How to use 'if else' in this case?
1 view (last 30 days)
Show older comments
Armando MAROZZI
on 30 Dec 2020
Commented: Armando MAROZZI
on 30 Dec 2020
I have the following variance-covariance matrix which is not positive definite:
x = [183.5310 -0.4098 8.0035 -0.0333 -0.1818 -0.9685 0.2681 0.1241 -8.3334;
-0.4098 2.5004 0.7254 0.0150 0.2729 0.0262 0.0390 -0.0128 -0.5049;
8.0035 0.7254 163.7246 -0.0541 -1.1285 0.8830 -0.0161 -0.2604 -0.5571;
-0.0333 0.0150 -0.0541 0.0060 -1.4514 -2.4601 0.0049 -0.0071 -0.0297;
-0.1818 0.2729 -1.1285 -1.4514 -318.8469 -607.2140 -0.0163 -1.7903 -1.4473;
-0.9685 0.0262 0.8830 -2.4601 -607.2140 -924.7691 -0.1620 -2.8692 -1.1332;
0.2681 0.0390 -0.0161 0.0049 -0.0163 -0.1620 0.0772 -0.0070 -0.0476;
0.1241 -0.0128 -0.2604 -0.0071 -1.7903 -2.8692 -0.0070 0.0076 -0.0175;
-8.3334 -0.5049 -0.5571 -0.0297 -1.4473 -1.1332 -0.0476 -0.0175 21.2720]
I can correct it and make it positive definite in this way:
[V,D] = eig(x); % Calculate the eigendecomposition of your matrix (A = V*D*V')
% where "D" is a diagonal matrix holding the eigenvalues of your matrix "A"
d= diag(D); % Get the eigenvalues in a vector "d"
d(d <= 1e-7) = 1e-7; % Set any eigenvalues that are lower than threshold "TH" ("TH" here being
% equal to 1e-7) to a fixed non-zero "small" value (here assumed equal to 1e-7)
D_c = diag(d); % Built the "corrected" diagonal matrix "D_c"
PphiTilde = V*D_c*V'; % Recalculate your matrix "A" in its PD variant "A_PD"
Yet, I would like to write a code that says: if the matrix is not positive definite then do what I did above. I tried unsuccessfully:
if chol(x) == 'Matrix must be positive definite.'
[V,D] = eig(x); % Calculate the eigendecomposition of your matrix (A = V*D*V')
% where "D" is a diagonal matrix holding the eigenvalues of your matrix "A"
d= diag(D); % Get the eigenvalues in a vector "d"
d(d <= 1e-7) = 1e-7; % Set any eigenvalues that are lower than threshold "TH" ("TH" here being
% equal to 1e-7) to a fixed non-zero "small" value (here assumed equal to 1e-7)
D_c = diag(d); % Built the "corrected" diagonal matrix "D_c"
PphiTilde = V*D_c*V'; % Recalculate your matrix "A" in its PD variant "A_PD"
else x
end
Can anyone help me?
Thanks!
0 Comments
Accepted Answer
Steven Lord
on 30 Dec 2020
See the description of the second output from the chol function on its documentation page.
2 Comments
More Answers (0)
See Also
Categories
Find more on Linear Algebra in Help Center and File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!