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A Global Optimality Certificate for Large-Scale L-infinity-Norm Computation

Authors: Schwerdtner, Paul; Voigt, Matthias; Mengi, Emre;

A Global Optimality Certificate for Large-Scale L-infinity-Norm Computation

Abstract

We present a method for the certification of algorithms that approximate the L∞- or H∞-norm of transfer functions of large-scale (descriptor) systems. This certification is needed because such algorithms developed recently depend on user input, and may converge to a local maximizer of the related singular value function leading to an incorrect value, much lower than the actual norm. Hence, we tailor an algorithm that determines whether a given value is less than the L∞-norm of the transfer function under consideration, and that does not require user input other than the system matrices. In the algorithm, we check whether a certain structured matrix pencil has any purely imaginary eigenvalue by repeatedly applying a structure-preserving shift-and-invert Arnoldi iteration combined with an appropriate shifting strategy. Our algorithm consists of two stages. First, an interval on the imaginary axis which may contain imaginary eigenvalues is determined. Then, in the second stage, a shift is chosen on this interval and the eigenvalues closest to this shift are computed. If none of these eigenvalues is purely imaginary, then an imaginary interval around the shift of appropriate length is removed such that two subintervals remain. This second stage is then repeated on the remaining two subintervals until either a purely imaginary eigenvalue is found or no critical subintervals are left. We show the effectiveness of our method by testing it without any parameter adaptation on a benchmark collection of large-scale systems.

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selected citations
These citations are derived from selected sources.
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!
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