Nonnegative matrix factorization of a correlation matrix
نویسندگان
چکیده
منابع مشابه
Nonnegative Matrix Factorization of a Correlation Matrix
We present a dedicated algorithm for the nonnegative factorization of a correlation matrix from an application in financial engineering. We look for a low-rank approximation. The origin of the problem is discussed in some detail. Next to the description of the algorithm, we prove, by means of a counter example, that an exact nonnegative decomposition of a general positive semidefinite matrix is...
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ژورنال
عنوان ژورنال: Linear Algebra and its Applications
سال: 2009
ISSN: 0024-3795
DOI: 10.1016/j.laa.2009.01.004