A projected semismooth Newton method for problems of calibrating least squares covariance matrix

Authors:
Qingna Li;Donghui Li
Affiliations:
Institute of Computational Mathematics and Scientific/Engineering Computing, Chinese Academy of Sciences, Beijing 100080, China;School of Mathematical Sciences, South China Normal University, Guangzhou, 510631, China
Venue:
Operations Research Letters
Year:
2011

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Abstract

In this paper we propose a projected semismooth Newton method to solve the problem of calibrating least squares covariance matrix with equality and inequality constraints. The method is globally and quadratically convergent with proper assumptions. The numerical results show that the proposed method is efficient and comparable with existing methods.