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Computing a Nearest Correlation Matrix with Factor Structure

Event information
Date 10 March 2010
Time 13:00-14:00 (Timezone: Europe/London)
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

His degrees (BA 1982, MSc 1983, PhD 1985) are from the University of Manchester, and he has held visiting positions at Cornell University and the Institute for Mathematics and its Applications, University of Minnesota. He is Director of Research within the School of Mathematics, Director of the Manchester Institute for Mathematical Sciences (MIMS), and Head of the Numerical Analysis Group. He was elected Fellow of the Royal Society in 2007, is a SIAM Fellow, and held a Royal Society-Wolfson Research Merit Award (2003-2008). He is best known for his research on the accuracy and stability of numerical algorithms, and the second edition of his 700-page monograph on this topic was published by SIAM in 2002. His most recent book, Functions of Matrices: Theory and Computation (SIAM, 2008), is the first research monograph devoted to this topic. He has more than 90 refereed publications on topics such as rounding error analysis, linear systems, least squares problems, matrix functions and nonlinear matrix equations, condition number estimation, and generalized eigenvalue problems. Higham is a member of the editorial boards of the journals Linear Algebra and Its Applications, SIAM Journal on Matrix Analysis and Applications, IMA Journal of Numerical Analysis, Numerical Algorithms, and Foundations of Computational Mathematics. He is also (Founding) Editor-in-Chief of the SIAM Fundamentals of Algorithms book series. He serves on the SIAM Board of Trustees and has served on the SIAM Council. He has also served on the Board of Directors of the International Linear Algebra Society, and as Chair of the SIAM Activity Group on Linear Algebra. He is a frequent invited speaker at international conferences, serves on the (permanent) organizing committee of the Householder Symposia on Numerical Linear Algebra, and is a member of the Scientific Program Committee for ICIAM 2011. Higham has contributed software to LAPACK and the NAG library, and has written numerous M-files included with the MATLAB distribution. Honours include the Alston S. Householder Award VI, 1987 (for the best Ph.D. thesis in numerical algebra 1984?1987), the 1988 Leslie Fox Prize in Numerical Analysis, a 1999 Junior Whitehead Prize from the London Mathematical Society, designation as a ?Highly Cited Researcher? by Thomson/ISI in 2006, and the 2008 Fröhlich Prize of the London Mathematical Society. Higham is also author of the best-selling SIAM books Handbook of Writing for the Mathematical Sciences (2nd edition, 1998) and MATLAB Guide (with D. J. Higham, 2nd edition, 2005), and a contributor to the popular Penguin Dictionary of Mathematics (fourth edition, 2008).