Positive definite constrained least-squares estimation of matrices
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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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Cites work
- A Nonlinear Programming Problem in Statistics (Educational Testing)
- A numerical procedure for finding the positive definite matrix closest to a patterned matrix
- An efficient algorithm for solving inequalities
- Convergence Conditions for Nonlinear Programming Algorithms
- scientific article; zbMATH DE number 4158856 (Why is no real title available?)
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- Matrix eigensystem routines - EISPACK guide
- On the determination of a diagonal solution of the Lyapunov equation
- Positive Semidefinite Matrices: Characterization via Conical Hulls and Least-Squares Solution of a Matrix Equation
- Semi-Definite Matrix Constraints in Optimization
Cited in
(16)- A constrained eigenvalue problem
- Dykstra's algorithm for constrained least-squares rectangular matrix problems
- Least-squares solution of \(F=PG\) over positive semidefinite symmetric \(P\)
- Efficient algorithms for solving condition number-constrained matrix minimization problems
- Positive definite matrix approximation with condition number constraint
- An iteration method to solve multiple constrained least squares problems
- A decomposition method for positive semidefinite matrices and its application to recursive parameter estimation
- Computing the nearest diagonally dominant matrix
- On preconditioning of penalized matrices
- A new error in variables model for solving positive definite linear system using orthogonal matrix decompositions
- Construction, properties and statistical applications of positive definite intraclass matrix
- Gradient methods and conic least-squares problems
- Positive Semidefinite Matrices: Characterization via Conical Hulls and Least-Squares Solution of a Matrix Equation
- scientific article; zbMATH DE number 1059231 (Why is no real title available?)
- Preserving Positive Definiteness in Hierarchically Semiseparable Matrix Approximations
- Dykstra's algorithm for constrained least-squares doubly symmetric matrix problems
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