Numerical optimization of eigenvalues of Hermitian matrix functions

DOI10.1137/130933472zbMATH Open1307.65043arXiv1109.2080OpenAlexW2037064199MaRDI QIDQ2923367FDOQ2923367

E. Alper Yildirim, Emre Mengi, Mustafa Kiliç

Publication date: 15 October 2014

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Abstract: This work concerns the global minimization of a prescribed eigenvalue or a weighted sum of prescribed eigenvalues of a Hermitian matrix-valued function depending on its parameters analytically in a box. We describe how the analytical properties of eigenvalue functions can be put into use to derive piece-wise quadratic functions that underestimate the eigenvalue functions. These piece-wise quadratic under-estimators lead us to a global minimization algorithm, originally due to Breiman and Cutler. We prove the global convergence of the algorithm, and show that it can be effectively used for the minimization of extreme eigenvalues, e.g., the largest eigenvalue or the sum of the largest specified number of eigenvalues. This is particularly facilitated by the analytical formulas for the first derivatives of eigenvalues, as well as analytical lower bounds on the second derivatives that can be deduced for extreme eigenvalue functions. The applications that we have in mind also include the ${mH}_{i}nfty$-norm of a linear dynamical system, numerical radius, distance to uncontrollability and various other non-convex eigenvalue optimization problems, for which, generically, the eigenvalue function involved is simple at all points.

Full work available at URL: https://arxiv.org/abs/1109.2080

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zbMATH Keywords

global optimizationnumerical examplesalgorithmglobal convergencenumerical radiusperturbation of eigenvaluesdistance to uncontrollabilityanalytic and Hermitian matrix-valued functionHermitian eigenvalues

Mathematics Subject Classification ID

Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Nonconvex programming, global optimization (90C26) Numerical computation of matrix exponential and similar matrix functions (65F60)

Cited In (25)

• Model order reduction for delay systems by iterative interpolation
• Large-Scale Optimization of Eigenvalues
• Large-Scale and Global Maximization of the Distance to Instability
• Krylov subspace methods for discrete-time algebraic Riccati equations
• A Subspace Method for Large-Scale Eigenvalue Optimization
• Robust stability optimization for linear delay systems in a probabilistic framework
• Large-Scale Computation of $\mathcal{L}_\infty$-Norms by a Greedy Subspace Method
• Subspace acceleration for large-scale parameter-dependent Hermitian eigenproblems
• Variational characterization and Rayleigh quotient iteration of 2D eigenvalue problem with applications
• Nonsmooth Optimization Method for H∞ Output Feedback Control
• Nonlinear Eigenvector Methods for Convex Minimization over the Numerical Range
• Spectrally constrained optimization
• Derivatives of symplectic eigenvalues and a Lidskii type theorem
• Generalized derivatives of eigenvalues of a symmetric matrix
• Matrix polynomials with specified eigenvalues
• A Support Function Based Algorithm for Optimization with Eigenvalue Constraints
• Differential Equations for Real-Structured Defectivity Measures
• Large-scale minimization of the pseudospectral abscissa
• Approximate residual-minimizing shift parameters for the low-rank ADI iteration
• A Subspace Framework for ${\mathcal H}_\infty$-Norm Minimization
• Model Order Reduction in Contour Integral Methods for Parametric PDEs
• Approximation of stability radii for large-scale dissipative Hamiltonian systems
• Inheritance properties of Krylov subspace methods for continuous-time algebraic Riccati equations
• An unconstrained global optimization framework for real symmetric eigenvalue problems
• Black-box learning of multigrid parameters

Uses Software

• Matlab
• CTDSX

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