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Research project

Nonsmooth Equations

  • Research funder:
    EPSRC
  • Status:
    Not active

Research outputs

An augmented Lagrangian dual approach for the H-weighted nearest correlation matrix problem
2011, IMA Journal of Numerical Analysis, 31, 491-511
DOI: 10.1093/imanum/drp031
Type: article
A sequential semismooth Newton method for the nearest low-rank correlation matrix problem
2011, SIAM Journal on Optimization, 21(4), 1641-1666
DOI: 10.1137/090771181
Type: article
Correlation stress testing for value-at-risk: an unconstrained convex optimization approach
2010, Computational Optimization and Applications, 45(2), 427-462
DOI: 10.1007/s10589-008-9231-4
Type: article
Newton’s method for computing the nearest correlation matrix with a simple upper bound
2010, Journal of Optimization Theory and Applications, 147(3), 546-568
DOI: 10.1007/s10957-010-9738-6
Type: article
Local duality of nonlinear semidefinite programming
2009, Mathematics of Operations Research, 34(1), 124-141
DOI: 10.1287/moor.1080.0315
Type: article