Creat a positive definite matrix, which way is better?
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Hi everyone,
Suppose I have a positive definite matrix P and a non-singular matrix A, I realised there is a small numerical difference between K=(I-A)*P*(I-A)' and K_=P-A*P-P*A'+A*P*A'. If I want to create a positive definite matrix, which way should I use?
In some extreme cases, is it possible that K or K_ has very small negative eigenvalues?
Thanks
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