Does Eigen have solution for repair non-positive defined covariance matrix

Question

Does Eigen contains an algorithm for solving nearest correlation matrix problems?

score 1 · Accepted Answer · answered Jul 19 '18 at 07:29

1

You can use the SelfAdjointEigenSolver to decompose your non-positive definite matrix, edit the negative eigenvalues to something slightly positive and (manually) re-compose the matrix.

answered Jul 19 '18 at 07:29

chtz

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Thanks, for the suggestion! I really appropriate it! – Gluttton Jul 19 '18 at 10:24

Does Eigen have solution for repair non-positive defined covariance matrix

1 Answers1