Generalized eigenvalue problems with specified eigenvalues
Copyright policy )Generalized eigenvalue problems with specified eigenvalues
We consider the distance from a (square or rectangular) matrix pencil to the nearest matrix pencil in 2-norm that has a set of specified eigenvalues. We derive a singular value optimization characterization for this problem and illustrate its usefulness for two applications. First, the characterization yields a singular value formula for determining the nearest pencil whose eigenvalues lie in a specified region in the complex plane. For instance, this enables the numerical computation of the nearest stable descriptor system in control theory. Second, the characterization partially solves the problem posed in [Boutry et al. 2005] regarding the distance from a general rectangular pencil to the nearest pencil with a complete set of eigenvalues. The involved singular value optimization problems are solved by means of BFGS and Lipschitz-based global optimization algorithms.
23 pages with 3 pdf figures
Optimization of singular values, Sylvester equation, Inverse eigenvalue problems, FOS: Mathematics, Eigenvalues, 65F15, 65F18 (Primary) 90C26, 90C56 (Secondary), Lipschitz continuity, Mathematics - Numerical Analysis, Numerical Analysis (math.NA), Matrix pencils, Matrix pencils; Eigenvalues; Optimization of singular values; Inverse eigenvalue problems; Lipschitz continuity; Sylvester equation
Optimization of singular values, Sylvester equation, Inverse eigenvalue problems, FOS: Mathematics, Eigenvalues, 65F15, 65F18 (Primary) 90C26, 90C56 (Secondary), Lipschitz continuity, Mathematics - Numerical Analysis, Numerical Analysis (math.NA), Matrix pencils, Matrix pencils; Eigenvalues; Optimization of singular values; Inverse eigenvalue problems; Lipschitz continuity; Sylvester equation
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