Convexity conditions of Kantorovich function and related semi-infinite linear matrix inequalities

DOI10.1016/J.CAM.2011.03.034MaRDI QIDQ550103zbMATH OpenOpenAlexFDO

Authors Yun-Bin Zhao

Publication date 8 July 2011

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1008.0734

zbMATH Keywords

convex analysispositive definite matrixcondition numberKantorovich functionsemi-infinite linear matrix inequalities

Mathematics Subject Classification ID

Positive matrices and their generalizations; cones of matrices (15B48) Conditioning of matrices (15A12) Miscellaneous inequalities involving matrices (15A45) Convex functions and convex programs in convex geometry (52A41)

Abstract: The Kantorovich function $(x^{T}Ax)(x^T{A}^{-1}x)$, where $A$ is a positive definite matrix, is not convex in general. From matrix/convex analysis point of view, it is interesting to address the question: When is this function convex? In this paper, we investigate the convexity of this function by the condition number of its matrix. In 2-dimensional space, we prove that the Kantorovich function is convex if and only if the condition number of its matrix is bounded above by $3+2sqrt2,$ and thus the convexity of the function with two variables can be completely characterized by the condition number. The upper bound `$3+2sqrt2$' is turned out to be a necessary condition for the convexity of Kantorovich functions in any finite-dimensional spaces. We also point out that when the condition number of the matrix (which can be any dimensional) is less than or equal to $sqrt5+2sqrt6,$ the Kantorovich function is convex. Furthermore, we prove that this general sufficient convexity condition can be remarkably improved in 3-dimensional space. Our analysis shows that the convexity of the function is closely related to some modern optimization topics such as the semi-infinite linear matrix inequality or 'robust positive semi-definiteness' of symmetric matrices. In fact, our main result for 3-dimensional cases has been proved by finding an explicit solution range to some semi-infinite linear matrix inequalities.

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