The routine may be called by the names g02aef or nagf_correg_corrmat_nearest_kfactor.
A correlation matrix with -factor structure may be characterised as a real square matrix that is symmetric, has a unit diagonal, is positive semidefinite and can be written as , where is the identity matrix and has rows and columns. is often referred to as the factor loading matrix.
g02aef applies a spectral projected gradient method to the modified problem such that , for , where is the th row of the factor loading matrix, , which gives us the solution.
Birgin E G, Martínez J M and Raydan M (2001) Algorithm 813: SPG–software for convex-constrained optimization ACM Trans. Math. Software27 340–349
Borsdorf R, Higham N J and Raydan M (2010) Computing a nearest correlation matrix with factor structure SIAM J. Matrix Anal. Appl. 31(5) 2603–2622
1: – Real (Kind=nag_wp) arrayInput/Output
Note: the second dimension of the array g
must be at least
On entry: , the initial matrix.
On exit: a symmetric matrix with the diagonal elements set to unity.
2: – IntegerInput
On entry: the first dimension of the array g as declared in the (sub)program from which g02aef is called.
3: – IntegerInput
On entry: , the order of the matrix .
4: – IntegerInput
On entry: , the number of factors and columns of .
5: – Real (Kind=nag_wp)Input
On entry: the termination tolerance for the projected gradient norm. See references for further details. If , is used. This is often a suitable default value.
6: – IntegerInput
On entry: specifies the maximum number of iterations in the spectral projected gradient method.
If , is used.
7: – Real (Kind=nag_wp) arrayOutput
Note: the second dimension of the array x
must be at least
On exit: contains the matrix .
8: – IntegerInput
On entry: the first dimension of the array x as declared in the (sub)program from which g02aef is called.
9: – IntegerOutput
On exit: the number of steps taken in the spectral projected gradient method.
10: – IntegerOutput
On exit: the number of evaluations of .
11: – Real (Kind=nag_wp)Output
On exit: the norm of the projected gradient at the final iteration.
12: – IntegerInput/Output
On entry: ifail must be set to , or to set behaviour on detection of an error; these values have no effect when no error is detected.
A value of causes the printing of an error message and program execution will be halted; otherwise program execution continues. A value of means that an error message is printed while a value of means that it is not.
If halting is not appropriate, the value or is recommended. If message printing is undesirable, then the value is recommended. Otherwise, the value is recommended. When the value or is used it is essential to test the value of ifail on exit.
On exit: unless the routine detects an error or a warning has been flagged (see Section 6).
6Error Indicators and Warnings
If on entry or , explanatory error messages are output on the current error message unit (as defined by x04aaf).
Errors or warnings detected by the routine:
On entry, and .
On entry, and .
On entry, and .
On entry, .
Spectral gradient method fails to converge in iterations.
An unexpected error has been triggered by this routine. Please
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.
The returned accuracy is controlled by errtol and limited by machine precision.
8Parallelism and Performance
g02aef is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g02aef 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.
Arrays are internally allocated by g02aef. The total size of these arrays is real elements and integer elements.
Here is the block size required for optimal performance by f08fefandf08fgf which are called internally. All allocated memory is freed before return of g02aef.
See g03caf for constructing the factor loading matrix from a known correlation matrix.
This example finds the nearest correlation matrix with factor structure to: