A projected semismooth Newton method for problems of calibrating least squares covariance matrix

DOI10.1016/j.orl.2011.01.004zbMath1218.90220MaRDI QIDQ2275573

Dong-hui Li, Qing-Na Li

Publication date: 9 August 2011

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2011.01.004

zbMATH Keywords

active set; quadratic semidefinite programming; constraint nondegeneracy; semismooth Newton method

Mathematics Subject Classification ID

90C22: Semidefinite programming

90C20: Quadratic programming

90C53: Methods of quasi-Newton type

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