Solving Hankel matrix approximation problem using semidefinite programming

摘要

Positive semidefinite Hankel matrices arise in many important applications. Some of their properties may be lost due to rounding or truncation errors incurred during evaluation. The problem is to find the nearest matrix to a given matrix to retrieve these properties. The problem is converted into a semidefinite programming problem as well as a problem comprising a semidefined program and second-order cone problem. The duality and optimality conditions are obtained and the primal–dual algorithm is outlined. Explicit expressions for a diagonal preconditioned and crossover criteria have been presented. Computational results are presented. A possibility for further improvement is indicated.