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.
A square matrix
The closest symmetric positive definite matrix to K0.
Adapted from Matlab code by John D'Errico
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.
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