A feasible filter method for the nearest low-rank correlation matrix problem
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The paper presents a new easily computed constrained-preserving update scheme which can be viewed as a generalization of the Cayley transform, a classical retraction on the Stiefel manifold. A simple filter mechanism for unconstrained optimization is used in the given feasible method to promote global convergence to first-order critical points. Numerical results are given.
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Cited in
(11)- A Riemannian conjugate gradient method for optimization on the Stiefel manifold
- Transportless conjugate gradient for optimization on Stiefel manifold
- Nonmonotone inexact restoration approach for minimization with orthogonality constraints
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- On Optimal Selection of Correlation Matrices for Matrix-Pencil-Based Separation
- Approximation of rank function and its application to the nearest low-rank correlation matrix
- On the generalized low rank approximation of the correlation matrices arising in the asset portfolio
- Primal-dual active-set methods for large-scale optimization
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- Nonmonotone feasible arc search algorithm for minimization on Stiefel manifold
- Generalized left-localized Cayley parametrization for optimization with orthogonality constraints
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