Structured low rank decomposition of multivariate Hankel matrices

Abstract : We study the decomposition of a multivariate Hankel matrix H_σ as a sum of Hankel matrices of small rank in correlation with the decomposition of its symbol σ as a sum of polynomial-exponential series. We present a new algorithm to compute the low rank decomposition of the Hankel operator and the decomposition of its symbol exploiting the properties of the associated Artinian Gorenstein quotient algebra A_σ. A basis of A_σ is computed from the Singular Value Decomposition of a sub-matrix of the Hankel matrix H_σ. The frequencies and the weights are deduced from the generalized eigenvectors of pencils of shifted sub-matrices of H σ. Explicit formula for the weights in terms of the eigenvectors avoid us to solve a Vandermonde system. This new method is a multivariate generalization of the so-called Pencil method for solving Prony-type decomposition problems. We analyse its numerical behaviour in the presence of noisy input moments, and describe a rescaling technique which improves the numerical quality of the reconstruction for frequencies of high amplitudes. We also present a new Newton iteration, which converges locally to the closest multivariate Hankel matrix of low rank and show its impact for correcting errors on input moments.
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Linear Algebra and Applications, Elsevier - Academic Press, 2017, 〈10.1016/j.laa.2017.04.015〉
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Jouhayna Harmouch, Houssam Khalil, Bernard Mourrain. Structured low rank decomposition of multivariate Hankel matrices. Linear Algebra and Applications, Elsevier - Academic Press, 2017, 〈10.1016/j.laa.2017.04.015〉. 〈hal-01440063〉

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