scientific article; zbMATH DE number 7289878

MaRDI QIDQ5142497zbMATH OpenFDO

Authors Suliman Al-Homidan

Publication date 31 December 2020

Full work available at URL http://yokohamapublishers.jp/online2/opjnca/vol19/p881.html

zbMATH Keywords

alternating projection methodcorrelation matrixfixed point methodnearness problempositive semidefinite programmingquasi Newton methodsemidefinite matrixSQP method

Mathematics Subject Classification ID

Newton-type methods (49M15) Quadratic programming (90C20) Semidefinite programming (90C22) Convex programming (90C25) Methods of quasi-Newton type (90C53)

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Cited in

(27)

• Computing the nearest correlation matrix--a problem from finance
• Optimal low-rank approximation to a correlation matrix
• Second-order cone and semidefinite methods for the bisymmetric matrix approximation problem
• Alternative gradient algorithms for computing the nearest correlation matrix
• A lower bound for the nearest correlation matrix problem based on the circulant mean
• Structure methods for solving the nearest correlation matrix problem
• Bounds for the distance to the nearest correlation matrix
• Computing the nearest low-rank correlation matrix by a simplified SQP algorithm
• An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
• Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
• Computing a nearest correlation matrix with factor structure
• A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
• A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
• Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
• Approximation of rank function and its application to the nearest low-rank correlation matrix
• Rank reduction of correlation matrices by majorization
• Primal-dual active-set methods for large-scale optimization
• A feasible filter method for the nearest low-rank correlation matrix problem
• A relaxed SCA approach for calibrating low rank correlation matrix problem
• Correlation matrix nearness and completion under observation uncertainty
• A preconditioned Newton algorithm for the nearest correlation matrix
• Actuarial risk matrices: the nearest positive semidefinite matrix problem
• On the low rank solution of the Q-weighted nearest correlation matrix problem.
• Calibrating low-rank correlation matrix problem: an SCA-based approach
• Newton's method for computing the nearest correlation matrix with a simple upper bound
• Block relaxation and majorization methods for the nearest correlation matrix with factor structure
• Efficient rank reduction of correlation matrices

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