Optimal low-rank approximation to a correlation matrix

DOI10.1016/S0024-3795(02)00551-7zbMATH Open1029.65062MaRDI QIDQ1870071FDOQ1870071

Publication date: 4 May 2003

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

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scientific article; zbMATH DE number 7289878

correlation matrix constrained minimization market model minimax problem low-rank matrix approximation Lagrange method financial engineering matrix spectral decomposition method of steepest descend

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Quadratic programming (90C20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

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The Geometry of Algorithms with Orthogonality Constraints
Title not available (Why is that?)
LIBOR and swap market models and measures
The Market Model of Interest Rate Dynamics

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
Multistage convex relaxation approach to rank regularized minimization problems based on equivalent mathematical program with a generalized complementarity constraint
Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
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
A relaxed SCA approach for calibrating low rank correlation matrix problem
Low rank approximation of the symmetric positive semidefinite matrix
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
Rank reduction of correlation matrices by majorization
Minimum rank (skew) Hermitian solutions to the matrix approximation problem in the spectral norm
Nonnegative matrix factorization of a correlation matrix
On the low rank solution of the Q-weighted nearest correlation matrix problem.
An EZI Method to Reduce the Rank of a Correlation Matrix in Financial Modelling
A feasible filter method for the nearest low-rank correlation matrix problem
On the Low-Rank Approximation of Data on the Unit Sphere
Penalty decomposition methods for rank minimization
A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
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A global exact penalty for rank-constrained optimization problem and applications
Calibrating low-rank correlation matrix problem: an SCA-based approach
A majorization algorithm for constrained correlation matrix approximation
Efficient rank reduction of correlation matrices
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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