A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices-Reference-Cited by-同舟云学术

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A dual active-set proximal Newton algorithm for sparse approximation of correlation matrices

Published:2022-02-13 Issue:5 Volume:37 Page:1820-1844
ISSN:1055-6788
Container-title:Optimization Methods and Software
language:en
Short-container-title:Optimization Methods and Software

Author:

Liu Xiao¹,Shen Chungen¹^ORCID,Wang Li²³

Affiliation:

1. College of Science, University of Shanghai for Science and Technology, Shanghai, People's Republic of China

2. Department of Mathematics, University of Texas at Arlington, Arlington, TX, USA

3. Department of Computer Science and Engineering, University of Texas at Arlington, Arlington, TX, USA

Publisher

Informa UK Limited

Subject

Applied Mathematics,Control and Optimization,Software

Link

https://www.tandfonline.com/doi/pdf/10.1080/10556788.2021.1998491

Reference50 articles.

1. Toeplitz Approximation to Empirical Correlation Matrix of Asset Returns: A Signal Processing Perspective

2. Regularized estimation of large covariance matrices

3. Sparse estimation of a covariance matrix

4. Sequential Quadratic Programming with Penalization of the Displacement

5. Partially finite convex programming, Part II: Explicit lattice models

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