Year: 2018
Type: article
Abstract: We consider the minimization or maximization of the $J$th largest eigenvalue of an analytic and Hermitian matrix-valued function, and build on Mengi, Yildirim, and Kilic [ SIAM J. Matrix Anal. Appl., 35, pp. 699--724, 2014]. This work addresses the setting when the matrix-valued function involved is very large. We describe subspace procedures that convert the original problem into a small-scale one by means of orthogonal projections and restrictions to certain subspaces, and that gradually expand these subspaces based on the optimal solutions of small-scale problems. Global convergence and superlinear rate-of-convergence results with respect to the dimensions of the subspaces are presented in the infinite dimensional setting, where the matrix-valued function is replaced by a compact operator depending on parameters. In practice, it suffices to solve eigenvalue optimization problems involving matrices with sizes on the scale of tens, instead of the original problem involving matrices with sizes on the scale of thousands.
DOI: 10.1137/16m1070025
Language: English
Topic: Matrix Theory and Algorithms
Subfield: Computational Theory and Mathematics
Field: Computer Science
Domain: Physical Sciences
Open Access status: green
Awards: Understanding and controlling complex systems, Fixed-order controller design for linear infinite-dimensional and parameter-varying systems, optimizing stability and H2-Hoo criteria., Büyük ve doğrusal olmayan özdeğer optimizasyonu problemleri için destek fonksiyon tabanlı algoritmalar, Lipschitz-based Optimization of Singular Values with Applications to Dynamical Systems, Understanding and controlling complex systems
OpenAlex ID: W2247875354