Cholesky decomposition error while eigenvalues are positive

Niels Uitterdijk

2018 11 21

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For a Bayesian optimization I use the lower Cholesky decomposition. However, for a large interval the covariance matrices can have some zero eigenvalues which is not accepted for this decomposition. Adding a small diagonal is supposed to fix this. The eigenvalues are indeed positive but still I get an error saying the matrix is not positive definite.

Ensuring the matrix is symmetric does not help either (

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Niels Uitterdijk 2018-11-21

Large positive, 77.9.

As a sidenote, I do occasionaly get complex eigenvalues for certain intervals. Trying to fix this by forcing the matrix to be symmetric pushes the eigenvalues to be negative (-7.3).