Functions of Matrices and Nearest Correlation Matrices - NAG

More documents

Recommendations

Info

Cayley and SylvesterTerm “matrix” coined in 1850by James Joseph Sylvester,FRS (1814–1897).Matrix algebra developed byArthur Cayley, FRS (1821–1895).Memoir on the Theory of Matrices(1858).MIMS Nick Higham Matrix Functions 3 / 33
Cayley and Sylvester on Matrix FunctionsCayley considered matrix squareroots in his 1858 memoir.Tony Crilly, Arthur Cayley: MathematicianLaureate of the Victorian Age,2006.Sylvester (1883) gave first definitionof f (A) for general f .Karen Hunger Parshall, James JosephSylvester. Jewish Mathematician in aVictorian World, 2006.MIMS Nick Higham Matrix Functions 4 / 33
Page 3: What is a Matrix Function?It’s no
Page 8: Matrices in Applied MathematicsFraz
Page 11: Solving Ordinary Differential Equat
Page 22 and 23: Email from a Power CompanyThe probl
Page 24 and 25: MATLAB: Arbitrary Powers>> A = [1 1
Page 26 and 27: EPSRC Knowledge Transfer Partnershi
Page 28 and 29: Questions From Finance Practitioner
Page 30 and 31: Correlation MatrixAn n × n symmetr
Page 32 and 33: How to Proceed× Make ad hoc modifi
Page 34 and 35: Newton MethodQi & Sun (2006): conve
Page 36: Factor Model (2)Yields correlation
Page 39 and 40: AlgorithmsAlgorithm based on spectr
Page 41 and 42: References IA. H. Al-Mohy and N. J.
Page 43 and 44: References IIIT. Crilly.Arthur Cayl
Page 46 and 47: References VIN. J. Higham.The scali
Page 48 and 49: References VIIIJ. D. Lawson.General

Functions of Matrices and Nearest Correlation Matrices - NAG

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?