A New Algorithm for Constrained Matrix Least Squares Approximations

Wei-Yong Yan () and John Moore

Annals of Operations Research, 2000, vol. 98, issue 1, 255-269

Abstract: 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 equilibrium points of the original double bracket equation. A numerical example is presented to demonstrate superior performance of the proposed algorithm over a standard double bracket algorithm. Copyright Kluwer Academic Publishers 2000

Date: 2000
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DOI: 10.1023/A:1019264609237

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