Nonnegative Matrix Factorization of a Correlation Matrix
نویسندگان
چکیده
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 not always available.
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تاریخ انتشار 2008