A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix

DOI10.1137/050624509zbMath1120.65049OpenAlexW2104481149WikidataQ115802339 ScholiaQ115802339MaRDI QIDQ3435003

Publication date: 3 May 2007

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

Full work available at URL: https://semanticscholar.org/paper/43b2f111975e3e276392bafd789f9d3e8eac2ff1

zbMATH Keywords

convex optimization numerical experiments quadratic convergence Frobenius norm Newton method correlation matrix semismooth matrix equation

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical mathematical programming methods (65K05) Convex programming (90C25)

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Uses Software

QSDP