Sensitivity analysis of all eigenvalues of a symmetric matrix (Q1347028): Difference between revisions
From MaRDI portal
Removed claims |
Set OpenAlex properties. |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / author | |||
Property / author: Jean-Baptiste Hiriart-Urruty / rank | |||
Normal rank | |||
Property / author | |||
Property / author: Dongyi Ye / rank | |||
Normal rank | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1007/s002110050109 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2016624757 / rank | |||
Normal rank |
Revision as of 22:52, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Sensitivity analysis of all eigenvalues of a symmetric matrix |
scientific article |
Statements
Sensitivity analysis of all eigenvalues of a symmetric matrix (English)
0 references
23 July 1995
0 references
Let \(A = A(x)\) be a symmetric \(n \times n\) matrix whose elements depend smoothly on the \(p\)-vector \(x\). This paper studies the sensitivity of the eigenvalues \(\lambda_ k (x) = \lambda_ k (A(x))\) as a function of \(x\). Because \(\lambda_ k (x)\) is not convex, the functions \(\sigma_ m(x) = \sum_{k=1}^ m \lambda_ k (x)\) are introduced which turn out to be convex. Since moreover \(\lambda_ k (x)\) and \(\sigma_ m(x)\) are nonsmooth, the derivations depend heavily on results from nonsmooth and convex analysis. Another important element in the analysis is the separation of the effects of the maps \(A \mapsto \lambda_ m(A)\) and of \(x \mapsto A(x)\). First \(\sigma_ m\) is characterized by Ky Fan's variational principle, i.e., \(\sigma_ m = \max \{\text{tr} (A XX^ T)\}\) where the maximum is taken over all \(n \times m\) matrices \(X\) satisfying \(X^ TX = I_ m\). Next the subdifferential calculus for the map \(A \mapsto \lambda_ m (A)\) is analysed. Finally the generalized gradient and the directional derivatives for \(\lambda_ m(x)\) are explicitly computed.
0 references
symmetric matrix
0 references
sensitivity of eigenvalues
0 references
nonsmooth analysis
0 references
convex functions
0 references
subdifferential calculus
0 references
generalized gradient
0 references
directional derivatives
0 references