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  • Last update: 5 years ago
  • Total downloads: 57
  • Operating system: Linux, Mac OS X, Win All, BSD, Solaris
  • Publisher: Marco B (2 other programs)
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scripts default iconNearest positive semi-definite covariance matrix (Scripts) Publisher's description

The function performs a nonlinear

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

System Requirements:

MATLAB 7.8 (R2009a)
Program Release Status: New Release
Program Install Support: Install and Uninstall

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