Block relaxation and majorization methods for the nearest correlation matrix with factor structure
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Publication:763394
DOI10.1007/S10589-010-9374-YzbMATH Open1236.90119OpenAlexW1986956221MaRDI QIDQ763394FDOQ763394
Authors: Houduo Qi, Qing-Na Li, Naihua Xiu 
Publication date: 9 March 2012
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-010-9374-y
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Cited In (6)
- Computing a nearest correlation matrix with factor structure
- Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
- The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
- A Filter Active-Set Algorithm for Ball/Sphere Constrained Optimization Problem
- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
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