A lower bound for the nearest correlation matrix problem based on the circulant mean

DOI10.1007/s40314-013-0041-7zbMath1316.15024OpenAlexW1982248339MaRDI QIDQ2514033

Marcos Vinicio Travaglia

Publication date: 30 January 2015

Published in: Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40314-013-0041-7

zbMATH Keywords

eigenvalueconvex programmingsymmetric matrixcirculant matrixLaplacian matrixcorrelation matrixsemidefinite matricesminimization problem involving matricesquadratic semidefinite programmingmatrix nearness

Mathematics Subject Classification ID

Semidefinite programming (90C22) Eigenvalues, singular values, and eigenvectors (15A18) Miscellaneous inequalities involving matrices (15A45) Toeplitz, Cauchy, and related matrices (15B05)

Related Items (1)

Bounds for the Distance to the Nearest Correlation Matrix

Cites Work

• Computing the nearest correlation matrix--a problem from finance
• JENSEN'S OPERATOR INEQUALITY
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