Optimal rank-1 Hankel approximation of matrices: Frobenius norm and spectral norm and Cadzow's algorithm
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Publication:1979358
spectral normHankel matricesToeplitz matricesFrobenius normCadzow algorithmoptimal structured low-rank approximation
Numerical optimization and variational techniques (65K10) Canonical forms, reductions, classification (15A21) Norms of matrices, numerical range, applications of functional analysis to matrix theory (15A60) Toeplitz, Cauchy, and related matrices (15B05) Linear operator approximation theory (47A58) System structure simplification (93B11)
Abstract: We characterize optimal rank-1 matrix approximations with Hankel or Toeplitz structure with regard to two different norms, the Frobenius norm and the spectral norm, in a new way. More precisely, we show that these rank-1 matrix approximation problems can be solved by maximizing special rational functions. Our approach enables us to show that the optimal solutions with respect to these two norms have completely different structure and only coincide in the trivial case when the singular value decomposition already provides an optimal rank-1 approximation with the desired Hankel or Toeplitz structure. We also prove that the Cadzow algorithm for structured low-rank approximations always converges to a fixed point in the rank-1 case. However, it usually does not converge to the optimal solution, neither with regard to the Frobenius norm nor the spectral norm.
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