Timeline for Square root of non-positive definite matrix
Current License: CC BY-SA 2.5
3 events
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| Oct 28, 2010 at 23:09 | comment | added | J. M. isn't a mathematician | @Will: yep. Here: netlib.org/linpack/dchdc.f in fact is the LINPACK FORTRAN routine for pivoted Cholesky. However, there is now LAPACK, the successor to LINPACK, and it has a FORTRAN routine as well: netlib.org/lapack/double/dpstrf.f . | |
| Oct 28, 2010 at 16:18 | comment | added | Will Jagy | This is nice, J.M. My sense is that the OP needs a canned routine, and evidently LINPACK has that, as Higham says. Good to know there is a simple way to push all the near-zero quantities away, while still in the middle of the algorithm. | |
| Oct 28, 2010 at 9:08 | history | answered | J. M. isn't a mathematician | CC BY-SA 2.5 |