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incosistent matrix multiplication and probelm with covarince matrix

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Abhinav
Abhinav on 11 Sep 2017
Edited: Matt J on 11 Sep 2017
I have a covariance matrix (S) which was computed using
S=J*C*J';
where C is a diagonal matrix and J is another matrix. Both C and J are functions of some parameters. My problem is that the matrix S should be symmetric as is clear from the above expression. But MatLab does not return a symmetric covariance matrix. I checked it by computing Q:
Q=S-S';
Now, all the elements of Q should be zeros. But they are not as you can see in attached Q.mat file. I understand that this may be due to small some floating point arithmetic but I need it to be exactly symmetric because otherwise, my eigenvalues become complex which is physical implausibility. I have tried a fix for this
ST=triu(S); % get upper-triangular elemnets of S
S=ST+ST'-diag(diag(S));
It makes my matrix symmetric. But the next problem is that since it is a covariance matrix it should be positive-definite (at-least semi-positive definite) but it gives me very small negative eigenvalues which again might be due to floating point arithmetic. So I fix this again by forcefully making the negative eigenvalues equal to zero as follows
[V,D]=eig(S);
D(D<0)=0;
S=V*D*V';
It removes the negative eigenvalue problem but it again makes the matrix not exactly-symmetric. So it seems that I am trapped in this cycle. Any suggestion for possible solutions?

Accepted Answer

Matt J
Matt J on 11 Sep 2017
Edited: Matt J on 11 Sep 2017
The really best solution would be to get rid of redundant rows of J (because why would you want the covariance of redundant variables?), so that S will be strictly positive definite. Using the attached file,
Jr=licols(J')';
S=Jr*C*Jr';
S=(S+S')/2;
Now, even small floating point errors shouldn't produce negative eigenvalues since they are strictly bounded away from zero.

More Answers (2)

Matt J
Matt J on 11 Sep 2017
Edited: Matt J on 11 Sep 2017
I think a better way to make the matrix symmetric is S=(S+S.')/2
As for negative eigenvalues, the real question is where in your code are eigenvalues evaluated and how are they used? Can't you just make your own customized eig function that trims out the imaginary and negative junk that you know to be false, e.g.
function vals=eig_semidef(S)
%more accurate eigenvalue computation knowing that input S is non-neg. definite
vals=max(real(eig(S)),0);
  4 Comments
Matt J
Matt J on 11 Sep 2017
Well actually, that's not completely true. There is error in both the eig() computation and the evaluation of S=J*C*J'.
It comes to the same thing, though. You must make the rest of your application tolerant to non-ideal, inexact math.

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Christine Tobler
Christine Tobler on 11 Sep 2017
A way to avoid computing negative eigenvalues is to work only on a part of the matrix:
S2 = J*sqrt(C);
%implicitly, S = S2 * S2', but we do not compute this here
[U, D, V] = svd(S2); % S2 = U*D*V'
% Therefore, S = S2 * S2' = U*D*V'*V*D*U' = U * D^2 * U'
D = D^2;
% U are the eigenvectors of S, and D contains the eigenvalues on the diagonal.
This is guaranteed to return only real non-negative eigenvalues, and is also more numerically accurate to the original input J, because you are not introducing floating-point error in the matrix multiplication of J*C*J'. (J*sqrt(C) is just rescaling each column, so there's not as much error introduced).
  2 Comments
Abhinav
Abhinav on 11 Sep 2017
I need S matrix in my further computations. So, first two lines of the code remove the non-symmetric problem. Thanks a lot!

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