An efficient numerical method for condition number constrained covariance matrix approximation
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Publication:6347152
DOI10.1016/j.amc.2020.125925zbMath1508.65038arXiv2008.06851MaRDI QIDQ6347152
Publication date: 16 August 2020
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)
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