Why does this rank 1 cholupdate result in a matrix with negative eigenvalues?

2 次查看（过去 30 天）

Kyle J 2017-8-30

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/354639-why-does-this-rank-1-cholupdate-result-in-a-matrix-with-negative-eigenvalues

I'm trying to use rank 1 cholesky updates to ensure positive-definiteness of my matrices. However, the resulting matrices has small negative eigenvalues, and I'm not sure what I can do about it. Suggestions?

Y1 = cov(series(:,1:start)');
tmp = chol(Y1);
count=0;
for t = start+1:size(series,2)
      count = count+1;
      tmp = cholupdate(tmp,series(:,t)); 
      Y(:,:,count) = tmp'*tmp;
  end