Generating Correlation Matrices with Graph Structures Using Convex Optimization

Ali Fakhar; Kévin Polisano; Irène Gannaz; Sophie Achard

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arXiv · 2502.17981

Generating Correlation Matrices with Graph Structures Using Convex Optimization

Ali Fakhar·Kévin Polisano·Irène Gannaz·Sophie Achard

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Abstract

This work deals with the generation of theoretical correlation matrices with specific sparsity patterns, associated to graph structures. We present a novel approach based on convex optimization, offering greater flexibility compared to existing techniques, notably by controlling the mean of the entry distribution in the generated correlation matrices. This allows for the generation of correlation matrices that better represent realistic data and can be used to benchmark statistical methods for graph inference.

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Ali Fakhar, Kévin Polisano, Irène Gannaz, Sophie Achard. 2025-02-25. Generating Correlation Matrices with Graph Structures Using Convex Optimization. https://arxiv.org/abs/2502.17981

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