Optimization Problem with a skew-symmetric matrix as a variable

lagrange multipliermatrix equationsoptimizationskew-symmetric matrices

I'm currently trying to solve the following optimization problem

$$\mathop{\text{minimize }}_{X \in \mathbb{R}^{n \times n}} \left\| A X – B \right\|_F^2 \quad \text{ subject to } X = -X^T$$

in which $A,B \in \mathbb{R}^{1 \times n}$ are row vectors. I tried some solvers in MATLAB for constrained linear least-squares problems, but I can never obtain a precise solution, only an approximated one. I also manually experimented with Lagrange multipliers, but still couldn't figure out a possible solution.

Is the problem well posed? Do you guys have any suggestion regarding any possible solutions?

Best Answer

Vectors will be typeset as rows, and matrices typeset as lists of rows.

Theorem. As we vary $X$ over all skew-symmetric matrices, the smallest possible length for $E= AX-B$ is $||E||= \frac{|A\cdot B}{||A||}$.

Proof. Use Gram-Schmidt to construct an orthonormal basis for space chosen so that your two given vectors $A$ and $B$ take the form $A=(a,0,0\ldots,0)$ and $B=(b_1,b_2,\ldots,0)$. The structure of any skew-symmetric matrix is $ M=((0,s, \ldots);(-s,0,\ldots);(\ldots);\ldots)$ for some unknown scalar $s$. (The suppressed terms in this matrix denoted by $\ldots$ have no effect in the computation that follows.) Note that the row vector $A.M=(0, as, \ldots)$ and thus the error vector $E=A.M-B= (-b_1, as-b_2,\ldots)$. The length of this error vector $E$ is minimized when the suppressed terms $\ldots$ are zero, and when $s=b_2/a$; and with this choice the minimum length is $||E||= |b_1|=\frac{|A.B|}{||A||}$.

P.S. In general you can see that since always $AX \perp A$ (proof below), there is no hope that $AX$ can cancel out the component of $B$ that is parallel to $A$.

Proof. If $X$ is skew-symmetric, then $<AX, A>= <A, AX^t> =-<A,AX>=-<AX,A>$ so $<AX,A>=0$; that is $AX\perp A$.

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