A space decomposition scheme for maximum eigenvalue functions and its applications

A space decomposition scheme for maximum eigenvalue functions and its applications In this paper, we study nonlinear optimization problems involving eigenvalues of symmetric matrices. One of the difficulties in solving these problems is that the eigenvalue functions are not differentiable when the multiplicity of the function is not one. We apply the $${\mathcal {U}}$$ U -Lagrangian theory to analyze the largest eigenvalue function of a convex matrix-valued mapping which extends the corresponding results for linear mapping in the literature. We also provides the formula of first-and second-order derivatives of the $${\mathcal {U}}$$ U -Lagrangian under mild assumptions. These theoretical results provide us new second-order information about the largest eigenvalue function along a suitable smooth manifold, and leads to a new algorithmic framework for analyzing the underlying optimization problem. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Mathematical Methods of Operations Research Springer Journals

A space decomposition scheme for maximum eigenvalue functions and its applications

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Publisher
Springer Berlin Heidelberg
Copyright
Copyright © 2017 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Calculus of Variations and Optimal Control; Optimization; Operations Research/Decision Theory; Business and Management, general
ISSN
1432-2994
eISSN
1432-5217
D.O.I.
10.1007/s00186-017-0579-z
Publisher site
See Article on Publisher Site

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