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Block relaxation and majorization methods for the nearest correlation matrix with factor structure

文献类型：期刊论文

作者Li, Qingna2; Qi, Houduo1; Xiu, Naihua3
刊名COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
出版日期2011-10-01
卷号50期号:2页码:327-349
关键词Block relaxation methods Majorization methods Correlation matrix Factor structure
ISSN号0926-6003
DOI10.1007/s10589-010-9374-y
英文摘要We propose two numerical methods, namely the alternating block relaxation method and the alternating majorization method, for the problem of nearest correlation matrix with factor structure, which is highly nonconvex. In the block relaxation method, the subproblem is of the standard trust region problem, which is solved by Steighaug's truncated conjugate gradient method or by the exact trust region method. In the majorization method, the subproblem has a closed-form solution. We then apply the majorization method to the case where nonnegative factors are required. The numerical results confirm that the proposed methods work quite well and are competitive against the best available methods.
资助项目National Basic Research Program of China[2010CB732501]
WOS研究方向Operations Research & Management Science ; Mathematics
语种英语
WOS记录号WOS:000295574600007
出版者SPRINGER
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/11881]  
专题中国科学院数学与系统科学研究院
通讯作者Qi, Houduo
作者单位1.Univ Southampton, Sch Math, Southampton SO17 1BJ, Hants, England
2.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100080, Peoples R China
3.Beijing Jiaotong Univ, Dept Math, Beijing 100044, Peoples R China
推荐引用方式
GB/T 7714		 Li, Qingna,Qi, Houduo,Xiu, Naihua. Block relaxation and majorization methods for the nearest correlation matrix with factor structure[J]. COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,2011,50(2):327-349.
APA Li, Qingna,Qi, Houduo,&Xiu, Naihua.(2011).Block relaxation and majorization methods for the nearest correlation matrix with factor structure.COMPUTATIONAL OPTIMIZATION AND APPLICATIONS,50(2),327-349.
MLA Li, Qingna,et al."Block relaxation and majorization methods for the nearest correlation matrix with factor structure".COMPUTATIONAL OPTIMIZATION AND APPLICATIONS 50.2(2011):327-349.

入库方式： OAI收割

来源：数学与系统科学研究院

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