The POSDfitCov.xlsx Model

Finding a Positive Semi-definite Matrix Using the WBPOSD Constraint

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Finding a Positive Semi-definite Matrix Using the WBPOSD Constraint.
We have a "guesstimate" matrix that we would like to use as a covariance matrix. Unfortunately it is not positive semi-definite, so it is not a valid covariance matrix. We want to find a matrix that is positive semi-definte that is close to the original matrix.

Keywords:

Positive Definite | SDP | Covariance |