Raoul Pietersz, Igor Grubiš

January 2005

LRCM MIN is a MATLAB template that may be used to efficiently find a low-rank correlation matrix nearest to a given correlation matrix, by means of geometric programming. LRCM MIN is a modification of the SG MIN template written by Edelman & Lippert, see The flexible and efficient setup of LRCM MIN is due solely to SG MIN and for that credit is given to Edelman & Lippert.

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