nearcorr: Nearest Correlation Matrix Problem

In sdpt3r: Semi-Definite Quadratic Linear Programming Solver

Description

nearcorr creates input for sqlp to solve the nearest correlation matrix problem - given a approximate correlation matrix H, find the nearest correlation matrix X.

Usage

nearcorr(H)

Arguments

H	A symmetric matrix

Details

For a given approximate correlation matrix H, determines the nearest correlation matrix X. Mathematical and implementation details can be found in the vignette

Value

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

Examples

data(Hnearcorr)

out <- nearcorr(Hnearcorr)

sdpt3r documentation built on May 2, 2019, 4:19 a.m.