A preconditioned Newton algorithm for the nearest correlation matrix
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Publication:5189126
DOI10.1093/imanum/drn085zbMath1188.65055OpenAlexW2130697848WikidataQ56998711 ScholiaQ56998711MaRDI QIDQ5189126
Rüdiger Borsdorf, Nicholas J. Higham
Publication date: 8 March 2010
Published in: IMA Journal of Numerical Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imanum/drn085
Newton's methodpreconditioningconjugate gradient methodpositive semidefinite matrixalternating projections methodnearest correlation matrixrounding errorArmijo line search conditions
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