G02ABF (PDF version)
G02 Chapter Contents
G02 Chapter Introduction
NAG Library Manual

NAG Library Routine Document

G02ABF

Note:  before using this routine, please read the Users' Note for your implementation to check the interpretation of bold italicised terms and other implementation-dependent details.

 Contents

    1  Purpose
    7  Accuracy

1  Purpose

G02ABF computes the nearest correlation matrix, in the Frobenius norm or weighted Frobenius norm, and optionally with bounds on the eigenvalues, to a given square, input matrix.

2  Specification

SUBROUTINE G02ABF ( G, LDG, N, OPT, ALPHA, W, ERRTOL, MAXITS, MAXIT, X, LDX, ITER, FEVAL, NRMGRD, IFAIL)
INTEGER  LDG, N, MAXITS, MAXIT, LDX, ITER, FEVAL, IFAIL
REAL (KIND=nag_wp)  G(LDG,N), ALPHA, W(N), ERRTOL, X(LDX,N), NRMGRD
CHARACTER(1)  OPT

3  Description

Finds the nearest correlation matrix X by minimizing 12G-X2 where G is an approximate correlation matrix.
The norm can either be the Frobenius norm or the weighted Frobenius norm 12 W12 G-X W12 F 2 .
You can optionally specify a lower bound on the eigenvalues, α, of the computed correlation matrix, forcing the matrix to be positive definite, 0<α<1.
Note that if the weights vary by several orders of magnitude from one another the algorithm may fail to converge.

4  References

Borsdorf R and Higham N J (2010) A preconditioned (Newton) algorithm for the nearest correlation matrix IMA Journal of Numerical Analysis 30(1) 94–107
Qi H and Sun D (2006) A quadratically convergent Newton method for computing the nearest correlation matrix SIAM J. Matrix AnalAppl 29(2) 360–385

5  Arguments

1:     GLDGN – REAL (KIND=nag_wp) arrayInput/Output
On entry: G, the initial matrix.
On exit: G is overwritten.
2:     LDG – INTEGERInput
On entry: the first dimension of the array G as declared in the (sub)program from which G02ABF is called.
Constraint: LDGN.
3:     N – INTEGERInput
On entry: the order of the matrix G.
Constraint: N>0.
4:     OPT – CHARACTER(1)Input
On entry: indicates the problem to be solved.
OPT='A'
The lower bound problem is solved.
OPT='W'
The weighted norm problem is solved.
OPT='B'
Both problems are solved.
Constraint: OPT='A', 'W' or 'B'.
5:     ALPHA – REAL (KIND=nag_wp)Input
On entry: the value of α.
If OPT='W', ALPHA need not be set.
Constraint: 0.0<ALPHA<1.0.
6:     WN – REAL (KIND=nag_wp) arrayInput/Output
On entry: the square roots of the diagonal elements of W, that is the diagonal of W12.
If OPT='A', W is not referenced and need not be set.
On exit: if OPT='W' or 'B', the array is scaled so 0<Wi1, for i=1,2,,n.
Constraint: Wi>0.0, for i=1,2,,n.
7:     ERRTOL – REAL (KIND=nag_wp)Input
On entry: the termination tolerance for the Newton iteration. If ERRTOL0.0 then N×machine precision is used.
8:     MAXITS – INTEGERInput
On entry: specifies the maximum number of iterations to be used by the iterative scheme to solve the linear algebraic equations at each Newton step.
If MAXITS0, 2×N is used.
9:     MAXIT – INTEGERInput
On entry: specifies the maximum number of Newton iterations.
If MAXIT0, 200 is used.
10:   XLDXN – REAL (KIND=nag_wp) arrayOutput
On exit: contains the nearest correlation matrix.
11:   LDX – INTEGERInput
On entry: the first dimension of the array X as declared in the (sub)program from which G02ABF is called.
Constraint: LDXN.
12:   ITER – INTEGEROutput
On exit: the number of Newton steps taken.
13:   FEVAL – INTEGEROutput
On exit: the number of function evaluations of the dual problem.
14:   NRMGRD – REAL (KIND=nag_wp)Output
On exit: the norm of the gradient of the last Newton step.
15:   IFAIL – INTEGERInput/Output
On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this argument you should refer to Section 3.4 in How to Use the NAG Library and its Documentation for details.
For environments where it might be inappropriate to halt program execution when an error is detected, the value -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, if you are not familiar with this argument, the recommended value is 0. When the value -1​ or ​1 is used it is essential to test the value of IFAIL on exit.
On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6  Error Indicators and Warnings

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).
Errors or warnings detected by the routine:
IFAIL=1
On entry, all elements of W were not positive.
On entry, ALPHA=value.
Constraint: 0.0<ALPHA<1.0.
On entry, LDG=value and N=value.
Constraint: LDGN.
On entry, LDX=value and N=value.
Constraint: LDXN.
On entry, N=value.
Constraint: N>0.
On entry, OPT'A', 'W' or 'B'.
IFAIL=2
Newton iteration fails to converge in value iterations. Increase MAXIT or check the call to the routine.
IFAIL=3
The machine precision is limiting convergence. In this instance the returned value of X may be useful.
IFAIL=4
An intermediate eigenproblem could not be solved. This should not occur. Please contact NAG with details of your call.
IFAIL=-99
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 3.9 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-399
Your licence key may have expired or may not have been installed correctly.
See Section 3.8 in How to Use the NAG Library and its Documentation for further information.
IFAIL=-999
Dynamic memory allocation failed.
See Section 3.7 in How to Use the NAG Library and its Documentation for further information.

7  Accuracy

The returned accuracy is controlled by ERRTOL and limited by machine precision.

8  Parallelism and Performance

G02ABF is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
G02ABF makes calls to BLAS and/or LAPACK routines, which may be threaded within the vendor library used by this implementation. Consult the documentation for the vendor library for further information.
Please consult the X06 Chapter Introduction for information on how to control and interrogate the OpenMP environment used within this routine. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9  Further Comments

Arrays are internally allocated by G02ABF. The total size of these arrays is 12×N+3×N×N+max2×N×N+6×N+1,120+9×N real elements and 5×N+3 integer elements. All allocated memory is freed before return of G02ABF.

10  Example

This example finds the nearest correlation matrix to:
G = 2 -1 0 0 -1 2 -1 0 0 -1 2 -1 0 0 -1 2  
weighted by W12 = diag 100 , 20 , 20 , 20  with minimum eigenvalue 0.02.

10.1  Program Text

Program Text (g02abfe.f90)

10.2  Program Data

Program Data (g02abfe.d)

10.3  Program Results

Program Results (g02abfe.r)


G02ABF (PDF version)
G02 Chapter Contents
G02 Chapter Introduction
NAG Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2016