kissme.py 文件源码

def validate_cov_matrix(M):
    M = (M + M.T) * 0.5
    k = 0
    I = np.eye(M.shape[0])
    while True:
        try:
            _ = np.linalg.cholesky(M)
            break
        except np.linalg.LinAlgError:
            # Find the nearest positive definite matrix for M. Modified from
            # http://www.mathworks.com/matlabcentral/fileexchange/42885-nearestspd
            # Might take several minutes
            k += 1
            w, v = np.linalg.eig(M)
            min_eig = v.min()
            M += (-min_eig * k * k + np.spacing(min_eig)) * I
    return M