Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
DOI10.1016/J.AMC.2015.01.044zbMATH Open1338.65168OpenAlexW1996829129MaRDI QIDQ299647FDOQ299647
Authors: Xiaojing Zhu 
Publication date: 22 June 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2015.01.044
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sequential quadratic programmingmatrix optimizationGramian representationlow-rank correlation matrixnonlinear constrained optimization
Numerical mathematical programming methods (65K05) Methods of successive quadratic programming type (90C55)
Cites Work
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Cited In (9)
- Alternative gradient algorithms for computing the nearest correlation matrix
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
- On the low rank solution of the Q-weighted nearest correlation matrix problem.
- Novel alternating update method for low rank approximation of structured matrices
- Title not available (Why is that?)
- Calibrating low-rank correlation matrix problem: an SCA-based approach
- Efficient rank reduction of correlation matrices
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