Description Usage Arguments Details Value References
This function transforms a matrix to be positive definite.
1 | force.defpos(m, tol = 0.001, debug = FALSE)
|
m |
a matrix. |
tol |
tolerance. |
debug |
logical. If |
The scoring algorithm maxlik.fd.scoring
requires a positive definite matrix
to project the gradient into the optimal direction.
If that matrix happens to be non-positive definite then the matrix
M is transformed as described in Pollock (1999) pp. 341-342:
M = M + (μ - κ) I
where I is the identity matrix, μ is a tolerance value and κ is the smallest eigenvalue of M. Other alternatives are discussed in Nocedal and Wright (2006) chapter 3.
A positive definite matrix.
Nocedal, J. and Wright, J. W. (2006). Numerical Optimization. Springer-Verlag.
Pollock, D.S.G. (1999). A Handbook of Time-Series Analysis Signal Processing and Dynamics. Academic Press.
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