Variational analysis of spectral functions simplified
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Publication:4609979
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.
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Cites work
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Cited in
(16)- Spectral operators of matrices
- Matrix optimization over low-rank spectral sets: stationary points and local and global minimizers
- On the subdifferential of symmetric convex functions of the spectrum for symmetric and orthogonally decomposable tensors
- Spectral operators of matrices: semismoothness and characterizations of the generalized Jacobian
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- Variational analysis of non-Lipschitz spectral functions
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