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