Alternative gradient algorithms for computing the nearest correlation matrix

DOI10.1016/J.AMC.2013.01.045MaRDI QIDQ2451348zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 3 June 2014

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2013.01.045

zbMATH Keywords

alternative gradient algorithmconvergencematrix factorization and approximationnearest correlation matrixnumerical experimentspositive semidefinite matrix

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Iterative numerical methods for linear systems (65F10)

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Cites work

• Alternative gradient algorithms with applications to nonnegative matrix factorizations
• Block Triangular and Skew-Hermitian Splitting Methods for Positive-Definite Linear Systems
• Computing a nearest symmetric positive semidefinite matrix
• Computing the nearest correlation matrix--a problem from finance
• Hermitian and Skew-Hermitian Splitting Methods for Non-Hermitian Positive Definite Linear Systems
• scientific article; zbMATH DE number 2076014 (Why is no real title available?)
• Modified multiplicative update algorithms for computing the nearest correlation matrix
• Nonnegative matrix factorization of a correlation matrix

Cited in

(5)

• Computing the nearest correlation matrix--a problem from finance
• Noninverse correlation induction: Guidelines for algorithm development
• On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
• A preconditioned Newton algorithm for the nearest correlation matrix
• Gradient-based parameter identification algorithms for observer canonical state space systems using state estimates

Describes a project that uses

Uses Software

• Multivariate_Data_Generation

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