A feasible filter method for the nearest low-rank correlation matrix problem
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Cites work
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- A Curvilinear Search Method for p-Harmonic Flows on Spheres
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- A Nonmonotone Line Search Technique for Newton’s Method
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A feasible method for optimization with orthogonality constraints
- A preconditioned Newton algorithm for the nearest correlation matrix
- A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
- An Assessment of Nonmonotone Linesearch Techniques for Unconstrained Optimization
- Computing the nearest correlation matrix--a problem from finance
- Efficient rank reduction of correlation matrices
- Functions of Matrices
- Least-Squares Covariance Matrix Adjustment
- Local minima and convergence in low-rank semidefinite programming
- Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
- Nonlinear programming without a penalty function.
- On the nonmonotone line search
- Optimal low-rank approximation to a correlation matrix
- Projection-like retractions on matrix manifolds
- Rank reduction of correlation matrices by majorization
- The Geometry of Algorithms with Orthogonality Constraints
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Cited in
(10)- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
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- 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
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- Approximation of rank function and its application to the nearest low-rank correlation matrix
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