On the non-symmetric semidefinite Procrustes problem

DOI10.1016/J.LAA.2022.04.001MaRDI QIDQ2144240zbMATH OpenOpenAlexFDO

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)

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

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)

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.

Recommendations

• A semi-analytical approach for the 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
• Solution of symmetric positive semidefinite Procrustes problem
• A Constrained Procrustes Problem

Cites work

• scientific article; zbMATH DE number 3850830 (Why is no real title available?)
• scientific article; zbMATH DE number 635657 (Why is no real title available?)
• A generalized solution of the orthogonal Procrustes problem
• A note on the complex semi-definite matrix Procrustes problem
• A semi-analytical approach for the positive semidefinite Procrustes problem
• Approximation by a Hermitian Positive Semidefinite Toeplitz Matrix
• Characterization of the dissipative mappings and their application to perturbations of dissipative‐Hamiltonian systems
• Conditions for Positive and Nonnegative Definiteness in Terms of Pseudoinverses
• Graph implementations for nonsmooth convex programs
• Introductory lectures on convex optimization. A basic course.
• Least Squares Estimation of the Components of a Symmetric Matrix
• Least-squares solution of \(F=PG\) over positive semidefinite symmetric \(P\)
• Optimal matrices describing linear systems.
• Procrustes Problems
• SDPT3 — A Matlab software package for semidefinite programming, Version 1.3
• Solution of symmetric positive semidefinite Procrustes problem
• Solving semidefinite-quadratic-linear programs using SDPT3
• Structured Mapping Problems for Matrices Associated with Scalar Products. Part I: Lie and Jordan Algebras
• The orthogonal approximation of an oblique structure in factor analysis
• The symmetric Procrustes problem

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
• scientific article; zbMATH DE number 5307251 (Why is no real title available?)
• A spectral gradient projection method for the positive semi-definite procrustes problem
• A regularized strong duality for nonsymmetric semidefinite least squares problem
• A note on the complex semi-definite matrix Procrustes problem
• On procrustes matching of non-negative matrices and an application to random tomography
• The multimode Procrustes problem

Describes a project that uses

Uses Software

• CVX
• SDPT3

This page was built for publication: On the non-symmetric semidefinite Procrustes problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2144240)