Solving Hankel matrix approximation problem using semidefinite programming (Q875374)

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.