Alternative gradient algorithms for computing the nearest correlation matrix

DOI10.1016/j.amc.2013.01.045zbMath1291.65113OpenAlexW2020343962MaRDI QIDQ2451348

Yanyan Li

Publication date: 3 June 2014

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

Full work available at URL: https://doi.org/10.1016/j.amc.2013.01.045

zbMATH Keywords

convergencenumerical experimentspositive semidefinite matrixnearest correlation matrixalternative gradient algorithmmatrix factorization and approximation

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Iterative numerical methods for linear systems (65F10)

Related Items (2)

On the generalized low rank approximation of the correlation matrices arising in the asset portfolio ⋮ Gradient-based parameter identification algorithms for observer canonical state space systems using state estimates

Uses Software

• Multivariate_Data_Generation

Cites Work

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• Computing the nearest correlation matrix--a problem from finance
• Alternative gradient algorithms with applications to nonnegative matrix factorizations
• Nonnegative matrix factorization of a correlation matrix
• Computing a nearest symmetric positive semidefinite matrix
• Hermitian and Skew-Hermitian Splitting Methods for Non-Hermitian Positive Definite Linear Systems
• Block Triangular and Skew-Hermitian Splitting Methods for Positive-Definite Linear Systems

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