A sparse decomposition of low rank symmetric positive semi-definite matrices

Thomas Y. Hou, Qin Li, Pengchuan Zhang

Suppose that $A\in {\mathbb{R}}^{N\times N}$ is symmetric positive semidefinite with rank $K\le N$. Our goal is to decompose $A$ into $K$ rank-one matrices $\sum_{k=1}^K g_k g_k^T…