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arXiv · 2209.14954

Generalized matrix nearness problems

Zihao Li·Lek-Heng Lim
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Abstract

We show that the global minimum solution of $\lVert A - BXC \rVert$ can be found in closed-form with singular value decompositions and generalized singular value decompositions for a variety of constraints on $X$ involving rank, norm, symmetry, two-sided product, and prescribed eigenvalue. This extends the solution of Friedland--Torokhti for the generalized rank-constrained approximation problem to other constraints as well as provides an alternative solution for rank constraint in terms of singular value decompositions. For more complicated constraints on $X$ involving structures such as Toeplitz, Hankel, circulant, nonnegativity, stochasticity, positive semidefiniteness, prescribed eigenvector, etc, we prove that a simple iterative method is linearly and globally convergent to the global minimum solution.

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Zihao Li, Lek-Heng Lim. 2022-09-29. Generalized matrix nearness problems. https://arxiv.org/abs/2209.14954

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