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A New Algorithm for Constrained Matrix Least Squares Approximations

Yan, Wei-Yong; Moore, John


This paper considers the problem of approximating a given symmetric matrix by a symmetric matrix with a prescribed spectrum so that the Frobenius norm of the matrix difference is minimized. By the introduction of a variable search direction, a new convergent algorithm for solving the problem is derived, which is guaranteed to be convergent and is capable of achieving a fast rate of convergence. It is shown that the set of fixed points of the proposed algorithm coincides with the set of...[Show more]

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
Source: Annals of Operations Research


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