A Dual Approach to Semidefinite Least-Squares Problems
نویسنده
چکیده
In this paper, we study the projection onto the intersection of an affine subspace and a convex set and provide a particular treatment for the cone of positive semidefinite matrices. Among applications of this problem is the calibration of covariance matrices. We propose a Lagrangian dualization of this least-squares problem, which leads us to a convex differentiable dual problem. We propose to solve the latter problem with a quasi-Newton algorithm. We assess this approach with numerical experiments which show that fairly large problems can be solved efficiently.
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عنوان ژورنال:
- SIAM J. Matrix Analysis Applications
دوره 26 شماره
صفحات -
تاریخ انتشار 2004