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

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

10.1093/imanum/drp031

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Bibliographic Details
Main Authors: Qi, H., Sun, D.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
augmented Lagrangian
conjugate gradient method
nearest correlation matrix
semismooth Newton method
Online Access:http://scholarbank.nus.edu.sg/handle/10635/102825
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/102825

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