Repair Conditions of a Correlation Matrix
This function repairs correlation matrices, so that the following two properties are ensured: The correlations values should be between -1 and 1, and the diagonal values should be one.
repairConditionsCorrelationMatrix(mat)
mat |
symmetric, PSD distance matrix. If your matrix is not CNSD, use |
repaired correlation matrix
Martin Zaefferer and Thomas Bartz-Beielstein. (2016). Efficient Global Optimization with Indefinite Kernels. Parallel Problem Solving from Nature-PPSN XIV. Accepted, in press. Springer.
x <- list(c(2,1,4,3),c(2,4,3,1),c(4,2,1,3),c(4,3,2,1),c(1,4,3,2)) D <- distanceMatrix(x,distancePermutationInsert) K <- exp(-0.01*D) K <- correctionDefinite(K,type="PSD")$mat K K <- repairConditionsCorrelationMatrix(K)
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