Daniel@0: function s = checkpsd(s)
Daniel@0: 
Daniel@0: if (any(isnan(s) | isinf(s) | ~isreal(s)))
Daniel@0:   warning('S contains complex numbers, Inf, or NaN'); 
Daniel@0: end
Daniel@0: % Drop any negative eigenvalues.
Daniel@0: [V, D] = eig(full(s));
Daniel@0: d = real(diag(D));
Daniel@0: if (any(d < 0))
Daniel@0:   warning(sprintf(['S is not positive semidefinite (min. eig. =' ...
Daniel@0: 		   ' %0.5g); projecting.'], min(d)));
Daniel@0:   d(find(d < 0)) = 0;
Daniel@0:   D = diag(d);
Daniel@0:   s = V * D * V';
Daniel@0: end