Optimal low-rank approximation to a correlation matrix
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Publication:1870071
DOI10.1016/S0024-3795(02)00551-7zbMath1029.65062MaRDI QIDQ1870071
Publication date: 4 May 2003
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
minimax problemmarket modelfinancial engineeringconstrained minimizationcorrelation matrixlow-rank matrix approximationLagrange methodmatrix spectral decompositionmethod of steepest descend
Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Quadratic programming (90C20)
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