The Matrix package (which should already be insatlled on your computer, since it is "Recommended") have the function nearPD, which should do the job.
Kjetil On Sat, Jan 29, 2011 at 1:32 AM, Dimitri Liakhovitski <dimitri.liakhovit...@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? > Dimitri > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
