Optimal low-rank approximation to a correlation matrix (Q1870071)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal low-rank approximation to a correlation matrix |
scientific article; zbMATH DE number 1903584
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal low-rank approximation to a correlation matrix |
scientific article; zbMATH DE number 1903584 |
Statements
Optimal low-rank approximation to a correlation matrix (English)
0 references
4 May 2003
0 references
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.
0 references
correlation matrix
0 references
low-rank matrix approximation
0 references
constrained minimization
0 references
Lagrange method
0 references
matrix spectral decomposition
0 references
method of steepest descend
0 references
minimax problem
0 references
market model
0 references
financial engineering
0 references
0.8506537079811096
0 references
0.8284400701522827
0 references
0.8131366968154907
0 references
0.8093155026435852
0 references
