Analysis of Structured Low Rank Approximation as an Optimization Problem

Article type: Research Article

Authors: Gillard, Jonathan | Zhigljavsky, Anatoly

Affiliations: Cardiff School of Mathematics, Cardiff University, Senghenydd Road, Cardiff, UK, e-mail: {gillardjw, zhigljavskyaa}@cardiff.ac.uk

Abstract: In this paper, we consider the so-called structured low rank approximation (SLRA) problem as a problem of optimization on the set of either matrices or vectors. Briefly, SLRA is defined as follows. Given an initial matrix with a certain structure (for example, Hankel), the aim is to find a matrix of specified lower rank that approximates this initial matrix, whilst maintaining the initial structure. We demonstrate that the optimization problem arising is typically very difficult; in particular, the objective function is multiextremal even in simple cases. We also look at different methods of solving the SLRA problem. We show that some traditional methods do not even converge to a locally optimal matrix.

Keywords: structured low rank approximation, Hankel matrix, optimization

Journal: Informatica, vol. 22, no. 4, pp. 489-505, 2011