A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
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Publication:2977629
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Cites work
- A convergent 3-block semiproximal alternating direction method of multipliers for conic programming with 4-type constraints
- A dual algorithm for the solution of nonlinear variational problems via finite element approximation
- A feasible filter method for the nearest low-rank correlation matrix problem
- A feasible method for optimization with orthogonality constraints
- A majorization algorithm for constrained correlation matrix approximation
- A preconditioned Newton algorithm for the nearest correlation matrix
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- Alternating direction augmented Lagrangian methods for semidefinite programming
- Alternating direction method with Gaussian back substitution for separable convex programming
- An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
- An implementable splitting algorithm for the _1-norm regularized split feasibility problem
- An inexact accelerated proximal gradient method for large scale linearly constrained convex SDP
- An inexact interior point method for \(L_{1}\)-regularized sparse covariance selection
- An inexact primal-dual path following algorithm for convex quadratic SDP
- Block relaxation and majorization methods for the nearest correlation matrix with factor structure
- Computing the nearest correlation matrix--a problem from finance
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Hankel matrix rank minimization with applications to system identification and realization
- Linearized alternating direction method for constrained linear least-squares problem.
- Recovering Low-Rank and Sparse Components of Matrices from Incomplete and Noisy Observations
- The direct extension of ADMM for multi-block convex minimization problems is not necessarily convergent
- The Market Model of Interest Rate Dynamics
Cited in
(7)- Convergent prediction-correction-based ADMM for multi-block separable convex programming
- An indefinite proximal Peaceman-Rachford splitting method with substitution procedure for convex programming
- An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
- A note on the sufficient initial condition ensuring the convergence of directly extended 3-block ADMM for special semidefinite programming
- On the iteration-complexity of a non-Euclidean hybrid proximal extragradient framework and of a proximal ADMM
- An extended linearized alternating direction method of multipliers for fused-Lasso penalized linear regression
- A new linearized alternating direction method of multipliers with adaptive step size and its inexact version for fused Lasso regression model
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