A projected semismooth Newton method for problems of calibrating least squares covariance matrix
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Publication:2275573
DOI10.1016/J.ORL.2011.01.004zbMATH Open1218.90220OpenAlexW2067703412MaRDI QIDQ2275573FDOQ2275573
Authors: Qing-Na Li, Dong-Hui 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
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Cites Work
- Computing the nearest correlation matrix--a problem from finance
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- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A preconditioned Newton algorithm for the nearest correlation matrix
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- On the Accurate Identification of Active Constraints
- A QP-free constrained Newton-type method for variational inequality problems
- Solution of Sparse Indefinite Systems of Linear Equations
- A Dual Approach to Semidefinite Least-Squares Problems
- Complementarity and nondegeneracy in semidefinite programming
- Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
- The Strong Second-Order Sufficient Condition and Constraint Nondegeneracy in Nonlinear Semidefinite Programming and Their Implications
- Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
- Projected Newton Methods for Optimization Problems with Simple Constraints
- Semismooth Matrix-Valued Functions
- Constraint Nondegeneracy, Strong Regularity, and Nonsingularity in Semidefinite Programming
- Least-Squares Covariance Matrix Adjustment
- An inexact SQP Newton method for convex SC\(^{1}\) minimization problems
- Positive semidefinite matrix completions on chordal graphs and constraint nondegeneracy in semidefinite programming
Cited In (8)
- A Dual Approach to Semidefinite Least-Squares Problems
- An accelerated active-set algorithm for a quadratic semidefinite program with general constraints
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- Limited memory BFGS algorithm for the matrix approximation problem in Frobenius norm
- A Euclidean distance matrix model for protein molecular conformation
- Limited memory BFGS method for least squares semidefinite programming with banded structure
- An efficient quadratic programming relaxation based algorithm for large-scale MIMO detection
- Least-Squares Covariance Matrix Adjustment
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