AN INTERIOR-POINT METHOD FOR MINIMIZING THE MAXIMUM EIGENVALUE OF A LINEAR COMBINATION OF MATRICES

Authors
JARRE F
Citation
F. Jarre, AN INTERIOR-POINT METHOD FOR MINIMIZING THE MAXIMUM EIGENVALUE OF A LINEAR COMBINATION OF MATRICES, SIAM journal on control and optimization, 31(5), 1993, pp. 1360-1377
Citations number
39
Categorie Soggetti
Controlo Theory & Cybernetics",Mathematics
Journal title
SIAM journal on control and optimization → ACNP
ISSN journal
03630129
Volume
31
Issue
5
Year of publication
1993
Pages
1360 - 1377
Database
ISI
SICI code
0363-0129(1993)31:5<1360:AIMFMT>2.0.ZU;2-D
Abstract
An algorithm for minimizing the largest eigenvalue of an affine combin ation of symmetric matrices is presented. The nonsmooth problem is tra nsformed into an equivalent smooth constrained problem, which is solve d by a predictor-corrector interior-point method taking full advantage of the differentiability and convexity. Some promising numerical resu lts obtained from a preliminary implementation are included.