function [Xf]=nspd(A)


% function [Xf]=nspd(A)
% checks whether a matrix A is symmetric positive definite (SPD), and if not, computes the nearest SPD matrix to A.
% typically, A is either SPD, or close to SPD but not recognised as such because of a very small numerical perturbation
% this functions helps to fix the problem by producing a matrix Xf that is for sure SPD
% it uses the methodology proposed by N.J Highams (1988): 'Computing a nearest symmetric positive semidefinite matrix',Linear Algebra and its Applications, No. 103
% inputs:  - matrix A: must be a square matrix
% outputs: - matrix 'Xf': the closest symmetric positive definite matrix to A




% first, check if the matrix is SPD by attempting to take the choleski factor
[~,test1]=chol(A,'lower');


% if it is SPD in the first place (test value=0), no need to apply any change
if test1<1
Xf=A;


% if it is not SPD, fix it
elseif test1>=1

% obtain the matrix Xf by applying theorem 2.1

% create B, as defined in theorem 2.1
B=(A+A')/2;
% produce the polar decomposition of B
% first, implement a singular value decomposition of B
[U,S,V]=svd(B);
% then recover the polar matrix H from the singular value decomposition formula: H=V*S*V'
H=V*S*V';
% finally, recover Xf from the formula in theorem 2.1: Xf=(B+H)/2
Xf=(B+H)/2;
% ensure symmetry

Xf=(Xf+Xf')/2;

% now the matrix should be symmetric positive definite: test again
[~,test2]=chol(Xf,'lower');

   % if the test is passed and Choleski factorisation was possible (test2=0), then Xf needs no further work;
   if test2<1
   
   % if the test is not passed, it must be because of some very small numerical disturbance
   % hence keep modifying Xf very slightly until it becomes SPD
   elseif test2>=1
      n=1;
      while test2>=1
      mineig=min(eig(Xf));
      Xf=Xf+(-mineig*n.^2+eps(mineig)+0.0000000000000000001)*eye(size(Xf)); 
      % test again
      [~,test2]=chol(Xf,'lower');
      n=n+1;
      end

   end

end
















european-central-bank
github-repos/MATLAB/european-central-bank-BEAR-toolbox/BEAR-toolbox-f33aae80c40f7a2e78a54de99b2ce3663f59aa75/tbx/bear/+bear/nspd.m
BEAR-toolbox
github-repos/MATLAB/european-central-bank-BEAR-toolbox
f33aae80c40f7a2e78a54de99b2ce3663f59aa75