sdpt3r (version 0.3)

nearcorr: 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

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

Details

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

Examples

# NOT RUN {
data(Hnearcorr)

out <- nearcorr(Hnearcorr)

# }