Nearest positive semi-definite covariance matrix

Find nearest positive semi-definite matrix to a symmetric matrix that is not positive semi-definite

Version 1.1.0 (5.04 KB)
1.1K Downloads
(1)
12 Dec 2011
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Cite As

Marco B. (2026). Nearest positive semi-definite covariance matrix (https://in.mathworks.com/matlabcentral/fileexchange/34182-nearest-positive-semi-definite-covariance-matrix), MATLAB Central File Exchange. Retrieved .

Acknowledgements

Inspired: nearestSPD

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General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
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Version Published Release Notes
1.1.0

Example input matrix added
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1.0.0

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