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

doi:10.1007/s10589-010-9374-y

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	Block relaxation and majorization methods for the nearest correlation matrix with factor structure
	Li, Qingna 2; Qi, Houduo 1; Xiu, Naihua 3
	2011-10-01
发表期刊	COMPUTATIONAL OPTIMIZATION AND APPLICATIONS
ISSN	0926-6003
卷号	50 期号:2 页码:327-349
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.
关键词	Block relaxation methods Majorization methods Correlation matrix Factor structure
DOI	10.1007/s10589-010-9374-y
语种	英语
资助项目	National Basic Research Program of China[2010CB732501]
WOS研究方向	Operations Research & Management Science ; Mathematics
WOS类目	Operations Research & Management Science ; Mathematics, Applied
WOS记录号	WOS:000295574600007
出版者	SPRINGER
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11882
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.