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(2) |
(3) |
(a) | It is a correlation matrix, i.e., symmetric positive semidefinite matrix with a unit diagonal. This is achieved by the way is assembled and by a linear matrix inequality
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(b) | is nearest to in the Frobenius norm, i.e., it minimizes the Frobenius norm of the difference which is equivalent to:
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(c) | preserves the nonzero structure of . This is met by defining only for nonzero elements . |