NAG CL Interface
g02apc (corrmat_​target)

1 Purpose

g02apc computes a correlation matrix, by using a positive definite target matrix derived from weighting the approximate input matrix, with an optional bound on the minimum eigenvalue.

2 Specification

#include <nag.h>
void  g02apc (double g[], Integer pdg, Integer n, double theta, double h[], Integer pdh, double errtol, double eigtol, double x[], Integer pdx, double *alpha, Integer *iter, double *eigmin, double *norm, NagError *fail)
The function may be called by the names: g02apc, nag_correg_corrmat_target or nag_nearest_correlation_target.

3 Description

Starting from an approximate correlation matrix, G, g02apc finds a correlation matrix, X, which has the form
X = α T + 1-α G ,  
where α0,1 and T=HG is a target matrix. C=AB denotes the matrix C with elements Cij=Aij×Bij. H is a matrix of weights that defines the target matrix. The target matrix must be positive definite and thus have off-diagonal elements less than 1 in magnitude. A value of 1 in H essentially fixes an element in G so it is unchanged in X.
g02apc utilizes a shrinking method to find the minimum value of α such that X is positive definite with unit diagonal and with a smallest eigenvalue of at least θ0,1 times the smallest eigenvalue of the target matrix.

4 References

Higham N J, Strabić N and Šego V (2014) Restoring definiteness via shrinking, with an application to correlation matrices with a fixed block MIMS EPrint 2014.54 Manchester Institute for Mathematical Sciences, The University of Manchester, UK

5 Arguments

1: g[pdg×n] double Input/Output
On entry: G, the initial matrix.
On exit: a symmetric matrix 12G+GT with the diagonal elements set to 1.0.
2: pdg Integer Input
On entry: the stride separating column elements of the matrix G in the array g.
Constraint: pdgn.
3: n Integer Input
On entry: the order of the matrix G.
Constraint: n>0.
4: theta double Input
On entry: the value of θ. If theta<0.0, 0.0 is used.
Constraint: theta<1.0.
5: h[pdh×n] double Input/Output
Note: the i,jth element of the matrix H is stored in h[j-1×pdh+i-1].
On entry: the matrix of weights H.
On exit: a symmetric matrix 12H+HT with its diagonal elements set to 1.0.
6: pdh Integer Input
On entry: the stride separating matrix row elements in the array h.
Constraint: pdhn.
7: errtol double Input
On entry: the termination tolerance for the iteration.
If errtol0.0, machine precision is used. See Section 7 for further details.
8: eigtol double Input
On entry: the tolerance used in determining the definiteness of the target matrix T=HG.
If λminT>n×λmaxT×eigtol, where λminT and λmaxT denote the minimum and maximum eigenvalues of T respectively, T is positive definite.
If eigtol0, machine precision is used.
9: x[pdx×n] double Output
On exit: contains the matrix X.
10: pdx Integer Input
On entry: the stride separating column elements of the matrix X in the array x.
Constraint: pdxn.
11: alpha double * Output
On exit: the constant α used in the formation of X.
12: iter Integer * Output
On exit: the number of iterations taken.
13: eigmin double * Output
On exit: the smallest eigenvalue of the target matrix T.
14: norm double * Output
On exit: the value of G-XF after the final iteration.
15: fail NagError * Input/Output
The NAG error argument (see Section 7 in the Introduction to the NAG Library CL Interface).

6 Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
See Section 3.1.2 in the Introduction to the NAG Library CL Interface for further information.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_EIGENPROBLEM
Failure to solve intermediate eigenproblem. This should not occur. Please contact NAG.
NE_INT
On entry, n=value.
Constraint: n>0.
NE_INT_2
On entry, pdg=value and n=value.
Constraint: pdgn.
On entry, pdh=value and n=value.
Constraint: pdhn.
On entry, pdx=value and n=value.
Constraint: pdxn.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
See Section 7.5 in the Introduction to the NAG Library CL Interface for further information.
NE_MAT_NOT_POS_DEF
The target matrix is not positive definite.
NE_NO_LICENCE
Your licence key may have expired or may not have been installed correctly.
See Section 8 in the Introduction to the NAG Library CL Interface for further information.
NE_REAL
On entry, theta=value.
Constraint: theta<1.0.

7 Accuracy

The algorithm uses a bisection method. It is terminated when the computed α is within errtol of the minimum value.
Note: when θ is zero X is still positive definite, in that it can be successfully factorized with a call to f07fdc.
The number of iterations taken for the bisection will be:
log21errtol .  

8 Parallelism and Performance

g02apc is threaded by NAG for parallel execution in multithreaded implementations of the NAG Library.
g02apc 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 function. Please also consult the Users' Note for your implementation for any additional implementation-specific information.

9 Further Comments

Arrays are internally allocated by g02apc. The total size of these arrays does not exceed 2×n2+3×n real elements. All allocated memory is freed before return of g02apc.

10 Example

This example finds the smallest α such that αHG+1-αG is a correlation matrix. The 2 by 2 leading principal submatrix of the input is preserved, and the last 2 by 2 diagonal block is weighted to give some emphasis to the off diagonal elements.
G = 1.0000 -0.0991 0.5665 -0.5653 -0.3441 -0.0991 1.0000 -0.4273 0.8474 0.4975 0.5665 -0.4273 1.0000 -0.1837 -0.0585 -0.5653 0.8474 -0.1837 1.0000 -0.2713 -0.3441 0.4975 -0.0585 -0.2713 1.0000  
and
H = 1.0000 1.0000 0.0000 0.0000 0.0000 1.0000 1.0000 0.0000 0.0000 0.0000 0.0000 0.0000 1.0000 0.0000 0.0000 0.0000 0.0000 0.0000 1.0000 0.5000 0.0000 0.0000 0.0000 0.5000 1.0000 .  

10.1 Program Text

Program Text (g02apce.c)

10.2 Program Data

Program Data (g02apce.d)

10.3 Program Results

Program Results (g02apce.r)