Approximate Projections onto the Positive Semidefinite Cone Using Randomization

Abstract

This paper presents two algorithms that compute approximate Positive Semidefinite (PSD) projections of real symmetric matrices using Randomized Numerical Linear Algebra (RNLA). Classical PSD projection of an $n\times n$ matrix relies on a deterministic eigen-decomposition with computation that scales as $\mathcal{O}(n^3)$. Our approach leverages RNLA to construct low-rank matrix approximations before projection, significantly reducing the required numerical resources to $\mathcal{O}(k n^2)$, for some user defined fixed parameter $k$. The first algorithm utilizes random sampling to generate a low-rank approximation, followed by a standard eigen-decomposition on this smaller matrix. The second algorithm enhances this process by introducing a scaling approach that aligns the leading-order singular values with the positive eigenvalues, biasing the low-rank approximation to focus on capturing the essential information about the positive eigenvalues for PSD projection. Both methods offer a trade-off between accuracy and computational speed, supported by probabilistic error bounds. Numerical experiments on large-scale matrices ( $n\approx 20K$) demonstrate that the proposed randomized algorithms effectively approximate PSD projections.