Approximate Simultaneous Diagonalization of Matrices via Structured Low-Rank Approximation

摘要

Approximate Simultaneous Diagonalization (ASD) is a problem to find a common similarity transformation which approximately diagonalizes a given square-matrix tuple. Many data science problems have been reduced into ASD through ingenious modelling. For ASD, the so-called Jacobi-like methods have been extensively used. However, the methods have no guarantee to suppress the magnitude of off-diagonal entries of the transformed tuple even if the given tuple has an exact common diagonalizer, i.e., the given tuple is simultaneously diagonalizable. In this paper, to establish an alternative powerful strategy for ASD, we present a novel two-step strategy, called Approximate-Then-Diagonalize-Simultaneously (ATDS) algorithm. The ATDS algorithm decomposes ASD into (Step 1) finding a simultaneously diagonalizable tuple near the given one; and (Step 2) finding a common similarity transformation which diagonalizes exactly the tuple obtained in Step 1. The proposed approach to Step 1 is realized by solving a Structured Low-Rank Approximation (SLRA) with Cadzow's algorithm. In Step 2, by exploiting the idea in the constructive proof regarding the conditions for the exact simultaneous diagonalizability, we obtain an exact common diagonalizer of the obtained tuple in Step 1 as a solution for the original ASD. Unlike the Jacobi-like methods, the ATDS algorithm has a guarantee to find an exact common diagonalizer if the given tuple happens to be simultaneously diagonalizable. Numerical experiments show that the ATDS algorithm achieves better performance than the Jacobi-like methods.