[ADMB Users] constrained correlation matrices

dave fournier davef at otter-rsch.com
Thu Nov 22 09:05:16 PST 2012

Well I came across a paper  that was dealing with this problem but I 
can't find it now.
More interesting is to extend the method to  constraints like

     rho_ij = .7

which I think can be done so long as the constraints are consistent.

As another approach I think that more or less arbitrary consistent 
can be implemented using augmented Lagrangian methods.

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