Computing Nearest Correlation Matrix via Low-Rank ODE’s Based Technique

Computing Nearest Correlation Matrix via Low-Rank ODE’s Based Technique

For <i>n</i>-dimensional real-valued matrix <i>A</i>, the computation of nearest correlation matrix; that is, a symmetric, positive semi-definite, unit diagonal and off-diagonal entries between <inline-formula><math display="inline"><semantics><...

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Bibliographic Details
Main Authors: Rehman, Mutti-Ur, Alzabut, Jehad, Abodayeh, Kamaleldin
Other Authors: Massachusetts Institute of Technology. Department of Chemical Engineering
Format: Article
Published: Multidisciplinary Digital Publishing Institute 2021
Online Access:https://hdl.handle.net/1721.1/131319

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