Proximal Alternating Direction Method with Relaxed Proximal Parameters for the Least Squares Covariance Adjustment Problem

Abstract EN

We consider the problem of seeking a symmetric positive semidefinite matrix in a closed convex set to approximate a given matrix.

This problem may arise in several areas of numerical linear algebra or come from finance industry or statistics and thus has many applications.

For solving this class of matrix optimization problems, many methods have been proposed in the literature.

The proximal alternating direction method is one of those methods which can be easily applied to solve these matrix optimization problems.

Generally, the proximal parameters of the proximal alternating direction method are greater than zero.

In this paper, we conclude that the restriction on the proximal parameters can be relaxed for solving this kind of matrix optimization problems.

Numerical experiments also show that the proximal alternating direction method with the relaxed proximal parameters is convergent and generally has a better performance than the classical proximal alternating direction method.