ADM for H-weighted nearest correlation matrix problem.

There are few methods for solving H-weighted nearest correlation matrix (HNCM) problem in the literatures. The main reason is that it is difficult to obtain a computable formula for the projection of a matrix onto the positive semidefinite matrix cone under the H-weight. The alternating direction method (ADM)is applied for solving HNCM problems. At each iteration, a quadratic program with closed-form solution and a projection on positive semidefinite matrix cone without weight are calculated. The method is very simple and easy to be implemented. To speed up the calculation, a modified ADM is also studied. The numerical results show that compared with the existing methods ADM is very efficient for solving HNCM problem. [ABSTRACT FROM AUTHOR]