action portfoliooptimizer_post_assets_correlation_matrix_nearest {
  label: "Nearest Correlation Matrix"
  description: "Compute the _closest_ - in terms of [the Frobenius norm](https://en.wikipedia.org/wiki/Matrix_norm#Frobenius_norm) - asset correlation matrix to an approximate asset correlation matrix, optionally keeping a selected number of correlations fixed.\n\nReferences\n* [Nicholas J. Higham, Computing the Nearest Correlation Matrix—A Problem from Finance, IMA J. Numer. Anal. 22, 329–343, 2002.](http://www.maths.manchester.ac.uk/~higham/narep/narep369.pdf)\n"
  provider: portfoliooptimizer
  method: POST
  path: "/assets/correlation/matrix/nearest"
  encoding: json
  input: {
    type: "object"
    required: ["assets", "assetsApproximateCorrelationMatrix"]
    properties: {
      assets: {
        type: "integer"
        description: "The number of assets"
      }
      assetsApproximateCorrelationMatrix: {
        type: "array"
        description: "assetsApproximateCorrelationMatrix[i][i] is the approximate correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
      assetsFixedCorrelations: {
        type: "array"
        description: "assetsFixedCorrelations[k] is the couple of indices (i,j) of the assets i and j for which to keep the approximate correlation assetsApproximateCorrelationMatrix[i][j] fixed"
        items: {
          type: "array"
          items: {
            type: "integer"
          }
        }
      }
    }
  }
  output: {
    type: "object"
    required: ["assetsCorrelationMatrix"]
    properties: {
      assetsCorrelationMatrix: {
        type: "array"
        description: "assetsCorrelationMatrix[i][j] is the correlation between the asset i and the asset j"
        items: {
          type: "array"
          items: {
            type: "number"
          }
        }
      }
    }
  }
}