[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.14317/jami.2012.30.1_2.201

MODIFIED MULTIPLICATIVE UPDATE ALGORITHMS FOR COMPUTING THE NEAREST CORRELATION MATRIX

Yin, Jun-Feng (Department of Mathematics, Tongji University)
Huang, Yumei (School of Mathematics and Statistics, Lanzhou University)

Publication Information

Journal of applied mathematics & informatics / v.30, no.1_2, 2012 , pp. 201-210 More about this Journal

Abstract

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.

Keywords

Multiplicative update algorithm; nonnegative matrix factorization; nearest correlation matrix;

Citations & Related Records

Reference

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