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Correct small negative eigenvalues in covariance #152

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Correct small negative eigenvalues in covariance #152

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8d52c7d
suggested change to correct small eigenvalues in covariance
mikedeltalima Nov 22, 2019
9363f60
only change negative values
mikedeltalima Dec 13, 2019
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only change negative values
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@mikedeltalima
mikedeltalima committed Dec 13, 2019
commit 9363f608a14fe596b98b5dd8e26d62811871ba0c
6 changes: 3 additions & 3 deletions src/qinfer/distributions.py
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Original file line number Diff line number Diff line change
Expand Up @@ -394,14 +394,14 @@ def particle_covariance_mtx(cls, weights, locations):
# is produced, we should warn the caller of this.
assert np.all(np.isfinite(cov))
vals, vecs = la.eig(cov)
small_vals = abs(vals) < 1e-12
vals[small_vals] = 0
small_negative_vals = (vals < 0) & (vals > -1e-12)
vals[small_negative_vals] = 0
if not np.all(vals >= 0):
warnings.warn(
'Numerical error in covariance estimation causing positive semidefinite violation.',
ApproximationWarning
)
if np.any(small_vals):
if np.any(small_negative_vals):
return (vecs * vals) @ vecs.T.conj()
return cov

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