A majorization algorithm for constrained correlation matrix approximation
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Publication:847204
DOI10.1016/j.laa.2009.10.025zbMath1183.65009MaRDI QIDQ847204
Publication date: 12 February 2010
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://engagedscholarship.csuohio.edu/enece_facpub/139
algorithm; convergence; constrained optimization; numerical examples; majorization; correlation matrix
62H20: Measures of association (correlation, canonical correlation, etc.)
62P30: Applications of statistics in engineering and industry; control charts
80M30: Variational methods applied to problems in thermodynamics and heat transfer
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Uses Software
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