NearestCorrelationMatrixReport Class

Contains immutable convergence and feasibility diagnostics for a nearest-correlation calculation.

Definition

Namespace: Numerics.NET.Statistics
Assembly: Numerics.NET (in Numerics.NET.dll) Version: 10.10.0
C# 
public sealed class NearestCorrelationMatrixReport
Inheritance
Object  →  NearestCorrelationMatrixReport

Remarks

Algorithm termination and feasibility are independent. In particular, an iteration-limited result can be feasible, and a completed direct approximation can have a nonunit diagonal. Feasibility is a numerical assessment, not a proof of the nearest-matrix objective. Metrics describe the protected matrix returned by the same call. A nullable metric is null when it is inapplicable or no finite value is available.

Properties

AlgorithmGets the algorithm used.
ConvergenceMeasureGets the final alternating-projection stopping measure, or null if inapplicable or not finite.
ConvergenceThresholdGets the actual stopping threshold, or null if inapplicable or not finite.
FeasibilityToleranceGets the absolute tolerance used for both diagonal and eigenvalue feasibility, or null if unavailable.
FrobeniusDistanceGets the full Frobenius distance from the input, counting both symmetric off-diagonal entries, or null if unavailable.
IsFeasibleGets whether the returned matrix has unit diagonal and meets the requested eigenvalue floor within the reported feasibility tolerance.
IterationsGets the number of alternating-projection iterations completed, or zero for scaled projection.
MaxDiagonalErrorGets the largest absolute difference between a returned diagonal entry and one, or null if unavailable.
MinimumEigenvalueGets the smallest computed eigenvalue of the returned matrix, or null if unavailable.
RequestedMinEigenvalueGets the requested minimum eigenvalue.
TerminationReasonGets the termination reason, independently of feasibility.

Methods

EqualsDetermines whether the specified object is equal to the current object.
(Inherited from Object)
GetHashCodeServes as the default hash function.
(Inherited from Object)
GetTypeGets the Type of the current instance.
(Inherited from Object)
ToStringReturns a string that represents the current object.
(Inherited from Object)

See Also