Calibrating low-rank correlation matrix problem: an SCA-based approach
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Cites work
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- A majorization algorithm for constrained correlation matrix approximation
- A sequential convex program method to DC program with joint chance constraints
- A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
- An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
- Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
- Computing the nearest correlation matrix--a problem from finance
- Least-Squares Covariance Matrix Adjustment
- Matrix Analysis
- Moment problems and low rank Toeplitz approximations
- Numerically stable generation of correlation matrices and their factors
- Optimal low-rank approximation to a correlation matrix
- Optimality conditions and duality theory for minimizing sums of the largest eigenvalues of symmetric matrices
- Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach
- The DC (Difference of convex functions) programming and DCA revisited with DC models of real world nonconvex optimization problems
- The Market Model of Interest Rate Dynamics
- Variational Analysis
Cited in
(9)- Optimal low-rank approximation to a correlation matrix
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Approximation of rank function and its application to the nearest low-rank correlation matrix
- A relaxed SCA approach for calibrating low rank correlation matrix problem
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- On the low rank solution of the Q-weighted nearest correlation matrix problem.
- A dual adaptive algorithm for matrix optimization with sparse group Lasso regularization
- A nonmonotone active-set semismooth Newton method for matrix approximation with group regularization
- A majorization algorithm for constrained correlation matrix approximation
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