| Article ID: | iaor20133240 |
| Volume: | 39 |
| Issue: | 2 |
| Start Page Number: | 103 |
| End Page Number: | 108 |
| Publication Date: | Mar 2011 |
| Journal: | Operations Research Letters |
| Authors: | Li Qingna, Li Donghui |
| Keywords: | Newton method, least squares, global convergence |
In this paper we propose a projected semismooth Newton method to solve the problem of calibrating least squares covariance matrix with equality and inequality constraints. The method is globally and quadratically convergent with proper assumptions. The numerical results show that the proposed method is efficient and comparable with existing methods.