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Use Scipy's eigh instead of Numpy's to avoid convergence error #311

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merged 4 commits into from
Apr 12, 2022
Merged

Use Scipy's eigh instead of Numpy's to avoid convergence error #311

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5f6ad2d
Use Scipy's eigh instead of Numpy's to avoid convergence error
Apr 12, 2022
3b1bf8c
fix error
Apr 12, 2022
96d8854
Merge branch 'main' into fix/eigh_convergence
luisfabib Apr 12, 2022
8d1b96e
Merge branch 'main' into fix/eigh_convergence
luisfabib Apr 12, 2022
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5 changes: 4 additions & 1 deletion deerlab/utils/utils.py
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Original file line number Diff line number Diff line change
Expand Up @@ -558,10 +558,13 @@ def nearest_psd(A):
How can I calculate the nearest positive semi-definite matrix?
StackOverflow, https://stackoverflow.com/a/63131250/16396391
"""
# If matrix is empty, return it empty (scipy.linalg.eigh cannot deal with empty matrix)
if A.size==0:
return A
# Symmetrize the matrix
Asym = (A + A.T)/2
# Construct positive semi-definite matrix via eigenvalue decomposition
eigval, eigvec = np.linalg.eigh(Asym)
eigval, eigvec = scp.linalg.eigh(Asym)
eigval[eigval < 0] = 0
Cpsd = np.real(eigvec.dot(np.diag(eigval)).dot(eigvec.T))
# Avoid round-off errors
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