A Support Function Based Algorithm for Optimization with Eigenvalue Constraints
From MaRDI portal
Abstract: Optimization of convex functions subject to eigenvalue constraints is intriguing because of peculiar analytical properties of eigenvalues, and is of practical interest because of wide range of applications in fields such as structural design and control theory. Here we focus on the optimization of a linear objective subject to a constraint on the smallest eigenvalue of an analytical and Hermitian matrix-valued function. We offer a quadratic support function based numerical solution. The quadratic support functions are derived utilizing the variational properties of an eigenvalue over a set of Hermitian matrices. Then we establish the local convergence of the algorithm under mild assumptions, and deduce a precise rate of convergence result by viewing the algorithm as a fixed point iteration. We illustrate its applicability in practice on the pseudospectral functions.
Recommendations
- Solving a minimization problem for a class of constrained maximum eigenvalue function
- Eigenvalue techniques for convex objective, nonconvex optimization problems
- scientific article; zbMATH DE number 1931602
- On Eigenvalue Optimization
- scientific article; zbMATH DE number 967335
- A nonsmooth algorithm for cone-constrained eigenvalue problems
- On the solution of the eigenvalue assignment problem by derivative-free optimization methods
- On minimax eigenvalue problems via constrained optimization
- Eigenvalue perturbations and nonlinear parametric optimization
- scientific article; zbMATH DE number 2188943
Cites work
- scientific article; zbMATH DE number 46303 (Why is no real title available?)
- scientific article; zbMATH DE number 47926 (Why is no real title available?)
- scientific article; zbMATH DE number 2107836 (Why is no real title available?)
- scientific article; zbMATH DE number 3288876 (Why is no real title available?)
- scientific article; zbMATH DE number 2212009 (Why is no real title available?)
- A redistributed proximal bundle method for nonconvex optimization
- Algorithms for the computation of the pseudospectral radius and the numerical radius of a matrix
- Convex analysis and nonlinear optimization. Theory and examples
- Fast Algorithms for the Approximation of the Pseudospectral Abscissa and Pseudospectral Radius of a Matrix
- Generalized Gradients and Applications
- Methods of descent for nondifferentiable optimization
- New variants of bundle methods
- Newton's method for convex programming and Tschebyscheff approximation
- Numerical optimization of eigenvalues of Hermitian matrix functions
- On eigenvalues of matrices dependent on a parameter
- On static output-feedback stabilization for multi-input multi-output positive systems
- On the Optimal Design of Columns Against Buckling
- Robust stability and a criss-cross algorithm for pseudospectra
- Structural Topology Optimization with Eigenvalues
- Survey of Bundle Methods for Nonsmooth Optimization
- Survey on the state of systems and control
- The Cutting-Plane Method for Solving Convex Programs
Cited in
(5)- Numerical optimization of eigenvalues of Hermitian matrix functions
- Spectrally constrained optimization
- Large-scale and global maximization of the distance to instability
- Minimization of the pseudospectral abscissa of a quadratic matrix polynomial
- Approximate residual-minimizing shift parameters for the low-rank ADI iteration
This page was built for publication: A Support Function Based Algorithm for Optimization with Eigenvalue Constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2967609)
