Cholesky decomposition error while eigenvalues are positive
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For a Bayesian optimization I use the lower Cholesky decomposition. However, for a large interval the covariance matrices can have some zero eigenvalues which is not accepted for this decomposition. Adding a small diagonal is supposed to fix this. The eigenvalues are indeed positive but still I get an error saying the matrix is not positive definite.
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/196065/image.png)
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/196066/image.png)
Ensuring the matrix is symmetric does not help either (
)
![](https://www.mathworks.com/matlabcentral/answers/uploaded_files/196067/image.png)
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