A feasible filter method for the nearest low-rank correlation matrix problem
The paper presents a new easily computed constrained-preserving update scheme which can be viewed as a generalization of the Cayley transform, a classical retraction on the Stiefel manifold. A simple filter mechanism for unconstrained optimization is used in the given feasible method to promote global convergence to first-order critical points. Numerical results are given.
scientific article; zbMATH DE number 6477405
scientific article