Riemannian Geometry of Correlation Matrices
Research material:
- A Riemannian low-rank method for optimization over semidefinite matrices with block-diagonal constraints
- Low-rank optimization for semidefinite convex problems
- Structured Nearest Correlation Matrix Problems
- Computing the Nearest Correlation Matrix - A Problem from Finance
- Optimization and estimation on manifolds
- The Convex Geometry of Linear Inverse Problems
- On the Facial Structure of the Set of Correlation Matrices
- Efficient Rank Reduction of Correlation Matrices
- Nonnegative matrix factorization of a correlation matrix