MATLAB: Positive definite matrix, least square minimization

least square minimizationpositive definite matrix

Hi, I am trying to solve a constrained least square minimization problem, which will give me a X_{vec}=(15 x 1) matrix. I will be later converting these 15 elements to a symmetric (5 x 5) matrix called X. Is there any way to constriant the elements of the solution X_{vec} of the constrained LSQ minimization problem such that my X will be a positive definite matrix? Thanks a lot in advance!

Best Answer

Add the constraints that the five sub-determinants of X have to be positive and use fmincon to solve.

Best wishes

Torsten.

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The MultiStart run() function only has up to 5 outputs according to the documentation (<- link). Your code is asking for 8 outputs which is why you're getting that error.

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Most of the time functions don't operate "externally", so SORTROWS doesn't alter your array P defined in the workspace. It creates a new sorted array that it outputs. You have to store this output back into P if you want P to be the sorted version. If you wanted to keep the original, you could store it into a new variable:

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