Nonnegative matrix factorization of a correlation matrix

DOI10.1016/J.LAA.2009.01.004zbMATH Open1190.15018OpenAlexW2102566880MaRDI QIDQ1025855FDOQ1025855

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

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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)

Cites Work

• The Gradient Projection Method for Nonlinear Programming. Part I. Linear Constraints
• Title not available (Why is that?)
• Rank reduction of correlation matrices by majorization
• Efficient rank reduction of correlation matrices
• Algorithms and applications for approximate nonnegative matrix factorization
• Learning the parts of objects by non-negative matrix factorization
• On reduced rank nonnegative matrix factorization for symmetric nonnegative matrices
• Optimal low-rank approximation to a correlation matrix
• Importance sampling for portfolio credit risk
• On the parameterization of the CreditRisk\(^+\) model for estimating credit portfolio risk
• Nonnegative matrix factorization for spectral data analysis
• Adaptive integration for multi-factor portfolio credit loss models

Cited In (3)

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

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