A semi-analytical approach for the positive semidefinite Procrustes problem

DOI10.1016/J.LAA.2017.11.023zbMATH Open1380.65103arXiv1612.01354OpenAlexW2950487149MaRDI QIDQ1688909FDOQ1688909

Authors: Nicolas Gillis, Punit Sharma 

Publication date: 12 January 2018

Published in: Linear Algebra and its Applications (Search for Journal in Brave)

Abstract: The positive semidefinite Procrustes (PSDP) problem is the following: given rectangular matrices $X$ and $B$, find the symmetric positive semidefinite matrix $A$ that minimizes the Frobenius norm of $AX-B$. No general procedure is known that gives an exact solution. In this paper, we present a semi-analytical approach to solve the PSDP problem. First, we characterize completely the set of optimal solutions and identify the cases when the infimum is not attained. This characterization requires the unique optimal solution of a smaller PSDP problem where $B$ is square and $X$ is diagonal with positive diagonal elements. Second, we propose a very efficient strategy to solve the PSDP problem, combining the semi-analytical approach, a new initialization strategy and the fast gradient method. We illustrate the effectiveness of the new approach, which is guaranteed to converge linearly, compared to state-of-the-art methods.

Full work available at URL: https://arxiv.org/abs/1612.01354

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• scientific article; zbMATH DE number 1932410

zbMATH Keywords

singular value decompositionpositive semidefinitefast gradient methodsemi-analytical approachProcrustes problem

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical solutions to overdetermined systems, pseudoinverses (65F20) Semidefinite programming (90C22)

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Cited In (7)

• Parameter-related projection-based iterative algorithm for a kind of generalized positive semidefinite least squares problem
• Procrustes analysis with deformations: a closed-form solution by eigenvalue decomposition
• On the non-symmetric semidefinite Procrustes problem
• Solution of symmetric positive semidefinite Procrustes problem
• A spectral gradient projection method for the positive semi-definite procrustes problem
• A note on the complex semi-definite matrix Procrustes problem
• Port-Hamiltonian Dynamic Mode Decomposition

Uses Software

• SDPT3
• CVX

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