Thanks a lot, Kjetil! On Mon, Jan 31, 2011 at 1:15 PM, Kjetil Halvorsen <kjetilbrinchmannhalvor...@gmail.com> wrote: > 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. >> >
-- Dimitri Liakhovitski Ninah Consulting www.ninah.com ______________________________________________ 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.
