[R] Constrained corr matrix closest to a given corr matrix

[Serguei Kaniovski]

Dear All!

Is there any code to find a constrained correlation matrix closest in 
some sense (preferably in the sense of the geometric approximation) to a 
given correlation matrix? By constrained I mean with some elements 
constrained, or, simply, set to zero. I have read in a paper that says 
this can be accomplished with Lagrange multipliers and an optimization 
routine.

Thanks a lot!
Serguei Kaniovski