Costind Beijing
Abstract
The convergence of the inverse correlation matrix iteration algorithm is analyzed. In order to avoid computing the inverse correlation matrix in the algorithm, this paper presents an eigenvalue shift iteration algorithm, and analyzes its convergence. Finally, the simulated results are given.
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The convergence of the inverse correlation matrix iteration algorithm is analyzed. In order to avoid computing the inverse correlation matrix in the algorithm, this paper presents an eigenvalue shift iteration algorithm, and analyzes its convergence. Finally, the simulated results are given.
Key concepts: Convergence (economics), Algorithm, Eigenvalues and eigenvectors, Inverse iteration, Inverse, Mathematics, Matrix (chemical analysis), Power iteration