Computing the nearest low-rank correlation matrix by a simplified SQP algorithm

DOI10.1016/J.AMC.2015.01.044MaRDI QIDQ299647zbMATHOpenAlexFDO

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

zbMATH Keywords

sequential quadratic programmingmatrix optimizationGramian representationlow-rank correlation matrixnonlinear constrained optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Methods of successive quadratic programming type (90C55)

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Cites work

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• Sequential quadratic programming methods
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Cited in

(9)

• scientific article; zbMATH DE number 7289878 (Why is no real title available?)
• On the low rank solution of the Q-weighted nearest correlation matrix problem.
• Alternative gradient algorithms for computing the nearest correlation matrix
• Novel alternating update method for low rank approximation of structured matrices
• Calibrating low-rank correlation matrix problem: an SCA-based approach
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Efficient rank reduction of correlation matrices
• A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
• A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem

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Uses Software

• SDPLR

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