A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
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Publication:3435003
DOI10.1137/050624509zbMATH Open1120.65049OpenAlexW2104481149WikidataQ115802339 ScholiaQ115802339MaRDI QIDQ3435003FDOQ3435003
Authors: Defeng Sun, Houduo Qi 
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
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convex optimizationcorrelation matrixnumerical experimentsNewton methodquadratic convergenceFrobenius normsemismooth matrix equation
Numerical mathematical programming methods (65K05) Convex programming (90C25) Measures of association (correlation, canonical correlation, etc.) (62H20) Numerical solutions to overdetermined systems, pseudoinverses (65F20)
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- The supporting halfspace-quadratic programming strategy for the dual of the best approximation problem
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