Nearest positive semi-definite covariance matrix
Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite
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The function performs a nonlinear, constrained optimization to find a positive semi-definite matrix that is closest (2-norm) to a symmetric matrix that is not positive semi-definite which the user provides to the function. The optimization is subject to the constraint that the output matrix' diagonal elements as well as its eigenvalues are non-negative.
Cite As
Marco B. (2026). Nearest positive semi-definite covariance matrix (https://au.mathworks.com/matlabcentral/fileexchange/34182-nearest-positive-semi-definite-covariance-matrix), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired: nearestSPD
General Information
- Version 1.1.0.0 (5.08 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
