An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem

Keyphrases

• Augmented Lagrangian Method 100%
• Lagrangian Dual 100%
• Dual Approach 100%
• Nearest Correlation Matrix 100%
• Metric Projection 50%
• Inexact Newton Method 25%
• Numerical Experiments 25%
• Efficient numerical Methods 25%
• Convex Optimization Problem 25%
• Conjugate Gradient Method 25%
• Explicit Computation 25%
• Analytic Formula 25%
• Positive Definite Cone 25%
• Unconstrained Convex Optimization 25%

Engineering

• Metrics 100%
• Correlation Matrix 100%
• Numerical Experiment 50%
• Convex Optimization Problem 50%
• Newton's Method 50%
• Solve Method 50%
• Numerical Methods 50%
• Conjugate Gradient Method 50%

Mathematics

• Correlation Matrix 100%
• Lagrangian 100%
• Metric Projection 50%
• Conjugate Gradient Method 25%
• Analytic Formula 25%
• Positive Semidefinite Cone 25%
• Numerical Experiment 25%
• Newton's Method 25%
• Mathematical Method 25%