Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
Computational Optimization and Applications
A Newton-CG Augmented Lagrangian Method for Semidefinite Programming
SIAM Journal on Optimization
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The inverse quadratic eigenvalue problem (IQEP) arises in the field of structural dynamics. It aims to find three symmetric matrices, known as the mass, the damping, and the stiffness matrices, such that they are closest to the given analytical matrices and satisfy the measured data. The difficulty of this problem lies in the fact that in applications the mass matrix should be positive definite and the stiffness matrix positive semidefinite. Based on an equivalent dual optimization version of the IQEP, we present a quadratically convergent Newton-type method. Our numerical experiments confirm the high efficiency of the proposed method.