definite covariance matrix
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 .
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- MATLAB > Mathematics > Linear Algebra >
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Inspiración para: nearestSPD
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