A Sequential Semismooth Newton Method for the Nearest Low-rank Correlation Matrix Problem

DOI10.1137/090771181zbMath1236.49070OpenAlexW2077482036MaRDI QIDQ3225245

Hou-Duo Qi, Qing-Na Li

Publication date: 16 March 2012

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/049d0f1a78998f54f88ec099a268190c3399b47a

zbMATH Keywords

quadratic convergencequadratic semidefinite programminglow-rank correlation matrixconstraint nondegeneracysemismooth Newton method

Mathematics Subject Classification ID

Convex programming (90C25) Newton-type methods (49M15) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Least squares and related methods for stochastic control systems (93E24)

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Uses Software

• QSDP

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