Timeline for Estimating a symmetric positive-definite matrix from list of matrix vector products
Current License: CC BY-SA 4.0
3 events
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| Jun 26, 2023 at 14:37 | comment | added | Mark L. Stone | Did you declare H to be symmetric? Did CVXPY/solver claim to have solved to optimality? If so, you should not have gotten such large infeasibility on eigenvalue unless numerics (problem scaling) are horrible, such as huge input data values, or your syntax was incorrect and you didn't actually specify the problem you intended. | |
| Jun 26, 2023 at 11:21 | comment | added | SRB121 | Thank you, this is hugely helpful & exactly what I was looking for. I've made some excellent progress with this. So far I'm using CVXPY, and I'm finding convergence to be reliable, but the constraints to be rather 'rubbery'. I.e. H-10I>0 might occasionally throw eigenvalues of 3 or 4 instead of 10+. Have you found one of the packages to be superior to the others in terms of convergence? Additionally if I add, for instance, a ridge regression type penalization to the problem, eg u0,1,2,3,..n=unit vectors in each direction, v0,1,2,...n=lambda*unit direction, it adds instability | |
| Jun 25, 2023 at 15:39 | history | answered | Mark L. Stone | CC BY-SA 4.0 |