Closest Normal Matrix Found Again Using Riemannian Optimization

Abstract

We propose an approach based on Riemannian optimization to compute a nearest normal matrix to a given one. The problem can be formulated as the minimization of a smooth function either on the manifold $U(n)$ of unitary matrices of size n or on the flag manifold $U (n)/U (1)^n$. The flag manifold is particularly suitable for theoretical analysis; we characterize the global maximum of the objective function and prove that, for generic inputs, its local minimizers are finitely many and isolated; in turn, this implies the original nearest normal matrix problem generically has finitely many local minimizers, all with distinct eigenvalues. We also develop a Riemannian trust-region method that improves substantially on classical algorithms and can handle considerably larger matrices, as well as a variant for computing the nearest real normal matrix. The paper is complemented by extensive numerical experiments.