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A Decomposition Method for Weighted Least Squares Low-rank Approximation of Symmetric Matrices

  • Author(s): de Leeuw, Jan
  • et al.
Abstract

We discuss an alternating least squares algorithm that uses both decomposition and block relaxation to find the optimal positive semidefinite approxation of given rank p to a known symmetric matrix of order n. Each iteration of the algorithm involves minimizing n quartics and solving n secular equations of order p.

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