[R] Regularization of a matrix that has some tiny negative eigenvalues
kjetilbrinchmannhalvorsen at gmail.com
Mon Jan 31 19:15:59 CET 2011
The Matrix package (which should already be insatlled on your
computer, since it is "Recommended") have the function
nearPD, which should do the job.
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?
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.
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