Variational analysis of spectral functions simplified

zbMATH Open1398.49012arXiv1506.05170MaRDI QIDQ4609979FDOQ4609979

Authors: Courtney Paquette, D. Drusvyatskiy 

Publication date: 27 March 2018

Abstract: Spectral functions of symmetric matrices -- those depending on matrices only through their eigenvalues -- appear often in optimization. A cornerstone variational analytic tool for studying such functions is a formula relating their subdifferentials to the subdifferentials of their diagonal restrictions. This paper presents a new, short, and revealing derivation of this result. We then round off the paper with an illuminating derivation of the second derivative of twice differentiable spectral functions, highlighting the underlying geometry. All of our arguments have direct analogues for spectral functions of Hermitian matrices, and for singular value functions of rectangular matrices.

Full work available at URL: https://arxiv.org/abs/1506.05170

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zbMATH Keywords

eigenvaluessingular valuesnonsmooth analysissubdifferentialHessiangroup actionsquadratic growthproximal mapping

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Nonsmooth analysis (49J52) Continuity and differentiation questions (26B05) Set-valued and variational analysis (49J53) Derivatives of functions in infinite-dimensional spaces (46G05)

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Cited In (16)

• Spectral self-concordant functions in the space of two-by-two symmetric matrices
• On the subdifferential of symmetric convex functions of the spectrum for symmetric and orthogonally decomposable tensors
• Spectral operators of matrices
• Stochastic model-based minimization of weakly convex functions
• Composite optimization by nonconvex majorization-minimization
• Generalized Hadamard Product and the Derivatives of Spectral Functions
• Iteratively reweighted \(\ell _1\) algorithms with extrapolation
• Spectral operators of matrices: semismoothness and characterizations of the generalized Jacobian
• Solving primal plasticity increment problems in the time of a single predictor-corrector iteration
• Variational analysis of non-Lipschitz spectral functions
• A variational approach of the rank function
• Orthogonal invariance and identifiability
• Matrix optimization over low-rank spectral sets: stationary points and local and global minimizers
• Variational analysis of convexly generated spectral max functions
• Trimmed statistical estimation via variance reduction
• A study of convex convex-composite functions via infimal convolution with applications

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