A new algorithm for constrained matrix least squares approximations

DOI10.1023/A:1019264609237MaRDI QIDQ5933820zbMATH OpenOpenAlexFDO

Authors W. Y. Yan, John Moore

Publication date 14 June 2001

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1019264609237

zbMATH Keywords

algorithmcomparison of methodsconstrained least squares problemconstrained matrix least squares approximationconvergencedouble bracket algorithmminimal Frobenius normnumerical exampleperformance

Mathematics Subject Classification ID

Numerical solutions to overdetermined systems, pseudoinverses (65F20)

Review text

This paper considers the problem of approximating a given symmetric matrix by a symmetric matrix with a prescribed spectrum so that the Frobenius norm of the matrix difference is minimized. By the introduction of a variable search direction, a new convergent algorithm for solving the problem is derived, which is guaranteed to be convergent and is capable of achieving a fast rate of convergence. It is shown that the set of fixed points of the proposed algorithm coincides with the set of equilibrium points of the original double bracket equation. A numerical example is presented to demonstrate superior performance of the proposed algorithm over a standard double bracket algorithm.

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Cited in

(10)

• scientific article; zbMATH DE number 5952223 (Why is no real title available?)
• The Projected Gradient Method for Least Squares Matrix Approximations with Spectral Constraints
• A lagrangean relaxation algorithm for the constrained matrix problem
• Dykstra's Algorithm for a Constrained Least-squares Matrix Problem
• Alternating direction method for a class of constrained matrix approximation problems
• scientific article; zbMATH DE number 7366720 (Why is no real title available?)
• Least Squares Approximation by Real Normal Matrices with Specified Spectrum
• An efficient method for solving a matrix least squares problem over a matrix inequality constraint
• Approximation of positive matrices by transitive matrices
• Dykstra's algorithm for constrained least-squares doubly symmetric matrix problems

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