Analytical solutions to some optimization problems on ranks and inertias of matrix-valued functions subject to linear matrix inequalities

arXiv1301.0986MaRDI QIDQ6238528FDOQ6238528

Publication date: 6 January 2013

Abstract: Matrix rank and inertia optimization problems are a class of discontinuous optimization problems, in which the decision variables are matrices running over certain feasible matrix sets, while the ranks and inertias of the variable matrices are taken as integer-valued objective functions. In this paper, we establish a group of explicit formulas for calculating the maximal and minimal values of the rank- and inertia-objective functions of the Hermitian matrix expression

A_{1} - B_{1} X B_{1}^{*}

subject to the linear matrix inequality

B_{2} X B_{2}^{*} s u c c c u r l y e q A_{2}

(B_{2} X B_{2}^{*} p r e c c u r l y e q A_{2})

in the L"owner partial ordering, and give applications of these formulas in characterizing behaviors of some constrained matrix-valued functions.

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Hermitian, skew-Hermitian, and related matrices (15B57) Semidefinite programming (90C22) Mixed integer programming (90C11) Miscellaneous inequalities involving matrices (15A45) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Matrix equations and identities (15A24) Linear inequalities of matrices (15A39)

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