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A projected semismooth Newton method for problems of calibrating least squares covariance matrix. (English) Zbl 1218.90220
Summary: 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.

MSC:
90C53 Methods of quasi-Newton type
90C22 Semidefinite programming
90C20 Quadratic programming
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