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djalil.chafai.net
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| | This post is devoted to few convex and compact sets of matrices that I like. The set \( {\mathcal{C}_n} \) of correlation matrices. A real \( {n\times n} \) matrix \( {C} \) is a correlation matrix when \( {C} \) is symmetric, semidefinite positive, with unit diagonal. This means that \[ C_{ii}=1, \quad C_{ji}=C_{ji},\quad \left\geq0 \] for every \(... |