Code & data — Further improvement of bending performance for conditioning covariance matrices
The provided files are a Jupyter Notebook and its equivalent HTML format. It provides code to produce the data, code to produce the results, and the results. Different bending procedures are compared based on the modification of eigenvalues. An updated bending procedure is presented, in which not only the eigenvalues smaller than a small positive value (ε) are changed to ε, but the smallest eigenvalue greater than ε is gradually reduced as long as the bending performance is improved.
Steps to reproduce
Presented in the file