Newton's method for computing the nearest correlation matrix with a simple upper bound
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Publication:620444
DOI10.1007/s10957-010-9738-6zbMath1229.90118OpenAlexW2088265206MaRDI QIDQ620444
Hou-Duo Qi, Qing-Na Li, Dong-hui Li
Publication date: 19 January 2011
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-010-9738-6
Numerical mathematical programming methods (65K05) Semidefinite programming (90C22) Newton-type methods (49M15)
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