Differential properties of the symmetric matrix-valued Fischer-Burmeister function (Q430950)

Let \(S^n\) be the linear space of \(n\times n\) real symmetric matrices endowed with the inner product \((X,Y)= \text{tr}(XY)\) for \(X,Y\in S^n\), where \(\text{tr}(XY)\) denotes the sum of the diagonal entries. The symmetric matrix-valued function is defined as follows \[ \Phi_{FB}(X,Y)= X+ Y- \sqrt{X^2+ Y^2}\;\quad \forall X,Y\in S^n. \] The paper studies directional differentiability and B-subdifferentiability of the function \(\Phi_{FB}(X,Y)\). Formulas for the directional derivative, B-subdifferential and the generalized Jacobian of \(\Phi_{FB}(X,Y)\) are derived. The application of the derived formulas to numerical algorithms for solving problems involving the Fischer-Burmeister function \(\Phi_{FB}(X,Y)\) is discussed in the concluding section of the paper.