A penalized method of alternating projections for weighted low-rank Hankel matrix optimization

DOI10.1007/s12532-022-00217-1MaRDI QIDQ2088963

Jian Shen, Jein-Shan Chen, Hou-Duo Qi, Nai-Hua Xiu

Publication date: 6 October 2022

Published in: Mathematical Programming Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12532-022-00217-1

zbMATH Keywords

global convergence; time series; Hankel matrix; linear convergence; alternating projections

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

90C26: Nonconvex programming, global optimization

90C30: Nonlinear programming

47B35: Toeplitz operators, Hankel operators, Wiener-Hopf operators

65F55: Numerical methods for low-rank matrix approximation; matrix compression