Forcing sparsity by projecting with respect to a non-diagonally weighted frobenius norm |
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Authors: | R B Schnabel Ph L Toint |
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Institution: | 1. Department of Computer Science, University of Colorado, Boulder, CO, USA 2. Départment of Mathematics, Faculté Universitaires de Namur, Belgium
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Abstract: | This note deals with the computational problem of determining the projection of a given symmetric matrix onto the subspace of symmetric matrices that have a fixed sparsity pattern. This projection is performed with respect to a weighted Frobenius norm involving a metric that is not diagonal. It is shown that the solution to this question is computationally feasible when the metric appearing in the norm is a low rank modification to the identity. Also, generalization to perturbations of higher rank is shown to be increasingly costly in terms of computation. |
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