An interior-point method for minimizing the maximum eigenvalue of a linear combination of matrices

An interior-point method for minimizing the maximum eigenvalue of a linear combination of matrices

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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:
Abstract:

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.

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