Article ID: | iaor1994710 |
Country: | United States |
Volume: | 31 |
Issue: | 5 |
Start Page Number: | 1360 |
End Page Number: | 1377 |
Publication Date: | Sep 1993 |
Journal: | SIAM Journal on Control and Optimization |
Authors: | Jarre Florian |
An algorithm for minimizing the largest eigenvalue of an affine combination of symmetric matrices is presented. The nonsmooth problem is transformed into an equivalent smooth constrained problem, which is solved by a predictor-corrector interior-point method taking full advantage of the differentiability and convexity. Some promising numerical results obtained from a preliminary implementation are included.