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Linear Algebra and its Applications
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Linear Algebra and its Applications
Article . 1995
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Linear Algebra and its Applications
Article . 1995 . Peer-reviewed
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On minimizing the largest eigenvalue of a symmetric matrix

Authors: Batool Nekooie; M.K.H. Fan;

On minimizing the largest eigenvalue of a symmetric matrix

Abstract

This paper concerns the (nondifferentiable) optimization problem (1) \(\lambda^* = \inf_{x \in \mathbb{R}^ m} \lambda_ 1 (x)\), where \(\lambda_ 1 (x)\) are the largest eigenvalues of \(A(x) = A_ 0 + \sum^ m_{j=1} x_ jA_ j\) and the \(A_ j\) are symmetric. It gives a sufficient condition on \(x\) to satisfy \(\lambda_ 1 (x) - \varepsilon \leq \lambda^* < \lambda_ 1 (x)\) \((\varepsilon\) given) and a construction of descent directions for \(\lambda_ 1 (x)\) when the sufficient condition fails to hold, furthermore a line search rule for (1) when a descent condition is given, and an algorithm for solving (1) under the assumption that the multiplicity of \(\lambda_ 1 (x)\) at the solution is known. Numerical experiments on the proposed algorithm concern six randomly generated \(5 \times 5\) matrices, and eleven \(20 \times 20\) matrices for which that multiplicity is 3; the latter resulted from work by \textit{M. L. Overton} [SIAM J. Matrix Anal. Appl. 9, No. 2, 256-268 (1988; Zbl 0647.65044)].

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Keywords

Numerical computation of eigenvalues and eigenvectors of matrices, nondifferentiable optimization, Numerical Analysis, algorithm, Algebra and Number Theory, nonsmooth optimization, largest eigenvalues, Numerical mathematical programming methods, Nonlinear programming, Discrete Mathematics and Combinatorics, Geometry and Topology, numerical experiments

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
24
Top 10%
Top 10%
Top 10%
hybrid