A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix.

Houduo Qi Defeng Sun

Published in: SIAM J. Matrix Anal. Appl. (2006)

Keyphrases

correlation matrix
newton method
singular value decomposition
linear equations
convergence analysis
covariance matrix
regularized least squares
nearest neighbor
optimality conditions
feature selection
variational inequalities
euclidean distance
nonlinear programming