A Dual Approach to Semidefinite Least-Squares Problems

DOI10.1137/S0895479802413856zbMATH Open1080.65027OpenAlexW1982165727MaRDI QIDQ4650993FDOQ4650993

Publication date: 21 February 2005

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

Full work available at URL: https://doi.org/10.1137/s0895479802413856

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zbMATH Keywords

numerical experiments semidefinite optimization Lagrangian duality quasi-Newton algorithm least-squares problem calibration of covariance matrices

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical methods (including Monte Carlo methods) (91G60) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Semidefinite programming (90C22) Methods of quasi-Newton type (90C53)

Cited In (62)

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An interior-point algorithm for semidefinite least-squares problems.
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Inexact SA method for constrained stochastic convex SDP and application in Chinese stock market
Newton's method for computing the nearest correlation matrix with a simple upper bound
Approximation of rank function and its application to the nearest low-rank correlation matrix
Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
Least-Squares Covariance Matrix Adjustment
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Uses Software

SeDuMi
PLCP

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