Sensitivity analysis of all eigenvalues of a symmetric matrix (Q1347028): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Set OpenAlex properties.
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
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references