What Is the Nearest Positive Semidefinite Matrix?

Given a symmetric matrix and a nonnegative number , what is the nearest symmetric matrix whose eigenvalues are all at least ? In other words, how can we project a symmetric matrix onto the set of symmetric positive semidefinite matrices with eigenvalues at least ? Distance can be measured in any norm, but the most … Continue reading What Is the Nearest Positive Semidefinite Matrix?