Montecarlo #28
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Montecarlo #28
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The Matlab ut_nearposdef, and its python translation, result in large modifications of inputs even when there is only a single extremely tiny negative eigenvalue. The algorithm used here does not. The norm used, the Frobenius norm, seems like a reasonable choice for our purpose of generating an estimated variance-covariance matrix.
Substitute a non-iterative nearest-positive-definite algorithm.
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Let me know when this is ready to be merged. |
Fix bugs in ellipse_params; modify nearestSPD; add MC smoke test
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It's ready to merge now. |
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Implementation of MonteCarlo