R/nearPD.R

##  Copyright (C) 2007-2019 Martin Maechler
##
## nearcor.R :
##  Copyright (C) 2007  Jens Oehlschlägel
##
##  This program is free software; you can redistribute it and/or modify
##  it under the terms of the GNU General Public License as published by
##  the Free Software Foundation; either version 2 of the License, or
##  (at your option) any later version.
##
##  This program is distributed in the hope that it will be useful,
##  but WITHOUT ANY WARRANTY; without even the implied warranty of
##  MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
##  GNU General Public License for more details.
##
##  A copy of the GNU General Public License is available at
##  https://www.R-project.org/Licenses/

nearPD <-
    ## Computes the nearest correlation matrix to an approximate
    ## correlation matrix, i.e. not positive semidefinite.
    function(x               # n-by-n approx covariance/correlation matrix
             , corr = FALSE, keepDiag = FALSE
             , base.matrix = FALSE # if TRUE return "base matrix" otherwise "dpoMatrix"
             , do2eigen = TRUE  # if TRUE do a sfsmisc::posdefify() eigen step
             , doSym = FALSE  # symmetrize after tcrossprod()
             , doDykstra = TRUE # do use Dykstra's correction
             , only.values = FALSE# if TRUE simply return lambda[j].
             , ensureSymmetry = !isSymmetric(x)# so user can set to FALSE iff she knows..
             , eig.tol   = 1e-6 # defines relative positiveness of eigenvalues compared to largest
             , conv.tol  = 1e-7 # convergence tolerance for algorithm
             , posd.tol  = 1e-8 # tolerance for enforcing positive definiteness
             , maxit    = 100L # maximum number of iterations allowed
             , conv.norm.type = "I"
             , trace = FALSE # set to TRUE (or 1 ..) to trace iterations
             )

{
    if(ensureSymmetry) { ## only if needed/wanted ...
	## message("applying nearPD() to symmpart(x)")
	x <- symmpart(x)
    }
    n <- ncol(x)
    if(keepDiag) diagX0 <- diag(x)

    if(doDykstra) {
        ## D_S should be like x, but filled with '0' -- following also works for 'Matrix':
        D_S <- x; D_S[] <- 0
    }
    X <- x
    iter <- 0L ; converged <- FALSE; conv <- Inf

    while (iter < maxit && !converged) {
        Y <- X
        if(doDykstra)
            R <- Y - D_S

        ## project onto PSD matrices  X_k  =  P_S (R_k)
        e <- eigen(if(doDykstra) R else Y, symmetric = TRUE)
        ##
        Q <- e$vectors
        d <- e$values ## D <- diag(d)

        ## create mask from relative positive eigenvalues
        p <- d > eig.tol*d[1]
	if(!any(p)) stop("Matrix seems negative semi-definite")

        ## use p mask to only compute 'positive' part
        Q <- Q[,p, drop = FALSE]
        ## X <- Q %*% D[p,p,drop = FALSE] %*% t(Q)  --- more efficiently :
        X <- tcrossprod(Q * rep(d[p], each=nrow(Q)), Q)

        if(doDykstra)
            ## update Dykstra's correction D_S = \Delta S_k
            D_S <- X - R

        ## project onto symmetric and possibly 'given diag' matrices:
        if(doSym)
            X <- (X + t(X))/2
	if(corr)
	    diag(X) <- 1
	else if(keepDiag)
	    diag(X) <- diagX0

        conv <- norm(Y-X, conv.norm.type) / norm(Y, conv.norm.type)
        iter <- iter + 1L
	if (trace)
	    cat(sprintf("iter %3d : #{p}=%d, ||Y-X|| / ||Y||= %11g\n",
			iter, sum(p), conv))
        converged <- (conv <= conv.tol)
    }

    if(!converged)
	warning(gettextf("'nearPD()' did not converge in %d iterations",
			 iter), domain = NA)

    ## force symmetry is *NEVER* needed, we have symmetric X here!
    ## X <- (X + t(X))/2
    if(do2eigen || only.values) { ## begin from posdefify(sfsmisc)
        e <- eigen(X, symmetric = TRUE)
        d <- e$values
        Eps <- posd.tol * abs(d[1])
        if (d[n] < Eps) {
            d[d < Eps] <- Eps
            if(!only.values) {
                Q <- e$vectors
                o.diag <- diag(X)
                X <- Q %*% (d * t(Q))
                D <- sqrt(pmax(Eps, o.diag)/diag(X))
                X[] <- D * X * rep(D, each = n)
            }
        }
        if(only.values) return(d)

        ## unneeded(?!): X <- (X + t(X))/2
	if(corr)
	    diag(X) <- 1
	else if(keepDiag)
	    diag(X) <- diagX0
    } ## end from posdefify(sfsmisc)

    structure(list(mat =
			if(base.matrix) X
			else new("dpoMatrix", x = as.vector(X),
				 Dim = c(n,n), Dimnames = .M.DN(x)),
                   eigenvalues = d,
                   corr = corr, normF = norm(x-X, "F"), iterations = iter,
		   rel.tol = conv, converged = converged),
	      class = "nearPD")
}

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Matrix documentation built on Nov. 11, 2022, 9:06 a.m.