A penalized method of alternating projections for weighted low-rank Hankel matrix optimization
DOI10.1007/s12532-022-00217-1OpenAlexW4210283651MaRDI QIDQ2088963
Jian Shen, Jein-Shan Chen, Hou-Duo Qi, Nai-Hua Xiu
Publication date: 6 October 2022
Published in: Mathematical Programming Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12532-022-00217-1
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Toeplitz operators, Hankel operators, Wiener-Hopf operators (47B35) Numerical methods for low-rank matrix approximation; matrix compression (65F55)
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