NAG FL Interface
g02abf (corrmat_​nearest_​bounded)

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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

Fortran Interface
Subroutine g02abf ( g, ldg, n, opt, alpha, w, errtol, maxits, maxit, x, ldx, iter, feval, nrmgrd, ifail)
Integer, Intent (In) :: ldg, n, maxits, maxit, ldx
Integer, Intent (Inout) :: ifail
Integer, Intent (Out) :: iter, feval
Real (Kind=nag_wp), Intent (In) :: alpha, errtol
Real (Kind=nag_wp), Intent (Inout) :: g(ldg,n), w(*), x(ldx,n)
Real (Kind=nag_wp), Intent (Out) :: nrmgrd
Character (1), Intent (In) :: opt
C Header Interface
#include <nag.h>
void  g02abf_ (double g[], const Integer *ldg, const Integer *n, const char *opt, const double *alpha, double w[], const double *errtol, const Integer *maxits, const Integer *maxit, double x[], const Integer *ldx, Integer *iter, Integer *feval, double *nrmgrd, Integer *ifail, const Charlen length_opt)
The routine may be called by the names g02abf or nagf_correg_corrmat_nearest_bounded.

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: g(ldg,n) Real (Kind=nag_wp) array Input/Output
On entry: G, the initial matrix.
On exit: G is overwritten.
2: ldg Integer Input
On entry: the first dimension of the array g as declared in the (sub)program from which g02abf is called.
Constraint: ldgn.
3: n Integer Input
On entry: the order of the matrix G.
Constraint: n>0.
4: opt Character(1) Input
On entry: indicates the problem to be solved.
The lower bound problem is solved.
The weighted norm problem is solved.
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: w(*) Real (Kind=nag_wp) array Input/Output
Note: the dimension of the array w must be at least n if opt'A', and at least 0 otherwise.
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<w(i)1, for i=1,2,,n.
Constraint: w(i)>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, n×machine precision is used.
8: maxits Integer Input
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 Integer Input
On entry: specifies the maximum number of Newton iterations.
If maxit0, 200 is used.
10: x(ldx,n) Real (Kind=nag_wp) array Output
On exit: contains the nearest correlation matrix.
11: ldx Integer Input
On entry: the first dimension of the array x as declared in the (sub)program from which g02abf is called.
Constraint: ldxn.
12: iter Integer Output
On exit: the number of Newton steps taken.
13: feval Integer Output
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 Integer Input/Output
On entry: ifail must be set to 0, −1 or 1 to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of 0 causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of −1 means that an error message is printed while a value of 1 means that it is not.
If halting is not appropriate, the value −1 or 1 is recommended. If message printing is undesirable, then the value 1 is recommended. Otherwise, the value 0 is recommended. 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:
On entry, all elements of w were not positive.
Constraint: w(i)>0.0, for all i.
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, the value of opt is invalid.
Constraint: opt='A', 'W' or 'B'.
Newton iteration fails to converge in value iterations. Increase maxit or check the call to the routine.
The machine precision is limiting convergence. In this instance the returned value of x may be useful.
An intermediate eigenproblem could not be solved. This should not occur. Please contact NAG with details of your call.
An unexpected error has been triggered by this routine. Please contact NAG.
See Section 7 in the Introduction to the NAG Library FL Interface for further information.
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library FL Interface for further information.
Dynamic memory allocation failed.
See Section 9 in the Introduction to the NAG Library FL Interface for further information.

7 Accuracy

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

8 Parallelism and Performance

Background information to multithreading can be found in the Multithreading documentation.
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+max(2×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)