We apply Dykstra's alternating projection algorithm to the constrained least-squares matrix problem that arises naturally in statistics and mathematical economics. In particular, we are concerned with the problem of finding the closest symmetric positive definite bounded and patterned matrix, in the
Dykstra′s Alternating Projection Algorithm for Two Sets
✍ Scribed by H.H. Bauschke; J.M. Borwein
- Publisher
- Elsevier Science
- Year
- 1994
- Tongue
- English
- Weight
- 768 KB
- Volume
- 79
- Category
- Article
- ISSN
- 0021-9045
No coin nor oath required. For personal study only.
✦ Synopsis
We analyze Dykstra's algorithm for two arbitrary closed convex sets in a Hilbert space. Our technique also applies to von Neumann's algorithm. Various convergence results follow. An example allows one to compare qualitative and quantitative behaviour of the two algorithms. We discuss the case of finitely many sets. (\quad: 1994) Academic Press. Inc.
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