Optimal low-rank approximation to a correlation matrix (Q1870071)
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| Language | Label | Description | Also known as |
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| English | Optimal low-rank approximation to a correlation matrix |
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Optimal low-rank approximation to a correlation matrix (English)
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4 May 2003
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Low-rank approximation of a correlation matrix is formulated as a minimax problem without constraints by the method of Lagrange. This can be solved by gradient-based iterative methods and a single spectral decomposition. The method has applications in calibration of a market model in financial engineering.
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correlation matrix
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low-rank matrix approximation
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constrained minimization
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Lagrange method
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matrix spectral decomposition
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method of steepest descend
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minimax problem
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market model
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financial engineering
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