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

Jan De Leeuw
We discuss an alternating least squares algorithm that uses both decomposition and block relaxation to find the optimal positive semidefinite approximation 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.
2006-09-01