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ADM for H-weighted nearest correlation matrix problem.
- Source :
- Journal of Dalian University of Technology / Dalian Ligong Daxue Xuebao; 2015, Vol. 55 Issue 5, p553-558, 6p
- Publication Year :
- 2015
-
Abstract
- 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]
Details
- Language :
- Chinese
- ISSN :
- 10008608
- Volume :
- 55
- Issue :
- 5
- Database :
- Supplemental Index
- Journal :
- Journal of Dalian University of Technology / Dalian Ligong Daxue Xuebao
- Publication Type :
- Academic Journal
- Accession number :
- 111943656
- Full Text :
- https://doi.org/10.7511/dllgxb201505017