An efficient numerical method for condition number constrained covariance matrix approximation

Abstract: In the high-dimensional data setting, the sample covariance matrix is singular. In order to get a numerically stable and positive definite modification of the sample covariance matrix in the high-dimensional data setting, in this paper we consider the condition number constrained covariance matrix approximation problem and present its explicit solution with respect to the Frobenius norm. The condition number constraint guarantees the numerical stability and positive definiteness of the approximation form simultaneously. By exploiting the special structure of the data matrix in the high-dimensional data setting, we also propose some new algorithms based on efficient matrix decomposition techniques. Numerical experiments are also given to show the computational efficiency of the proposed algorithms.