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A numerical approach to the approximate and the exact minimum rank of a covariance matrix

✍ Scribed by Jos M. F. ten Berge; Henk A. L. Kiers

Book ID
112726850
Publisher
Springer
Year
1991
Tongue
English
Weight
573 KB
Volume
56
Category
Article
ISSN
0033-3123

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πŸ“œ SIMILAR VOLUMES

Existence of a low rank or β„‹-matrix appr
Existence of a low rank or β„‹-matrix approximant to the solution of a Sylvester equation
✍ L. Grasedyck πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 190 KB

## Abstract We consider the Sylvester equation __AX__βˆ’__XB__+__C__=0 where the matrix __C__βˆˆβ„‚^__n__Γ—__m__^ is of low rank and the spectra of __A__βˆˆβ„‚^__n__Γ—__n__^ and __B__βˆˆβ„‚^__m__Γ—__m__^ are separated by a line. We prove that the singular values of the solution X decay exponentially, that means for