Block relaxation and majorization methods for the nearest correlation matrix with factor structure
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- A Dual Approach to Semidefinite Least-Squares Problems
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A generic one-factor Lévy model for pricing synthetic CDOs
- A preconditioned Newton algorithm for the nearest correlation matrix
- Algorithm 813
- Algorithm 873
- An inexact primal-dual path following algorithm for convex quadratic SDP
- Calibrating Least Squares Semidefinite Programming with Equality and Inequality Constraints
- Computing a Trust Region Step
- Computing a nearest correlation matrix with factor structure
- Computing the nearest correlation matrix--a problem from finance
- Least-Squares Covariance Matrix Adjustment
- Nonmonotone Spectral Projected Gradient Methods on Convex Sets
- Nonnegative matrix factorization of a correlation matrix
- Numerical Optimization
- On the truncated conjugate gradient method
- Setting up alternating least squares and iterative majorization algorithms for solving various matrix optimization problems
- The Conjugate Gradient Method and Trust Regions in Large Scale Optimization
Cited in
(6)- The eigenstructure of block-structured correlation matrices and its implications for principal component analysis
- Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block
- Anderson acceleration of the alternating projections method for computing the nearest correlation matrix
- Computing a nearest correlation matrix with factor structure
- A Filter Active-Set Algorithm for Ball/Sphere Constrained Optimization Problem
- A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem
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