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SQP algorithms for solving Toeplitz matrix approximation problem |
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| Authors: | Suliman S Al‐Homidan |
| Abstract: | Given an n × n matrix F, we find the nearest symmetric positive semi‐definite Toeplitz matrix T to F. The problem is formulated as a non‐linear minimization problem with positive semi‐definite Toeplitz matrix as constraints. Then a computational framework is given. An algorithm with rapid convergence is obtained by l1 Sequential Quadratic Programming (SQP) method. Copyright © 2002 John Wiley & Sons, Ltd. |
| Keywords: | filterSQP method non‐smooth optimization positive semi‐definite matrix Toeplitz matrix l1SQP method |