Approximate Simultaneous Diagonalization of Matrices via Structured Low-Rank Approximation

TL;DR

This paper introduces a novel two-step algorithm called ATDS for approximate simultaneous diagonalization of matrices, which guarantees finding an exact diagonalizer if the matrices are exactly diagonalizable, outperforming traditional Jacobi-like methods.

Contribution

The paper proposes the ATDS algorithm combining structured low-rank approximation and constructive diagonalization, providing guarantees and improved performance over existing methods.

Findings

ATDS outperforms Jacobi-like methods in numerical experiments.

Guarantees to find exact diagonalizer if matrices are exactly diagonalizable.

Uses structured low-rank approximation with Cadzow's algorithm.

Abstract

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 a common exact 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 a common exact 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 a common exact 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.