g02ab
is the AD Library version of the primal routine
g02abf.
Based (in the C++ interface) on overload resolution,
g02ab can be used for primal, tangent and adjoint
evaluation. It supports tangents and adjoints of first and second order.
Corresponding to the overloaded C++ function, the Fortran interface provides five routines with names reflecting the type used for active real arguments. The actual subroutine and type names are formed by replacing AD and ADTYPE in the above as follows:
The function is overloaded on ADTYPE which represents the type of active arguments. ADTYPE may be any of the following types: double, dco::ga1s<double>::type, dco::gt1s<double>::type, dco::gt1s<dco::gt1s<double>::type>::type, dco::ga1s<dco::gt1s<double>::type>::type
Note: this function can be used with AD tools other than dco/c++. For details, please contact NAG.
3Description
g02ab
is the AD Library version of the primal routine
g02abf.
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.
For further information see Section 3 in the documentation for g02abf.
4References
Borsdorf R and Higham N J (2010) A preconditioned (Newton) algorithm for the nearest correlation matrix IMA Journal of Numerical Analysis30(1) 94–107
Qi H and Sun D (2006) A quadratically convergent Newton method for computing the nearest correlation matrix SIAM J. Matrix AnalAppl29(2) 360–385
5Arguments
In addition to the arguments present in the interface of the primal routine,
g02ab includes some arguments specific to AD.
A brief summary of the AD specific arguments is given below. For the remainder, links are provided to the corresponding argument from the primal routine.
A tooltip popup for all arguments can be found by hovering over the argument name in Section 2 and in this section.
On entry: a configuration object that holds information on the differentiation strategy. Details on setting the AD strategy are described in AD handle object in the NAG AD Library Introduction.