Variational analysis of convexly generated spectral max functions

Inequalities involving eigenvalues and eigenvectors (15A42) Asymptotic properties of solutions to ordinary differential equations (34D05) Nonsmooth analysis (49J52) Optimality conditions (49K99) Nonconvex programming, global optimization (90C26)

Abstract: The spectral abscissa is the largest real part of an eigenvalue of a matrix and the spectral radius is the largest modulus. Both are examples of spectral max functions---the maximum of a real-valued function over the spectrum of a matrix. These mappings arise in the control and stabilization of dynamical systems. In 2001, Burke and Overton characterized the regular subdifferential of the spectral abscissa and showed that the spectral abscissa is subdifferentially regular in the sense of Clarke when all active eigenvalues are nonderogatory. In this paper we develop new techniques to obtain these results for the more general class of convexly generated spectral max functions. In particular, we extend the Burke-Overton subdifferential regularity result to this class. These techniques allow us to obtain new variational results for the spectral radius.

Review text

Let \(\overline{\mathbb R}:= \mathbb R \cup \{\infty\}\) denote the set of the extended real numbers. Given a function \(f:\mathbb C \rightarrow \overline{\mathbb R}\), the \textit{spectral max function} \(\mathsf{f}:\mathbb C^{n\times n} \rightarrow \overline{\mathbb R}\) generated by \(f\) is \[ \mathsf{f}(X):=\max\{f(\lambda)\mid \lambda \in \mathbb C \;\text{and} \;\det(\lambda I - X) = 0\}. \] Two important spectral max functions are the spectral abscissa and spectral radius which are generated by \(f(\cdot) = \Re(\cdot)\) and \(f(\cdot) = |\cdot|\) respectively. Let \(\mathbb{P}^n\) denote the set of complex polynomials with degree equal or less than \(n\). The \textit{polynomial root max function} generated by \(f\) is the mapping \(\mathbf{f}:\mathbb{P}^n \rightarrow \overline{\mathbb R}\) defined by \[ \mathbf{f}(p):=\max\{f(\lambda)\mid \lambda \in \mathbb C \;\text{and} \;p(\lambda) = 0\}. \] We say \(\mathbf{f}\) is \textit{convexly generated} if \(f\) is proper, convex, and lsc. In [Found. Comput. Math. 1, No. 2, 205--225 (2001; Zbl 0994.15022)], \textit{J. V. Burke} et al. characterized the regular subdifferential of the spectral abscissa and showed that the spectral abscissa is subdifferentially regular if all active eigenvalues are nonderogatory. In this paper, the authors extend the Burke-Overton variational analysis results for the spectral abscissa mapping to the class of convexly spectral max functions. It was also shown that subdifferential regularity occurs if and only if all active eigenvalues are nonderogatory. Two different approaches are applied. The first approach uses the Arnold form [\textit{V. I. Arnol'd}, Russ. Math. Surv. 26, No. 2, 29--43 (1972; Zbl 0259.15011); translation from Usp. Mat. Nauk 26, No. 2(158), 101--114 (1971)] to derive a representation for the subdifferential and establish the subdifferential regularity of convexly generated spectral max functions at matrices with nonderogatory active eigenvalues. The second approach uses the underlying matrix structures to characterize the regular subgradients of convexly generated spectral max functions without assuming nonderogatory active eigenvalues.

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