Re: [R] Regularization of a matrix that has some tiny negative eigenvalues

2011-01-31 Thread Dimitri Liakhovitski
Thanks a lot, Kjetil! On Mon, Jan 31, 2011 at 1:15 PM, Kjetil Halvorsen 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 Liakho

Re: [R] Regularization of a matrix that has some tiny negative eigenvalues

2011-01-31 Thread Kjetil Halvorsen
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 wrote: > Dear all: > > In what I am doing I sometimes get a (Hessian) matrix that has

[R] Regularization of a matrix that has some tiny negative eigenvalues

2011-01-28 Thread Dimitri Liakhovitski
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