Retaining positive definiteness in thresholded matrices

TL;DR

This paper investigates the conditions under which thresholding positive definite matrices preserves their positive definiteness, revealing that only certain graph structures and matrix classes maintain this property.

Contribution

It provides a rigorous algebraic characterization of when thresholded matrices remain positive definite, especially focusing on graph structures and matrix classes.

Findings

Positive definiteness is preserved only for graphs with disconnected complete components.

Diagonal dominance is not sufficient for preserving positive definiteness after thresholding.

Complex algebraic conditions govern the preservation of positive definiteness in thresholded matrices.

Abstract

Positive definite (p.d.) matrices arise naturally in many areas within mathematics and also feature extensively in scientific applications. In modern high-dimensional applications, a common approach to finding sparse positive definite matrices is to threshold their small off-diagonal elements. This thresholding, sometimes referred to as hard-thresholding, sets small elements to zero. Thresholding has the attractive property that the resulting matrices are sparse, and are thus easier to interpret and work with. In many applications, it is often required, and thus implicitly assumed, that thresholded matrices retain positive definiteness. In this paper we formally investigate the algebraic properties of p.d. matrices which are thresholded. We demonstrate that for positive definiteness to be preserved, the pattern of elements to be set to zero has to necessarily correspond to a graph which is a union of disconnected complete components. This result rigorously demonstrates that, except in special cases, positive definiteness can be easily lost. We then proceed to demonstrate that the class of diagonally dominant matrices is not maximal in terms of retaining positive definiteness when thresholded. Consequently, we derive characterizations of matrices which retain positive definiteness when thresholded with respect to important classes of graphs. In particular, we demonstrate that retaining positive definiteness upon thresholding is governed by complex algebraic conditions.