Optimal low-rank approximation to a correlation matrix
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- scientific article; zbMATH DE number 7289878
Cites work
Cited in
(28)- On Optimal Selection of Correlation Matrices for Matrix-Pencil-Based Separation
- Nonnegative matrix factorization of a correlation matrix
- scientific article; zbMATH DE number 7289878 (Why is no real title available?)
- Penalty decomposition methods for rank minimization
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- A feasible filter method for the nearest low-rank correlation matrix problem
- Error bounds for rank constrained optimization problems and applications
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- Diagonal and low-rank matrix decompositions, correlation matrices, and ellipsoid fitting
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- Multistage convex relaxation approach to rank regularized minimization problems based on equivalent mathematical program with a generalized complementarity constraint
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- A majorization algorithm for constrained correlation matrix approximation
- Approximation of rank function and its application to the nearest low-rank correlation matrix
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- Efficient rank reduction of correlation matrices
- A novel method for a class of structured low-rank minimizations with equality constraint
- Correlation matrix nearness and completion under observation uncertainty
- A global exact penalty for rank-constrained optimization problem and applications
- On the Low-Rank Approximation of Data on the Unit Sphere
- Minimum rank (skew) Hermitian solutions to the matrix approximation problem in the spectral norm
- First order optimality conditions for mathematical programs with semidefinite cone complementarity constraints
- An efficient method for convex constrained rank minimization problems based on DC programming
- An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- A relaxed SCA approach for calibrating low rank correlation matrix problem
- Low rank approximation of the symmetric positive semidefinite matrix
- Optimal regularized low rank inverse approximation
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