title: How can I calculate the nearest positive semi-definite matrix?
body: <p>I'm coming to Python from R and trying to reproduce a number of things that I'm used to doing in R using Python. The Matrix library for R has a very nifty function called <code>nearPD()</code> which finds the closest positive semi-definite (PSD) matrix to a given matrix. While I could code something up, being new to Python/Numpy I don't feel too excited about reinventing the wheel if something is already out there. Any tips on an existing implementation in Python?</p>