Research Interests:I am mainly interested in structured nearness matrix problems, i.e. any optimization problem where structured matrices are involved. I have recently been looking at nearness problems that arise in applications from finance. The two main problems that I would like to mention here are:
- the nearest correlation matrix problem, and
- the k factor problem.
Lately, I have also studied nearness problems with orthogonal constraints that require to minimize an objective function over the Stiefel or Grassmannian manifold.
If you have come across any of these problems please do not hesitate to contact me.