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MODIFIED MULTIPLICATIVE UPDATE ALGORITHMS FOR COMPUTING THE NEAREST CORRELATION MATRIX
Yin, Jun-Feng,Huang, Yumei The Korean Society for Computational and Applied M 2012 Journal of applied mathematics & informatics Vol.30 No.1
A modified multiplicative update algorithms is presented for computing the nearest correlation matrix. The convergence property is analyzed in details and a sufficient condition is given to guarantee that the proposed approach will not breakdown. A number of numerical experiments show that the modified multiplicative updating algorithm is efficient, and comparable with the existing algorithms.
MODIFIED MULTIPLICATIVE UPDATE ALGORITHMS FOR COMPUTING THE NEAREST CORRELATION MATRIX
Junfeng Yin,Yumei Huang 한국전산응용수학회 2012 Journal of applied mathematics & informatics Vol.30 No.1
A modified multiplicative update algorithms is presented for computing the nearest correlation matrix. The convergence property is analyzed in details and a sufficient condition is given to guarantee that the proposed approach will not breakdown. A number of numerical experiments show that the modified multiplicative updating algorithm is efficient,and comparable with the existing algorithms.