public class PositiveDefiniteMatrixByPositiveDiagonal
This class "converts" a matrix into a symmetric, positive definite matrix, if it is not already
so, by forcing the diagonal entries in the eigen decomposition to a small non-negative number,
"Jin Wang, Chunlei Liu. "Generating Multivariate Mixture of Normal Distributions using a
Modified Cholesky Decomposition," Simulation Conference, 2006. WSC 06. Proceedings of the Winter.
p. 342 - 347. 3-6 Dec. 2006."
"Higham, Nicholas J., "Computing a Nearest Symmetric Positive Semidefinite Matrix," Linear
Algebra and its Applications, 1988, 103:103-118"