Computing a Nearest Correlation Matrix with Factor Structure

DOI10.1137/090776718zbMath1213.65022OpenAlexW2037605414WikidataQ56998720 ScholiaQ56998720MaRDI QIDQ3079761

Rüdiger Borsdorf, Nicholas J. Higham, Marcos Raydan

Publication date: 2 March 2011

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://eprints.maths.manchester.ac.uk/1523/1/SML002603.pdf

zbMATH Keywords

Newton's methodcorrelation matrixpositive semidefinite matrixalternating projections methodfactor structurealternating directions methodspectral projected gradient methodpatterned covariance matrixprincipal factor method

Mathematics Subject Classification ID

Related Items (13)

Off-diagonal symmetric nonnegative matrix factorization ⋮ Exact penalization for cardinality and rank-constrained optimization problems via partial regularization ⋮ Covariance structure regularization via entropy loss function ⋮ Decomposition Methods for Sparse Matrix Nearness Problems ⋮ Estimation of correlations in portfolio credit risk models based on noisy security prices ⋮ A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems ⋮ Actuarial Risk Matrices: The Nearest Positive Semidefinite Matrix Problem ⋮ Covariance structure regularization via Frobenius-norm discrepancy ⋮ A Filter Active-Set Algorithm for Ball/Sphere Constrained Optimization Problem ⋮ Matrix optimization over low-rank spectral sets: stationary points and local and global minimizers ⋮ Bounds for the Distance to the Nearest Correlation Matrix ⋮ Block relaxation and majorization methods for the nearest correlation matrix with factor structure ⋮ Unnamed Item

Uses Software

• SPG
• mctoolbox
• BB

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