fagan2888 / anderson-accel-ncm

Anderson acceleration for the alternating projections method for the nearest correlation matrix problem

anderson-accel-ncm - MATLAB Codes for Anderson acceleration of the alternating projections method for the nearest correlation matrix

About

anderson-accel-ncm contains MATLAB functions for repairing invalid (indefinite) correlation matrices, based on the paper

N. J. Higham and N. Strabić, "Anderson Acceleration of the Alternating Projections Method for Computing the Nearest Correlation Matrix", Numer. Alg., 72(4):1021-1042, 2016.

The main functions are

• nearcorr_aa: the alternating projections method for computing the nearest correlation matrix with Anderson acceleration. It includes the options of fixing elements and imposing a lower bound on the smallest eigenvalue.

• nearcorr_new: the alternating projections method for computing the nearest correlation matrix. This is a version of the function nearcorr at https://nickhigham.wordpress.com/2013/02/13/the-nearest-correlation-matrix/ that has been modified to include the options of fixing elements and imposing a lower bound on the smallest eigenvalue. This unaccelerated code is included for comparison with the accelerated code nearcorr_aa.

Other M-files:

• test_anderson: a test function. It runs the functions above on two test problems and reports the number of iterations. It can be run by typing test_anderson with no arguments.

Requirements

The codes have been developed under MATLAB 2015a and have been tested with MATLAB 2015b pre-release.

License

See license.txt for licensing information.