A Sequential Semismooth Newton Method for the Nearest Low-rank Correlation Matrix Problem
DOI10.1137/090771181zbMATH Open1236.49070OpenAlexW2077482036MaRDI QIDQ3225245FDOQ3225245
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
quadratic convergencelow-rank correlation matrixconstraint nondegeneracysemismooth Newton methodquadratic semidefinite programming
Convex programming (90C25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Newton-type methods (49M15) Least squares and related methods for stochastic control systems (93E24)
Cited In (30)
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- A penalty method for rank minimization problems in symmetric matrices
- A class of multilevel structured low-rank approximation arising in material processing
- Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
- Low-rank factorization for rank minimization with nonconvex regularizers
- Slow and finite-time relaxations to \(m\)-bipartite consensus on the Stiefel manifold
- A proximal DC approach for quadratic assignment problem
- On the low rank solution of the Q‐weighted nearest correlation matrix problem
- First order optimality conditions for mathematical programs with semidefinite cone complementarity constraints
- A framework of constraint preserving update schemes for optimization on Stiefel manifold
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- An efficient augmented Lagrangian method for support vector machine
- Two relaxation methods for rank minimization problems
- Constrained Best Euclidean Distance Embedding on a Sphere: A Matrix Optimization Approach
- A feasible filter method for the nearest low-rank correlation matrix problem
- Novel alternating update method for low rank approximation of structured matrices
- A sequential convex program approach to an inverse linear semidefinite programming problem
- A Riemannian conjugate gradient method for optimization on the Stiefel manifold
- Penalty decomposition methods for rank minimization
- A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices
- Emergent behaviors of high-dimensional Kuramoto models on Stiefel manifolds
- Transportless conjugate gradient for optimization on Stiefel manifold
- Title not available (Why is that?)
- A preconditioned Newton algorithm for the nearest correlation matrix
- Projection Methods in Conic Optimization
- Calibrating low-rank correlation matrix problem: an SCA-based approach
- A penalized method of alternating projections for weighted low-rank Hankel matrix optimization
- A semismooth Newton method for support vector classification and regression
- Approximation of rank function and its application to the nearest low-rank correlation matrix
- An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
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