A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix (Q3435003)
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scientific article; zbMATH DE number 5149230
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| English | A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix |
scientific article; zbMATH DE number 5149230 |
Statements
A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix (English)
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3 May 2007
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correlation matrix
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semismooth matrix equation
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Newton method
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quadratic convergence
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convex optimization
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numerical experiments
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Frobenius norm
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0.8973588347434998
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0.8970397114753723
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0.8917922973632812
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0.8765110969543457
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