On the non-symmetric semidefinite Procrustes problem

DOI10.1016/J.LAA.2022.04.001zbMATH Open1492.65159arXiv2104.06201OpenAlexW3152590761MaRDI QIDQ2144240FDOQ2144240

Authors: Mohit Kumar Baghel, Nicolas Gillis, Punit Sharma 

Publication date: 1 June 2022

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

Abstract: In this paper, we consider the non-symmetric positive semidefinite Procrustes (NSPSDP) problem: Given two matrices $X,Yinmathbb{R}^{n,m}$, find the matrix $Ainmathbb{R}^{n,n}$ that minimizes the Frobenius norm of $AX-Y$ and which is such that $A+A^T$ is positive semidefinite. We generalize the semi-analytical approach for the symmetric positive semidefinite Procrustes problem, where $A$ is required to be positive semidefinite, that was proposed by Gillis and Sharma (A semi-analytical approach for the positive semidefinite Procrustes problem, Linear Algebra Appl. 540, 112-137, 2018). As for the symmetric case, we first show that the NSPSDP problem can be reduced to a smaller NSPSDP problem that always has a unique solution and where the matrix $X$ is diagonal and has full rank. Then, an efficient semi-analytical algorithm to solve the NSPSDP problem is proposed, solving the smaller and well-posed problem with a fast gradient method which guarantees a linear rate of convergence. This algorithm is also applicable to solve the complex NSPSDP problem, where $X,Yinmathbb{C}^{n,m}$, as we show the complex NSPSDP problem can be written as an overparametrized real NSPSDP problem. The efficiency of the proposed algorithm is illustrated on several numerical examples.

Full work available at URL: https://arxiv.org/abs/2104.06201

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zbMATH Keywords

fast gradient methodsemi-analytical approachpositive semidefinite Procrustes 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 (9)

• On Symmetric and Skew-Symmetric Solutions to a Procrustes Problem
• A semi-analytical approach for the positive semidefinite Procrustes problem
• Solution of symmetric positive semidefinite Procrustes problem
• Title not available (Why is that?)
• A spectral gradient projection method for the positive semi-definite procrustes problem
• A note on the complex semi-definite matrix Procrustes problem
• A regularized strong duality for nonsymmetric semidefinite least squares problem
• On procrustes matching of non-negative matrices and an application to random tomography
• The multimode Procrustes problem

Uses Software

• SDPT3
• CVX

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