How To Fix TE255 - Cholesky decomposition is successful after adding &1 to diagonal elements

TE255 - Overview

• Message type: E = Error

• Message class: TE - Market Risk Management

• Message number: 255

• Message text: Cholesky decomposition is successful after adding &1 to diagonal elements

What causes this issue?

Cholesky decomposition of the original covariance matrix could not be
performed successfully. Subsequently, the system automatically altered
the covariance matrix to achieve positive definiteness, but not in the
material sense.
This was achieved by adding a small number (epsilon) to all diagonal
elements of the matrix. When epsilon = &V1& is added, Cholesky
decomposition is performed successfully.

System Response

The system issues an error message and will not allow you to continue with this transaction until the error is resolved.

How to fix this error?

Procedure for System Administrators

Error message extract from SAP system. Copyright SAP SE.

Smart SAP Assistant

• What is the cause and solution for SAP error message TE255 - Cholesky decomposition is successful after adding &1 to diagonal elements ?

  The SAP error message TE255 indicates that a Cholesky decomposition was successful after adding a value to the diagonal elements of a matrix. This typically occurs in the context of financial calculations, such as when dealing with covariance matrices in risk management or portfolio optimization.
  
  Cause:
  The Cholesky decomposition is a method used to decompose a positive definite matrix into a lower triangular matrix and its transpose. If the matrix is not positive definite, the decomposition cannot be performed directly. The error message suggests that the matrix was not positive definite initially, and a small value (denoted as &1 in the message) was added to the diagonal elements to make it positive definite. This adjustment is often necessary in numerical computations to ensure stability and convergence.
  
  Solution:
  
  
  Review the Matrix: Check the matrix that is being decomposed. Ensure that it is supposed to be positive definite. If it is not, investigate why it is