Nonnegative matrix factorization of a correlation matrix

DOI10.1016/J.LAA.2009.01.004MaRDI QIDQ1025855zbMATHOpenAlexFDO

Authors J. J. I. M. van Kan, Peter Sonneveld, Xinzheng Huang, Cornelis W. Oosterlee

Publication date 23 June 2009

Published in Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL http://resolver.tudelft.nl/uuid:958cb7dd-fe2e-463b-bda3-40622f4cfaaf

zbMATH Keywords

Kullback-Leibler divergencelow-rank approximationalgorithmcorrelation matrixnonnegative matrix factorizationnumerical experimentsFrobenius normcredit portfolioloss modellingsymmetric positive-semidefinite matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Factorization of matrices (15A23) Portfolio theory (91G10) Credit risk (91G40) Positive matrices and their generalizations; cones of matrices (15B48)

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Cites work

• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• Adaptive integration for multi-factor portfolio credit loss models
• Algorithms and applications for approximate nonnegative matrix factorization
• Efficient rank reduction of correlation matrices
• Importance sampling for portfolio credit risk
• Learning the parts of objects by non-negative matrix factorization
• Nonnegative matrix factorization for spectral data analysis
• On reduced rank nonnegative matrix factorization for symmetric nonnegative matrices
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• Optimal low-rank approximation to a correlation matrix
• Rank reduction of correlation matrices by majorization
• The Gradient Projection Method for Nonlinear Programming. Part I. Linear Constraints

Cited in

(3)

• Non-negative matrix factorization with fixed row and column sums
• Block relaxation and majorization methods for the nearest correlation matrix with factor structure
• Alternative gradient algorithms for computing the nearest correlation matrix

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