Rank reduction of correlation matrices by majorization (Q4610275): Difference between revisions

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+The Market Model of Interest Rate Dynamics
@@ Property / cites work: The Market Model of Interest Rate Dynamics / rank @@
+Normal rank
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+Structured low rank approximation
@@ Property / cites work: Structured low rank approximation / rank @@
+Normal rank
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+Numerically stable generation of correlation matrices and their factors
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+On the information in the interest rate term structure and option prices
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+Benchmarking optimization software with performance profiles.
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+An Algorithm for Restricted Least Squares Regression
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+Q3994761
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+An Alternating Projection Algorithm for Computing the Nearest Euclidean Distance Matrix
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+Q5689624
@@ Property / cites work: Q5689624 / rank @@
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+A successive projection method
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+Approximation by matrices positive semidefinite on a subspace
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+Computing the nearest correlation matrix--a problem from finance
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+LIBOR and swap market models and measures
@@ Property / cites work: LIBOR and swap market models and measures / rank @@
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+Setting up alternating least squares and iterative majorization algorithms for solving various matrix optimization problems
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+A monotonically convergent algorithm for orthogonal congruence rotation
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+Approximation by a Hermitian Positive Semidefinite Toeplitz Matrix
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+Convergence Conditions for Nonlinear Programming Algorithms
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+Optimal low-rank approximation to a correlation matrix
+Normal rank
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+Publication:4610275