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

DOI10.1016/J.ORL.2011.01.004MaRDI QIDQ2275573zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

constraint nondegeneracysemismooth Newton methodactive setquadratic semidefinite programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Semidefinite programming (90C22) Methods of quasi-Newton type (90C53)

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Cites work

• scientific article; zbMATH DE number 1502618 (Why is no real title available?)
• A Dual Approach to Semidefinite Least-Squares Problems
• A Newton-CG augmented Lagrangian method for semidefinite programming
• A QP-free constrained Newton-type method for variational inequality problems
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• A preconditioned Newton algorithm for the nearest correlation matrix
• An inexact SQP Newton method for convex SC\(^{1}\) minimization problems
• Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
• Complementarity and nondegeneracy in semidefinite programming
• Computing the nearest correlation matrix--a problem from finance
• Constraint Nondegeneracy, Strong Regularity, and Nonsingularity in Semidefinite Programming
• Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
• Least-Squares Covariance Matrix Adjustment
• On the Accurate Identification of Active Constraints
• Positive semidefinite matrix completions on chordal graphs and constraint nondegeneracy in semidefinite programming
• Projected Newton Methods for Optimization Problems with Simple Constraints
• Semismooth Matrix-Valued Functions
• Solution of Sparse Indefinite Systems of Linear Equations
• The Strong Second-Order Sufficient Condition and Constraint Nondegeneracy in Nonlinear Semidefinite Programming and Their Implications

Cited in

(8)

• Least-Squares Covariance Matrix Adjustment
• 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

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