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For those of you who don't know: this is a companion to the Princeton Companion to Mathematics, which is excellent but focuses mainly on pure math. Also, the editor of this new volume was a highly respected applied mathematician named Nick Higham, who sadly died a few months ago.

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Oh no... I used his work on nearest positive semidefinite matrices and liked to read his blog. In my opinion, he was very good in explaining his research.

Thanks for mentioning that. It's a problem I occasionally need to solve and based on your comment, I found this helpful write up by Nick Higham [1].

[1] https://nhigham.com/2021/01/26/what-is-the-nearest-positive-...

In my case, I am applying this in the calibration of instantaneous correlation matrices. His relevant papers can be found at [0]. It was really helpful that he also published MATLAB code of most of his algorithms.

[0] https://nhigham.com/correlation-matrices/

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