Newton's method for computing the nearest correlation matrix with a simple upper bound
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Publication:620444
DOI10.1007/S10957-010-9738-6zbMATH Open1229.90118OpenAlexW2088265206MaRDI QIDQ620444FDOQ620444
Authors: Houduo Qi, Qing-Na Li, Dong-Hui Li 
Publication date: 19 January 2011
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-010-9738-6
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Numerical mathematical programming methods (65K05) Semidefinite programming (90C22) Newton-type methods (49M15)
Cites Work
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- Computing the nearest correlation matrix--a problem from finance
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- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
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Cited In (8)
- Complementarity problems with respect to Loewnerian cones
- Alternative gradient algorithms for computing the nearest correlation matrix
- Modified multiplicative update algorithms for computing the nearest correlation matrix
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- Computing the nearest correlation matrix--a problem from finance
- Block relaxation and majorization methods for the nearest correlation matrix with factor structure
- A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
- A preconditioned Newton algorithm for the nearest correlation matrix
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