A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices

DOI10.1080/10556788.2021.1998491OpenAlexW4213085999MaRDI QIDQ5058396FDOQ5058396

Authors: Chungen Shen, Li Wang, Xiao Liu 

Publication date: 20 December 2022

Published in: Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556788.2021.1998491

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zbMATH Keywords

sparse approximationproximal gradient methodglobal convergencesemi-smooth Newton methodcorrelation matrices

Mathematics Subject Classification ID

Nonlinear programming (90C30)

Cites Work

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• Superlinearly convergent approximate Newton methods for LC\(^ 1\) optimization problems
• An active-set proximal-Newton algorithm for \(\ell_1\) regularized optimization problems with box constraints
• An accelerated active-set algorithm for a quadratic semidefinite program with general constraints
• Sparse estimation of high-dimensional correlation matrices
• Limited memory BFGS algorithm for the matrix approximation problem in Frobenius norm
• Calibrating low-rank correlation matrix problem: an SCA-based approach

Cited In (4)

• A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
• A sparse proximal implementation of the LP dual active set algorithm
• A preconditioned Newton algorithm for the nearest correlation matrix
• An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem

Uses Software

• Ipopt
• spcov

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