
Recent Posts
Recent Comments
 Orr Shalit on What Is the Complex Step Approximation?
 JoséJavier Martínez on What Is the Singular Value Decomposition?
 Timo Euler on What Is the Sherman–Morrison–Woodbury Formula?
 Daniel Trejo on What Is the Sylvester Equation?
 Carlos Frederico on What Is the Sherman–Morrison–Woodbury Formula?
Categories
 books (18)
 conferences (27)
 Emacs (8)
 LaTeX (15)
 matrix computations (6)
 miscellaneous (14)
 people (15)
 Princeton Companion (12)
 publication peculiarities (7)
 publishing (2)
 research (21)
 software (26)
 whatis (35)
 writing (15)
Tag Archives: correlations
What Is a Correlation Matrix?
In linear algebra terms, a correlation matrix is a symmetric positive semidefinite matrix with unit diagonal. In other words, it is a symmetric matrix with ones on the diagonal whose eigenvalues are all nonnegative. The term comes from statistics. If … Continue reading
A Collection of Invalid Correlation Matrices
I’ve written before (here) about the increasingly common problem of matrices that are supposed to be correlation matrices (symmetric and positive semidefinite with ones on the diagonal) turning out to have some negative eigenvalues. This is usually bad news because … Continue reading
Anderson Acceleration
Anderson acceleration, also known in quantum chemistry as Pulay mixing or direct inversion in the iterative subspace (DIIS), is a technique for accelerating the convergence of a fixedpoint iteration. It has been widely used in electronic structure computations, but does … Continue reading
The Nearest Correlation Matrix
A correlation matrix is a symmetric matrix with unit diagonal and nonnegative eigenvalues. In 2000 I was approached by a London fund management company who wanted to find the nearest correlation matrix (NCM) in the Frobenius norm to an almost … Continue reading