Cholesky with escalating jitter ladder

Returns the Cholesky factor of a square numeric matrix, adding an escalating ridge to the diagonal when the unmodified matrix is not numerically positive definite. The ladder runs from 1e-12 to 1e-6 relative to the mean diagonal entry.

Usage

safe_chol(R, where = "covariance")

Arguments

R

Symmetric covariance matrix.

where

Context label used in numerical error messages.

Value

Upper-triangular Cholesky factor of R, possibly of R plus a diagonal ridge.

See also

spd_floor()

Examples

safe_chol(matrix(c(2, 0.5, 0.5, 1), 2, 2))
#>          [,1]      [,2]
#> [1,] 1.414214 0.3535534
#> [2,] 0.000000 0.9354143