A modified multiplicative update algorithms is presented for computing the nearest correlation matrix. The convergence property is analyzed in details and a sufficient condition is given to guarantee that the proposed approach will not breakdown. A nu...
A modified multiplicative update algorithms is presented for computing the nearest correlation matrix. The convergence property is analyzed in details and a sufficient condition is given to guarantee that the proposed approach will not breakdown. A number of numerical experiments show that the modified multiplicative updating algorithm is efficient, and comparable with the existing algorithms.