A projected semismooth Newton method for problems of calibrating least squares covariance matrix

doi:10.1016/j.orl.2011.01.004

CSpace

	A projected semismooth Newton method for problems of calibrating least squares covariance matrix
	Li, Qingna 2; Li, Donghui 1
	2011-03-01
发表期刊	OPERATIONS RESEARCH LETTERS
ISSN	0167-6377
卷号	39 期号:2 页码:103-108
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.
关键词	Semismooth Newton method Active set Constraint nondegeneracy Quadratic semidefinite programming
DOI	10.1016/j.orl.2011.01.004
语种	英语
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
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000290079000005
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/12869
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.