Non-smooth singular Newton's method for positive semidefinite solution of nonlinear matrix equations

Non-smooth singular Newton's method for positive semidefinite solution of nonlinear matrix equations

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Article ID: iaor20163153
Volume: 27
Issue: 12
Start Page Number: 303
End Page Number: 315
Publication Date: Aug 2016
Journal: International Journal of Operational Research
Authors: , ,
Keywords: heuristics, programming: nonlinear, matrices, numerical analysis
Abstract:

In this paper, we propose a new method for solving conic constrained nonlinear matrix equations. With the use of the orthogonal projection onto the positive semidefinite cone of matrices, the conic constrained equation is transformed to a non‐smooth unconstrained equation which is solved by the non‐smooth Newton's method. Here, we use an explicit expression of the Clarke generalised Jacobian of the projection onto the cone of positive semidefinite matrices as developed by several authors. We prove under natural assumptions that the method converges locally and superlinearly.

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