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Volumn 31, Issue 2, 2011, Pages 491-511

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

Author keywords

augmented Lagrangian; conjugate gradient method; nearest correlation matrix; semismooth Newton method

Indexed keywords

APPROXIMATION THEORY; CONSTRAINED OPTIMIZATION; CONVEX OPTIMIZATION; LAGRANGE MULTIPLIERS; MATRIX ALGEBRA; NEWTON-RAPHSON METHOD; NUMERICAL METHODS; QUADRATIC PROGRAMMING;

EID: 79953675385     PISSN: 02724979     EISSN: 14643642     Source Type: Journal    
DOI: 10.1093/imanum/drp031     Document Type: Article
Times cited : (46)

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