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

Dimitri Liakhovitski dimitri.liakhovitski at gmail.com
Sat Jan 29 05:32:21 CET 2011

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?

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