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Mixed semidefinite and second-order cone optimization approach for the Hankel matrix
 

Summary: Mixed semidefinite and second-order cone
optimization approach for the Hankel matrix
approximation problem
Mohammed M. Alshahrani1
Suliman S. Al-Homidan2
Abstract
Approximating the nearest positive semidefinite Hankel matrix in the
Frobenius norm to an arbitrary data covariance matrix is useful in many
areas of engineering, including signal processing and control theory. In
this paper, interior point primal-dual path-following method will be used
to solve our problem after reformulating it into different forms, first as a
semidefinite programming problem, then into the form of a mixed semidefin-
tie and second-order cone optimization problem. Numerical results, com-
paring the performance of these methods against the modified alternating
projection method will be reported.
1
Department of Mathematics, Dammam Teachers' College, P.O. Box 14262, Dammam
31424, SAUDI ARABIA mmogib@awalnet.net.sa
2
Department of Mathematical Sciences, King Fahad University of Petroleum and Minerals,

  

Source: Al-Homidan, Suliman - Department of Mathematics and Statistics, King Fahd University of Petroleum and Minerals

 

Collections: Mathematics