A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem-Reference-Cited by-同舟云学术

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A 2-block semi-proximal ADMM for solving the H-weighted nearest correlation matrix problem

Published:2016-10-21 Issue:1 Volume:66 Page:1-16
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Chang Xiaokai,Liu Sanyang

Funder

National Natural Science Foundation of China under Grant

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

http://www.tandfonline.com/doi/pdf/10.1080/02331934.2016.1246547

Reference31 articles.

1. Computing the nearest correlation matrix--a problem from finance

2. A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix

3. An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem

4. Computing the nearest low-rank correlation matrix by a simplified SQP algorithm

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