Stochastic algorithms for solving structured low-rank matrix approximation problems

Abstract

In this paper, we investigate the complexity of the numerical construction of the Hankel structured low-rank approximation (HSLRA) problem, and develop a family of algorithms to solve this problem. Briefly, HSLRA is the problem of finding the closest (in some pre-defined norm) rank r approximation of a given Hankel matrix, which is also of Hankel structure. We demonstrate that finding optimal solutions of this problem is very hard. For example, we argue that if HSLRA is considered as a problem of estimating parameters of damped sinusoids, then the associated optimization problem is basically unsolvable. We discuss what is known as the orthogonality condition, which solutions to the HSLRA problem should satisfy, and describe how any approximation may be corrected to achieve this orthogonality. Unlike many other methods described in the literature the family of algorithms we propose has the property of guaranteed convergence.