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Computing a nearest symmetric positive semidefinite matrix. (English) Zbl 0649.65026

The problem of computing a nearest positive semidefinite matrix (notation used X0) to an arbitrary real matrix A is considered. The criterion of approximation is the distance δ(A)=min X=X T 0 A-X where the norm is chosen to be either Frobenius or 2-norm. The paper consists of two parts. In the first part the author proves that the nearest unique positive approximant X F of A in the Frobenius norm is X F =(B+H)/2, where B=(A+A T )/2 and H is the symmetric polar factor of B, and the corresponding distance from A is δ F 2 (A)= λ i (B)<0 λ i 2 (B)+C F 2 , where C=(A-A T )/2·

In the second part the problem is studied in 2-norm. Examining from a computational view point the famous Halmos formula for the distance δ 2 (A) the author proposes two algorithms to estimate δ 2 (A) as well as the positive approximant (which is not unique in general): (i) an efficient bisection algorithm of low accuracy that is αδ 2 (A)α+2max{fα,tol}, where f is a relative error tolerance and tol is an absolute error tolerance; (ii) a hybrid Newton-bisection type algorithm for high accuracy computations. The problem of computational testing for positive definiteness as well as some details concerning the implementation of algorithm (ii) are discussed. Numerical examples are presented.

Reviewer: V.G.Rumchev

MSC:
65F30Other matrix algorithms
15A60Applications of functional analysis to matrix theory
15A48Positive matrices and their generalizations (MSC2000)
65K05Mathematical programming (numerical methods)
90C25Convex programming