[R] spectral decomposition for near-singular pd matrices

Prasenjit Kapat kapatp at gmail.com
Wed Jul 16 23:27:17 CEST 2008


I have a matrix M, quite a few (< 1/4th) of its eigen values are of
O(10^-16). Analytically I know that M is positive definite, but
numerically of course it is not. Some of the small (O(10^-16)) eigen
values (as obtained from eigen()) are negative. It is the
near-singularity that is causing the numerical errors. I could use
svd(), but then the left ($u) and right ($v) vectors are not
identical, again numerical errors. Is there any function that imposes
pd property while calculating the eigen decomposition.


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