Preserving positive-definiteness after thresholding and inversion
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Hello,
I'm observing some unexpected behavior in matlab after the following steps:
a) start with a non-definite symmetric matrix X (of n >= 10)
b) do an eigen decomposition of X and set all negative eigenvalues to 0
c) reconstruct X_hat and X_hat_inverse - which should be positive semi-definite.
d) check the eigenvalues of X_hat and X_hat_inverse
Both these matrices sometimes turn out to have negative (albeit very small) values !
Here's some code for that:
X = rand(1000,10);
X = X'*X/1000;
eig(X) % all positive
X(X(:)<0.25) = 0 % no longer psd
[uu_,dd_] = eig(X);
dd_( dd_(:)<0 ) = 0;
X_hat = uu_*dd_*uu_';
X_hat_inv = uu_*pinv(dd_)*uu_';
eig(X_hat) %negative e.v.s !!
eig(X_hat_inv) % complex e.v.s !!!
are these acceptable numerical errors - or is something wrong ?
Thanks -fj
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the cyclist
2013-5-19
The numerical errors here are exactly of the magnitude I expect. You can use the eps() function to help gauge that error.
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