A feasible filter method for the nearest low-rank correlation matrix problem
type: Item
instance of: scholarly article
title: A feasible filter method for the nearest low-rank correlation matrix problem
zbMATH Open document ID: 1354.65128
author: Xiaojing Zhu
published in: Numerical Algorithms
publication date: 2015-09-01T00:00:00Z
review text: 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.
reviewed by: Hans Benker
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 90C26
Mathematics Subject Classification ID: 49M37
zbMATH DE Number: 6477405
zbMATH Keywords: low-rank correlation matrix
zbMATH Keywords: feasible method
zbMATH Keywords: Stiefel manifold
describes a project that uses: mftoolbox
MaRDI profile type: Publication
full work available at URL: s11075-014-9924-y
OpenAlex ID: W2040464297
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DOI: 10.1007/S11075-014-9924-Y
description: scientific article; zbMATH DE number 6477405