Title of Paper:利用交替方向法求解H权重最近相关系数矩阵问题

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Date of Publication:2015-01-01

Journal:大连理工大学学报

Issue:5

Page Number:553-558

ISSN No.:1000-8608

Abstract:There are few methods for solving H-weighted nearest correlation matrix (HNCM) problem in the literatures.The main reason is that it is difficult to obtain a computable formula for the proj ection of a matrix onto the positive semidefinite matrix cone under the H-weight.The alternating direction method (ADM)is applied for solving HNCM problems.At each iteration,a quadratic program with closed-form solution and a proj ection on positive semidefinite matrix cone without weight are calculated.The method is very simple and easy to be implemented.To speed up the calculation,a modified ADM is also studied.The numerical results show that compared with the existing methods ADM is very efficient for solving HNCM problem.

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