Dykstra's algorithm for constrained least-squares doubly symmetric matrix problems
In this work we apply Dykstra's alternating projection algorithm for minimizing parallel to AX - B parallel to where parallel to . parallel to is the Frobenius norm and A is an element of R(mxn), B is an element of R(mxn) and X is an element of R(nxn) are doubly symmetric positive definite matrices with entries within prescribed intervals. We first solve the constrained least-squares matrix problem by using the special structure properties of doubly symmetric matrices, and then use the singular value decomposition to transform the original problem into a simpler one that fits nicely with the algorithm originally developed by [R. Escalante, M. Raydan, Dykstra's algorithm for a constrained least-squares matrix problem, Numer. Linear Algebra Appl. 3 (1996) 459-471]. (C) 2010 Elsevier B.V. All rights reserved.
doubly symmetric matrix singular value decomposition alternating projection method least-squares problem