3 ms·
Oh no... I used his work on nearest positive semidefinite matrices and liked to read his blog. In my opinion, he was very good in explaining his research.
by pvitz 2y ago
Oh no... I used his work on nearest positive semidefinite matrices and liked to read his blog. In my opinion, he was very good in explaining his research.
- abhgh 2y agoThanks for mentioning that. It's a problem I occasionally need to solve and based on your comment, I found this helpful write up by Nick Higham [1]. [1] https://nhigham.com/2021/01/26/what-is-the-nearest-positive-semidefinite-matrix/ https://nhigham.com/2021/01/26/what-is-the-nearest-positive-...
- pvitz 2y agoIn my case, I am applying this in the calibration of instantaneous correlation matrices. His relevant papers can be found at [0]. It was really helpful that he also published MATLAB code of most of his algorithms. [0] https://nhigham.com/correlation-matrices/ https://nhigham.com/correlation-matrices/