A preconditioned Newton algorithm for the nearest correlation matrix

IMA Journal of Numerical Analysis

Volumn 30, Issue 1, 2010, Pages 94-107

  Borsdorf, Rüdiger ^a   Higham, Nicholas J ^b  

^a CHEMNITZ UNIVERSITY OF TECHNOLOGY   (Germany)

^b UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Alternating projections method; Armijo line search conditions; Correlation matrix; Newton's method; Positive semidefinite matrix; Preconditioning; Rounding error

Indexed keywords

CONJUGATE GRADIENT METHOD; NEWTON-RAPHSON METHOD;

ALTERNATING PROJECTIONS; ARMIJO LINE SEARCHES; CORRELATION MATRIX; NEWTON'S METHODS; POSITIVE SEMIDEFINITE MATRICES; PRECONDITIONING; ROUNDING ERRORS;

JACOBIAN MATRICES;

EID: 76549100532     PISSN: 02724979     EISSN: 14643642     Source Type: Journal    
DOI: 10.1093/imanum/drn085     Document Type: Article

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