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A rank-constrained optimization approach: Application to factor analysis

Abstract:

In this paper, we present a general method for rank-constrained optimization. We use an iterative convex optimization procedure where it is possible to include any extra convex constraints. The proposed approach has potential application in several areas. We focus on the problem of Factor Analysis. In this case, our approach provides sufficient flexibility to handle correlated errors. The benefits of the method is demonstrated via a simulation study.

Año de publicación:

2014

Keywords:

    Fuente:

    scopusscopus

    Tipo de documento:

    Conference Object

    Estado:

    Acceso abierto

    Áreas de conocimiento:

    • Optimización matemática
    • Estadísticas

    Áreas temáticas:

    • Análisis numérico
    • Probabilidades y matemática aplicada
    • Programación informática, programas, datos, seguridad

    Contribuidores:

    Delgado R.A.Delgado R.A.
    Juan C. AgüeroJuan C. Agüero
    Goodwin G.C.Goodwin G.C.