Nonnegative matrix factorization of a correlation matrix

DOI10.1016/j.laa.2009.01.004zbMath1190.15018OpenAlexW2102566880MaRDI QIDQ1025855

J. J. I. M. van Kan, Peter Sonneveld, Xinzheng Huang, Cornelis W. Oosterlee

Publication date: 23 June 2009

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

Full work available at URL: http://resolver.tudelft.nl/uuid:958cb7dd-fe2e-463b-bda3-40622f4cfaaf

zbMATH Keywords

algorithmnumerical experimentsFrobenius normKullback-Leibler divergencecorrelation matrixlow-rank approximationnonnegative matrix factorizationcredit portfolioloss modellingsymmetric positive-semidefinite matrix

Mathematics Subject Classification ID

Related Items (2)

Alternative gradient algorithms for computing the nearest correlation matrix ⋮ Block relaxation and majorization methods for the nearest correlation matrix with factor structure

Cites Work

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• The Gradient Projection Method for Nonlinear Programming. Part I. Linear Constraints
• Rank reduction of correlation matrices by majorization
• Learning the parts of objects by non-negative matrix factorization

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