Spectral operators of matrices

DOI10.1007/S10107-017-1162-3zbMath1411.90264arXiv1401.2269OpenAlexW2182110422MaRDI QIDQ2413097

Chao Ding, Jie Sun, Kim-Chuan Toh, Defeng Sun

Publication date: 6 April 2018

Published in: Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Abstract: The class of matrix optimization problems (MOPs) has been recognized in recent years to be a powerful tool by researchers far beyond the optimization community to model many important applications involving structured low rank matrices. This trend can be credited to some extent to the exciting developments in the emerging field of compressed sensing. The L"owner operator, which generates a matrix valued function by applying a single-variable function to each of the singular values of a matrix, has played an important role for a long time in solving matrix optimization problems. However, the classical theory developed for L"owner operators has become inadequate in these recent applications. The main objective of this paper is to provide some necessary theoretical foundations for designing numerical methods for solving the MOP. This goal is achieved by introducing and conducting a thorough study on a new class of matrix valued functions, coined as spectral operators of matrices. Several fundamental properties of spectral operators, including the well-definedness, continuity, directional differentiability, Fr'{e}chet-differentiability, locally Lipschitzian continuity, $ ho$-order B(ouligand)-differentiability ($0< holeq 1$), $ ho$-order G-semismooth ($0< holeq 1$) and the characterization of Clarke's generalized Jacobian, are systematically studied.

Full work available at URL: https://arxiv.org/abs/1401.2269

zbMATH Keywords

Fréchet differentiabilityspectral operatorsmatrix-valued functionsproximal mappingsdirectional

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Large-scale problems in mathematical programming (90C06) Nonsmooth analysis (49J52) Fréchet and Gateaux differentiability in optimization (49J50)

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Related Items (15)

Certifying the global optimality of quartic minimization over the sphere ⋮ Augmented Lagrangian methods for convex matrix optimization problems ⋮ Regular and limiting normal cones to the graph of the subdifferential mapping of the nuclear norm ⋮ A semismooth Newton based dual proximal point algorithm for maximum eigenvalue problem ⋮ On the equivalence of inexact proximal ALM and ADMM for a class of convex composite programming ⋮ Spectral Decomposition of Symmetric Operator Matrices ⋮ Low-Rank Matrix Iteration Using Polynomial-Filtered Subspace Extraction ⋮ Global convergence of ADMM in nonconvex nonsmooth optimization ⋮ An efficient algorithm for Fantope-constrained sparse principal subspace estimation problem ⋮ Matrix optimization based Euclidean embedding with outliers ⋮ Spectral Operators of Matrices: Semismoothness and Characterizations of the Generalized Jacobian ⋮ \(\mathrm{B}\)-subdifferentials of the projection onto the matrix simplex ⋮ A semismooth Newton-based augmented Lagrangian algorithm for density matrix least squares problems ⋮ B-Subdifferentials of the Projection onto the Generalized Simplex ⋮ B-subdifferential of the projection onto the generalized spectraplex

Uses Software

• SDPNAL+

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