[R] Regularization of a matrix that has some tiny negative eigenvalues

[Dimitri Liakhovitski]

Thanks a lot, Kjetil!

On Mon, Jan 31, 2011 at 1:15 PM, Kjetil Halvorsen
<kjetilbrinchmannhalvorsen at gmail.com> wrote:
> The Matrix package (which should already be insatlled on your
> computer, since it is "Recommended") have the function
> nearPD, which should do the job.
>
> Kjetil
>
> On Sat, Jan 29, 2011 at 1:32 AM, Dimitri Liakhovitski
> <dimitri.liakhovitski at gmail.com> wrote:
>> Dear all:
>>
>> In what I am doing I sometimes get a (Hessian) matrix that has a
>> couple of tiny negative eigenvalues (e.g. -6 * 10^-17). So, I can't
>> run a Cholesky decomp on it - but I need to.
>> Is there an established way to regularize my (Hessian) matrix (e.g.,
>> via some transformation) that would allow me to get a semi-positive
>> definite matrix to be used in Cholesky decomp?
>>
>> Or should I try some other decomp method on the back end that is less
>> sensitive than Cholesky?
>> Dimitri
>>
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>> and provide commented, minimal, self-contained, reproducible code.
>>
>



-- 
Dimitri Liakhovitski
Ninah Consulting
www.ninah.com