Tag Archives: correlations

A Collection of Invalid Correlation Matrices

I’ve written before (here) about the increasingly common problem of matrices that are supposed to be correlation matrices (symmetric and positive semidefinite with ones on the diagonal) turning out to have some negative eigenvalues. This is usually bad news because … Continue reading

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Anderson Acceleration

Anderson acceleration, also known in quantum chemistry as Pulay mixing or direct inversion in the iterative subspace (DIIS), is a technique for accelerating the convergence of a fixed-point iteration. It has been widely used in electronic structure computations, but does … Continue reading

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The Nearest Correlation Matrix

A correlation matrix is a symmetric matrix with unit diagonal and nonnegative eigenvalues. In 2000 I was approached by a London fund management company who wanted to find the nearest correlation matrix (NCM) in the Frobenius norm to an almost … Continue reading

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