Computing nearest stable matrix pairs

DOI10.1002/NLA.2153arXiv1704.03184MaRDI QIDQ6285375FDOQ6285375

Authors: Nicolas Gillis, Volker Mehrmann, Punit Sharma 

Publication date: 11 April 2017

Abstract: In this paper, we study the nearest stable matrix pair problem: given a square matrix pair $(E,A)$, minimize the Frobenius norm of $(Delt{a}_E,Delt{a}_A)$ such that $(E+Delt{a}_E,A+Delt{a}_A)$ is a stable matrix pair. We propose a reformulation of the problem with a simpler feasible set by introducing dissipative Hamiltonian (DH) matrix pairs: A matrix pair $(E,A)$ is DH if $A=(J-R)Q$ with skew-symmetric $J$, positive semidefinite $R$, and an invertible $Q$ such that $Q^{T}E$ is positive semidefinite. This reformulation has a convex feasible domain onto which it is easy to project. This allows us to employ a fast gradient method to obtain a nearby stable approximation of a given matrix pair.

Mathematics Subject Classification ID

Convex programming (90C25) Numerical linear algebra (65F99)

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