Treffer: A dual approach to semidefinite least-squares problems
Title:
A dual approach to semidefinite least-squares problems
Authors:
Source:
SIAM journal on matrix analysis and applications. 26(1):272-284
Publisher Information:
Philadelphia, PA: Society for Industrial and Applied Mathematics, 2004.
Publication Year:
2004
Physical Description:
print, 11 ref
Original Material:
INIST-CNRS
Subject Terms:
Computer science, Informatique, Mathematics, Mathématiques, Sciences exactes et technologie, Exact sciences and technology, Sciences et techniques communes, Sciences and techniques of general use, Mathematiques, Mathematics, Analyse numérique. Calcul scientifique, Numerical analysis. Scientific computation, Analyse numérique, Numerical analysis, Algèbre linéaire numérique, Numerical linear algebra, Méthodes numériques en programmation mathématique, optimisation et calcul variationnel, Numerical methods in mathematical programming, optimization and calculus of variations, Programmation mathématique numérique, Numerical methods in mathematical programming, Sciences appliquees, Applied sciences, Recherche operationnelle. Gestion, Operational research. Management science, Recherche opérationnelle et modèles formalisés de gestion, Operational research and scientific management, Programmation mathématique, Mathematical programming, Sélection et gestion de portefeuilles, Portfolio theory, Ajustement modèle, Model matching, Ajustamiento modelo, Ensemble convexe, Convex set, Conjunto convexo, Etalonnage, Calibration, Contraste, Intersection, Intersección, Matrice covariance, Covariance matrix, Matriz covariancia, Méthode optimisation, Optimization method, Método optimización, Problème moindre carré, Least squares problem, Problema minimos cuadrados, Programmation semi définie, Semi definite programming, Programacíon semi definida, Dualité lagrangienne, Lagrangian duality, 65F99, 90C22, 91B28, calibration of covariance matrices 65K05, semidefinite optimization
Document Type:
Fachzeitschrift
Article
File Description:
text
Language:
English
Author Affiliations:
INRIA, 655 av. de l'Europe, Montbonnot, 38334 Saint Ismier, France
ISSN:
0895-4798
Rights:
Copyright 2005 INIST-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
CC BY 4.0
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
Notes:
Mathematics
Operational research. Management
Operational research. Management
Accession Number:
edscal.17208402
Database:
PASCAL Archive
Weitere Informationen
In this paper, we study the projection onto the intersection of an affine subspace and a convex set and provide a particular treatment for the cone of positive semidefinite matrices. Among applications of this problem is the calibration of covariance matrices. We propose a Lagrangian dualization of this least-squares problem, which leads us to a convex differentiable dual problem. We propose to solve the latter problem with a quasi-Newton algorithm. We assess this approach with numerical experiments which show that fairly large problems can be solved efficiently.