Mathematics > Numerical Analysis
[Submitted on 18 Aug 2015 (v1), last revised 15 Jun 2017 (this version, v3)]
Title:A Subspace Method for Large Scale Eigenvalue Optimization
View PDFAbstract:We consider the minimization or maximization of the $J$th largest eigenvalue of an analytic and Hermitian matrix-valued function, and build on Mengi et al. (2014, SIAM J. Matrix Anal. Appl., 35, 699-724). 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.
Submission history
From: Emre Mengi [view email][v1] Tue, 18 Aug 2015 05:14:02 UTC (123 KB)
[v2] Sun, 10 Apr 2016 14:53:49 UTC (125 KB)
[v3] Thu, 15 Jun 2017 18:40:01 UTC (146 KB)
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