Positive definite constrained least-squares estimation of matrices (Q1902117)
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scientific article; zbMATH DE number 815901
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| English | Positive definite constrained least-squares estimation of matrices |
scientific article; zbMATH DE number 815901 |
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Positive definite constrained least-squares estimation of matrices (English)
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26 September 1996
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The problem of finding a symmetric matrix \(X\) minimizing \(B-XA\) in the least squares sense, under the condition that all eigenvalues of \(X\) exceed a given positive value, is solved by means of a sequence of quadratic programming problems. A suboptimal variant, which is guaranteed to converge in a finite number of \(QP\) steps, is given as an alternative to the optimal algorithm, which may approach a solution asymptotically.
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least squares estimation
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quadratic programming
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0.9203876
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0.8926918
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0.89057314
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