Efficient rank reduction of correlation matrices

DOI10.1016/j.laa.2006.11.024zbMath1112.65036arXivcond-mat/0403477OpenAlexW3125769231MaRDI QIDQ875015

Raoul Pietersz, Igor Grubišić

Publication date: 10 April 2007

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0403477

zbMATH Keywords

numerical examplesrankcorrelation matrixLagrange multiplier methodLIBOR market modelgeometric optimisation

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20) Numerical mathematical programming methods (65K05) Quadratic programming (90C20)

Related Items (35)

Structure methods for solving the nearest correlation matrix problem ⋮ Analysis of Asymptotic Escape of Strict Saddle Sets in Manifold Optimization ⋮ Computing the nearest low-rank correlation matrix by a simplified SQP algorithm ⋮ A majorization algorithm for constrained correlation matrix approximation ⋮ Kriging Riemannian Data via Random Domain Decompositions ⋮ Nonconvex and nonsmooth optimization with generalized orthogonality constraints: an approximate augmented Lagrangian method ⋮ A novel method for a class of structured low-rank minimizations with equality constraint ⋮ Penalty decomposition methods for rank minimization ⋮ Approximation of rank function and its application to the nearest low-rank correlation matrix ⋮ Alternating projections on nontangential manifolds ⋮ Transportless conjugate gradient for optimization on Stiefel manifold ⋮ Nonlinear damped oscillators on Riemannian manifolds: fundamentals ⋮ On the generalized low rank approximation of the correlation matrices arising in the asset portfolio ⋮ An equivalent nonlinear optimization model with triangular low-rank factorization for semidefinite programs ⋮ Generalized left-localized Cayley parametrization for optimization with orthogonality constraints ⋮ A New First-Order Algorithmic Framework for Optimization Problems with Orthogonality Constraints ⋮ A non-monotone linear search algorithm with mixed direction on Stiefel manifold ⋮ Adjusting covariance matrix for risk management ⋮ A feasible filter method for the nearest low-rank correlation matrix problem ⋮ An extended projective formula and its application to semidefinite optimization ⋮ Projected nonmonotone search methods for optimization with orthogonality constraints ⋮ A comparison of single factor Markov-functional and multi factor market models ⋮ On the low rank solution of the Q‐weighted nearest correlation matrix problem ⋮ A Riemannian conjugate gradient method for optimization on the Stiefel manifold ⋮ A feasible method for optimization with orthogonality constraints ⋮ Riemannian inexact Newton method for structured inverse eigenvalue and singular value problems ⋮ Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition ⋮ A framework of constraint preserving update schemes for optimization on Stiefel manifold ⋮ Statistical rehabilitation of improper correlation matrices ⋮ Nonnegative matrix factorization of a correlation matrix ⋮ A Black–Litterman approach to correlation stress testing ⋮ Global convergence of Riemannian line search methods with a Zhang-Hager-type condition ⋮ Uncovering the dynamics of correlation structures relative to the collective market motion ⋮ Unnamed Item ⋮ Statistical Corrections of Invalid Correlation Matrices

Uses Software

• JDQR
• JDQZ

Cites Work

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