Description Usage Arguments Details Value Examples
nearcorr
creates input for sqlp to solve the nearest correlation matrix problem -
given a approximate correlation matrix H, find the nearest correlation matrix X.
1 | nearcorr(H)
|
H |
A symmetric matrix |
For a given approximate correlation matrix H, determines the nearest correlation matrix X. Mathematical and implementation details can be found in the vignette
X |
A list containing the solution matrix to the primal problem |
y |
A list containing the solution vector to the dual problem |
Z |
A list containing the solution matrix to the dual problem |
pobj |
The achieved value of the primary objective function |
dobj |
The achieved value of the dual objective function |
1 2 3 |
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