Raoul Pietersz, Igor Grubišić
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 http://www.eskimo.com/~ripper/research/sgmin.html. 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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