Newton’s Method for Computing the Nearest Correlation Matrix with a Simple Upper Bound
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DOI: 10.1007/s10957-010-9738-6
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- Defeng Sun & Jie Sun, 2002. "Semismooth Matrix-Valued Functions," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 150-169, February.
- Defeng Sun, 2006. "The Strong Second-Order Sufficient Condition and Constraint Nondegeneracy in Nonlinear Semidefinite Programming and Their Implications," Mathematics of Operations Research, INFORMS, vol. 31(4), pages 761-776, November.
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- Kawee Numpacharoen & Amporn Atsawarungruangkit, 2012. "Generating Correlation Matrices Based on the Boundaries of Their Coefficients," PLOS ONE, Public Library of Science, vol. 7(11), pages 1-7, November.
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