How to make matrix positive definite (when it is not)?

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Discussion Overview

The discussion revolves around methods to transform a non-positive definite matrix into a positive definite one. Participants explore theoretical approaches and practical techniques, including eigenvalue manipulation and singular value decomposition, without seeking specific numerical solutions.

Discussion Character

  • Exploratory, Technical explanation, Debate/contested

Main Points Raised

  • One participant inquires about general approaches to making a matrix positive definite, mentioning singular value decomposition and eigenvalues as potential methods.
  • Another participant questions the meaning of "making" a matrix positive definite, emphasizing the need to clarify the relationship between the original and the transformed matrix.
  • A third participant acknowledges a misunderstanding regarding the transformation process and mentions an error in constructing the matrix, suggesting that the issue may have been resolved.
  • An engineering perspective is offered, proposing to obtain the eigen decomposition of the matrix and replace negative eigenvalues with zeroes as a method to achieve positive definiteness.

Areas of Agreement / Disagreement

Participants express differing views on the feasibility and interpretation of "making" a matrix positive definite, indicating that the discussion remains unresolved regarding the best approach and the implications of such transformations.

Contextual Notes

There are limitations regarding the assumptions about the relationship between the original and modified matrices, as well as the specific conditions under which the proposed methods would be applicable.

colstat
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Suppose I have a matrix that looks like this
[,1] [,2]
[1,] 2.415212e-09 9.748863e-10
[2,] -2.415212e-09 5.029136e-10

How do I make it positive definite? I am not looking for specific numerical value answer, but a general approach to this problem.

I have heard singular value decomposition, or getting some eigenvalue? Is that correct?
 
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What do you mean by "make" a matrix positive definite? Since this matrix is NOT positive definite you must mean to change it into one that is. What is the relationship of this new matrix to the original supposed to be?
 
HallsofIvy said:
What do you mean by "make" a matrix positive definite? Since this matrix is NOT positive definite you must mean to change it into one that is. What is the relationship of this new matrix to the original supposed to be?

I was hoping to "make" it positive using some trick, but after looking around again I am wrong. Like you said, if it's NOT positive definite, then it's not.

I also realized there's an error when putting together the matrix. So, problem solved I guess.
 
From an engineer point of view what I would do if I had a non-positive definite matrix is:
  1. Obtain its eigen decomposition.
  2. Changes the negative eigenvalues for zeroes.
 

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