diff toolboxes/FullBNT-1.0.7/KPMtools/checkpsd.m @ 0:e9a9cd732c1e tip

first hg version after svn

--- /dev/null	Thu Jan 01 00:00:00 1970 +0000
+++ b/toolboxes/FullBNT-1.0.7/KPMtools/checkpsd.m	Tue Feb 10 15:05:51 2015 +0000
@@ -0,0 +1,15 @@
+function s = checkpsd(s)
+
+if (any(isnan(s) | isinf(s) | ~isreal(s)))
+  warning('S contains complex numbers, Inf, or NaN'); 
+end
+% Drop any negative eigenvalues.
+[V, D] = eig(full(s));
+d = real(diag(D));
+if (any(d < 0))
+  warning(sprintf(['S is not positive semidefinite (min. eig. =' ...
+		   ' %0.5g); projecting.'], min(d)));
+  d(find(d < 0)) = 0;
+  D = diag(d);
+  s = V * D * V';
+end