A Support Function Based Algorithm for Optimization with Eigenvalue Constraints

@article{Mengi2017ASF,
  title={A Support Function Based Algorithm for Optimization with Eigenvalue Constraints},
  author={Emre Mengi},
  journal={SIAM J. Optim.},
  year={2017},
  volume={27},
  pages={246-268}
}
  • E. Mengi
  • Published 22 February 2017
  • Mathematics
  • SIAM J. Optim.
Optimization of convex functions subject to eigenvalue constraints is intriguing because of peculiar analytical properties of eigenvalue functions and is of practical interest because of a wide range of applications in fields such as structural design and control theory. Here we focus on the optimization of a linear objective subject to a constraint on the smallest eigenvalue of an analytic and Hermitian matrix-valued function. We propose a numerical approach based on quadratic support… 

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