A projected semismooth Newton method for problems of calibrating least squares covariance matrix
文献类型：期刊论文
| 作者 | Li, Qingna2; Li, Donghui1 |
| 刊名 | OPERATIONS RESEARCH LETTERS
 |
| 出版日期 | 2011-03-01 |
| 卷号 | 39期号:2页码:103-108 |
| 关键词 | Semismooth Newton method Active set Constraint nondegeneracy Quadratic semidefinite programming |
| ISSN号 | 0167-6377 |
| DOI | 10.1016/j.orl.2011.01.004 |
| 英文摘要 | In this paper we propose a projected semismooth Newton method to solve the problem of calibrating least squares covariance matrix with equality and inequality constraints. The method is globally and quadratically convergent with proper assumptions. The numerical results show that the proposed method is efficient and comparable with existing methods. (c) 2011 Elsevier B.V. All rights reserved. |
| 资助项目 | Ministry of Education of China[309023] ; NSF of China[11071087] ; NSF of China[10771057] |
| WOS研究方向 | Operations Research & Management Science |
| 语种 | 英语 |
| WOS记录号 | WOS:000290079000005 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/12868]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Li, Donghui |
| 作者单位 | 1.S China Normal Univ, Sch Math Sci, Guangzhou 510631, Guangdong, Peoples R China 2.Chinese Acad Sci, Inst Computat Math & Sci Engn Comp, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Li, Qingna,Li, Donghui. A projected semismooth Newton method for problems of calibrating least squares covariance matrix[J]. OPERATIONS RESEARCH LETTERS,2011,39(2):103-108. |
| APA | Li, Qingna,&Li, Donghui.(2011).A projected semismooth Newton method for problems of calibrating least squares covariance matrix.OPERATIONS RESEARCH LETTERS,39(2),103-108. |
| MLA | Li, Qingna,et al."A projected semismooth Newton method for problems of calibrating least squares covariance matrix".OPERATIONS RESEARCH LETTERS 39.2(2011):103-108. |
入库方式： OAI收割
来源：数学与系统科学研究院
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