NuclearNormedCP function

NuclearNormedCP

Normalizes a positive semi-definite matrix by diving it by its nuclear norm (i.e., the sum of the square root of its eigen-values).

NuclearNormedCP(Y)

Arguments

• Y: The matrix to normalize

Returns

The normalized matrix

Examples

A <- toeplitz(c(1, 0.6))
NuclearNormedCP(A)