On Generalizing Trace Minimization

DOI10.1016/J.LAA.2022.10.012arXiv2104.00257MaRDI QIDQ6364307FDOQ6364307

Authors: Xin Liang, Li Wang, Lei-Hong Zhang, Ren-Cang Li

Publication date: 1 April 2021

Abstract: Ky Fan's trace minimization principle is extended along the line of the Brockett cost function

m a t h r m t r a c e (D X^{H} A X)

in

X

on the Stiefel manifold, where

D

of an apt size is positive definite. Specifically, we investigate

i n f_{X} m a t h r m t r a c e (D X^{H} A X)

subject to

X^{H} B X = I_{k}

or

J_{k} = m a t h r m d i a g (p m 1)

. We establish conditions under which the infimum is finite and when it is finite, analytic solutions are obtained in terms of the eigenvalues and eigenvectors of the matrix pencil

A - l a m b d a B

, where

B

is possibly indefinite and singular, and

D

is also possibly indefinite.

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Numerical computation of eigenvalues and eigenvectors of matrices (65F15) Matrix pencils (15A22)

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