Positive definite matrix, least square minimization
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Hi, I am trying to solve a constrained least square minimization problem, which will give me a X_{vec}=(15 x 1) matrix. I will be later converting these 15 elements to a symmetric (5 x 5) matrix called X. Is there any way to constriant the elements of the solution X_{vec} of the constrained LSQ minimization problem such that my X will be a positive definite matrix? Thanks a lot in advance!
Accepted Answer
Torsten
on 7 Apr 2016
Edited: Torsten
on 7 Apr 2016
Add the constraints that the five sub-determinants of X have to be positive and use fmincon to solve.
Best wishes
Torsten.
15 Comments
Torsten
on 11 Apr 2016
1. If possible, start with a feasible solution.
2. Strengthening the tolerances means: Choose a smaller value than the default (i.e. options.TolCon < default value)).
Best wishes
Torsten.
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