A projected semismooth Newton method for problems of calibrating least squares covariance matrix.

Qingna Li Donghui Li

Published in: Oper. Res. Lett. (2011)

Keyphrases

covariance matrix
least squares
newton method
variational inequalities
sample size
principal component analysis
principal components
optimality conditions
quasi newton
machine learning
special case
optimization problems
convergence analysis