Solving Hankel matrix approximation problem using semidefinite programming (Q875374)
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scientific article; zbMATH DE number 5142299
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| English | Solving Hankel matrix approximation problem using semidefinite programming |
scientific article; zbMATH DE number 5142299 |
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Solving Hankel matrix approximation problem using semidefinite programming (English)
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13 April 2007
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The author studies the problem of finding the nearest matrix to a positive semidefinite Hankel matrix in such a way that all the special properties are preserved. In the usual evaluation techniques rounding and truncation limitations result in some of the properties to be lost. The author describes a semidefinite programming optimization problem, the solution of which can produce a suitable matrix. The proposed algorithm is presented in detail (section 4) and the results of the computational experimentation are reported at the end of the article.
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Hankel matrix
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semidefinite programming
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primal-dual interior-point algorithm
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numerical examples
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nearest matrix
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algorithm
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0.90456736
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0.8939173
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0.88548654
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0.88325554
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0.8800968
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0.87367564
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