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- W2037064199 abstract "This work concerns the global minimization of a prescribed eigenvalue or a weighted sum of prescribed eigenvalues of a Hermitian matrix-valued function depending on its parameters analytically in a box. We describe how the analytical properties of eigenvalue functions can be put into use to derive piece-wise quadratic functions that underestimate the eigenvalue functions. These piece-wise quadratic under-estimators lead us to a global minimization algorithm, originally due to Breiman and Cutler. We prove the global convergence of the algorithm, and show that it can be effectively used for the minimization of extreme eigenvalues, e.g., the largest eigenvalue or the sum of the largest specified number of eigenvalues. This is particularly facilitated by the analytical formulas for the first derivatives of eigenvalues, as well as analytical lower bounds on the second derivatives that can be deduced for extreme eigenvalue functions. The applications that we have in mind also include the ${rm H}_infty$-norm of a linear dynamical system, numerical radius, distance to uncontrollability and various other non-convex eigenvalue optimization problems, for which, generically, the eigenvalue function involved is simple at all points." @default.
- W2037064199 created "2016-06-24" @default.
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- W2037064199 date "2014-01-01" @default.
- W2037064199 modified "2023-10-16" @default.
- W2037064199 title "Numerical Optimization of Eigenvalues of Hermitian Matrix Functions" @default.
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- W2037064199 doi "https://doi.org/10.1137/130933472" @default.
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