nearPD: Nearest symmetric positive definite matrix
In ZVCV: Zero-Variance Control Variates
nearPD R Documentation
Nearest symmetric positive definite matrix
Description
This function finds the nearest symmetric positive definite matrix to the given matrix.
It is used throughout the package to handle numerical issues in matrix inverses
and cholesky decompositions.
Usage
nearPD(K0)
Arguments
K0
A square matrix
Value
The closest symmetric positive definite matrix to K0.
Author(s)
Adapted from Matlab code by John D'Errico
References
Higham, N. J. (1988). Computing a nearest symmetric positive semidefinite matrix. Linear Algebra and its Applications, 103, 103-118.
D'Errico, J. (2013). nearestSPD Matlab function. https://uk.mathworks.com/matlabcentral/fileexchange/42885-nearestspd.
ZVCV documentation built on Nov. 2, 2022, 5:17 p.m.
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| nearPD | R Documentation |
Nearest symmetric positive definite matrix
Description
This function finds the nearest symmetric positive definite matrix to the given matrix. It is used throughout the package to handle numerical issues in matrix inverses and cholesky decompositions.
Usage
nearPD(K0)
Arguments
K0 |
A square matrix |
Value
The closest symmetric positive definite matrix to K0.
Author(s)
Adapted from Matlab code by John D'Errico
References
Higham, N. J. (1988). Computing a nearest symmetric positive semidefinite matrix. Linear Algebra and its Applications, 103, 103-118.
D'Errico, J. (2013). nearestSPD Matlab function. https://uk.mathworks.com/matlabcentral/fileexchange/42885-nearestspd.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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