Structure methods for solving the nearest correlation matrix problem
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Cites work
- A Dual Approach to Semidefinite Least-Squares Problems
- An Algorithm for Restricted Least Squares Regression
- Approximate and exact completion problems for Euclidean distance matrices using semidefinite programming
- Computational enhancements in low-rank semidefinite programming
- Computing the nearest correlation matrix--a problem from finance
- Efficient rank reduction of correlation matrices
- Euclidean distance matrices, semidefinite programming and sensor network localization
- Functional Operators (AM-22), Volume 2
- Geometry of semidefinite Max-Cut relaxations via matrix ranks
- Local minima and convergence in low-rank semidefinite programming
- Numerically stable generation of correlation matrices and their factors
- Semidefinite programming for discrete optimization and matrix completion problems
Cited in
(17)- Decomposition methods for sparse matrix nearness problems
- Computing a nearest correlation matrix with factor structure
- A class of multilevel structured low-rank approximation arising in material processing
- Alternative gradient algorithms for computing the nearest correlation matrix
- On Rebonato and Jäckel's parametrization method for finding nearest correlation matrices
- Computing the nearest correlation matrix--a problem from finance
- Semi-definite programming for the nearest circulant semi-definite matrix problem
- Block relaxation and majorization methods for the nearest correlation matrix with factor structure
- A lower bound for the nearest correlation matrix problem based on the circulant mean
- On the low rank solution of the Q-weighted nearest correlation matrix problem.
- On Rebonato and Jäckel's parametrization method for finding nearest correlation matrices
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- Estimation of Positive Semidefinite Correlation Matrices by Using Convex Quadratic Semidefinite Programming
- Correlation matrix nearness and completion under observation uncertainty
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