An efficient numerical method for condition number constrained covariance matrix approximation

DOI10.1016/j.amc.2020.125925OpenAlexW3049368347MaRDI QIDQ2242067

Shaoxin Wang

Publication date: 9 November 2021

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.06851

zbMATH Keywords

singular value decompositioncovariance matrixhigh-dimensional datacondition number constraint

Mathematics Subject Classification ID

Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Numerical computation of matrix norms, conditioning, scaling (65F35) Conditioning of matrices (15A12)

Uses Software

• LAPACK
• mctoolbox
• spcov

Cites Work

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