A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix

By H. Qi, Defeng Sun. SIAM Journal on Matrix Analysis and Applications, 2006

309 citations recorded by the source corpus.

Subfields: Computational Theory and Mathematics, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/43b2f111975e3e276392bafd789f9d3e8eac2ff1

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In Computational Theory and Mathematics

In Numerical Analysis

Citations in the corpus

Fréchet regression for random objects with Euclidean predictors (2016, methodology): “This problem has been well studied (Higham 2002; Qi and Sun 2006; Borsdorf and Higham 2010), and in our implementations we used the alternating projections algorithm, written by Nicholas Higham and available at”
A survey of numerical methods for nonlinear semidefinite programming (2015, unknown): “See [17, 18, 23, 34, 40, 43, 57, 63, 69] and references therein.”
Tri-criterion modeling for constructing more-sustainable mutual funds (2015, methodology): “If this does not yield a positive definite matrix, compute as the nearest positive definite matrix using the procedure prescribed in Qi and Sun (2006).”
A blocking and regularization approach to high dimensional realized covariance estimation (2012, unknown): “Ledoit and Wolf (2004), Qi and Sun (2006) or Bickel and Levina (2008)).”
An Overview on the Estimation of Large Covariance and Precision Matrices (2015, unknown): “soft) C min (SCAD) C min (hard) 2.4.2 Nearest positive denite matrices An alternative approach to achieving the nite sample positive deniteness is through solving a constraint optimization problem. Qi and Sun (2006) introduced an algorithm for computing the nearest correlation matrix: recall that RT”
Analysis of elliptical copula correlation factor model with Kendall's tau (2013, unknown): “We refer the readers to [36] and the references therein for the computational aspect of (2.”
A Newton-CG Augmented Lagrangian Method for Semidefinite Programming (2010, methodology): “In fact, the quadratic convergence and superb numerical results of the generalized Newton’s method combined with the conjugate gradient (CG) method reported in [23] for solving a related problem strongly motivated us to study the semismooth Newton-CG method (see Section 3) to solve the inner problem”