nearcorr {sdpt3r} | R Documentation |
Nearest Correlation Matrix Problem
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)
[Package sdpt3r version 0.3 Index]