© IFAC. 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.
|Number of pages||6|
|Publication status||Published - 1 Jan 2014|
|Event||conference - |
Duration: 1 Jan 2014 → …
|Period||1/01/14 → …|
Delgado, R. A., Agüero, J. C., & Goodwin, G. C. (2014). IFAC Proceedings Volumes (IFAC-PapersOnline). 10373-10378. Paper presented at conference, . https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84929773585&origin=inward