A feasible filter method for the nearest low-rank correlation matrix problem
DOI10.1007/S11075-014-9924-YzbMATH Open1354.65128OpenAlexW2040464297MaRDI QIDQ494667FDOQ494667
Authors: Xiaojing Zhu 
Publication date: 1 September 2015
Published in: Numerical Algorithms (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11075-014-9924-y
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Numerical mathematical programming methods (65K05) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Numerical methods based on nonlinear programming (49M37)
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Cited In (10)
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- On Optimal Selection of Correlation Matrices for Matrix-Pencil-Based Separation
- Nonmonotone inexact restoration approach for minimization with orthogonality constraints
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- Generalized left-localized Cayley parametrization for optimization with orthogonality constraints
- A Riemannian conjugate gradient method for optimization on the Stiefel manifold
- Nonmonotone feasible arc search algorithm for minimization on Stiefel manifold
- Transportless conjugate gradient for optimization on Stiefel manifold
- Title not available (Why is that?)
- Approximation of rank function and its application to the nearest low-rank correlation matrix
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