jens
7b34529b24
git-svn-id: http://moon:8086/svn/matlab/trunk@91 801c6759-fa7c-4059-a304-17956f83a07c
26 lines
564 B
Matlab
26 lines
564 B
Matlab
function [R,tau] = mcholinc(H,verbose)
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% Computes Cholesky of H+tau*I, for suitably large tau that matrix is pd
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p = size(H,1);
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beta = norm(H,'fro');
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if min(diag(H)) > 1e-12
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tau = 0;
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else
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if verbose
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fprintf('Small Value on Diagonal, Adjusting Hessian\n');
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end
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tau = max(beta/2,1e-12);
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end
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while 1
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[R,posDef] = chol(H+tau*eye(p));
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if posDef == 0
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break;
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else
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if verbose
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fprintf('Cholesky Failed, Adjusting Hessian\n');
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end
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tau = max(2*tau,beta/2);
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end
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end
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