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{numerical-linear-algebra} questions involving algorithms for linear algebra computations.

4 votes

Alternative to Choleski Decomposition for Correlation Matrix

For the purposes of this answer I will ignore the condition of constant column sums. You ask for a matrix $A$ with $A^TA = \Sigma$ and $A\geq 0$ element wise. Such a matrix need not exist. For exam …
Noah Stein's user avatar
  • 8,501
7 votes

polynomials with minimal $L_\infty$ norm on multiple disjoint intervals

This problem can be reformulated exactly as an SOS (sum of squares) program and then solved to any degree of accuracy efficiently as an SDP (semidefinite program). For lots of references I'd recommen …
Noah Stein's user avatar
  • 8,501