A SUBSPACE METHOD FOR LARGE-SCALE EIGENVALUE OPTIMIZATION

作者：Kangal Fatih^*; Meerbergen Karl; Mengi Emre; Michiels Wim

来源：SIAM Journal on Matrix Analysis and Applications, 2018, 39(1): 48-82.

DOI：10.1137/16M1070025

• eigenvalue optimization
• large scale
• orthogonal projection
• eigenvalue perturbation theory
• parameter dependent compact operator
• matrix-valued function

We consider the minimization or maximization of the Jth largest eigenvalue of an analytic and Hermitian matrix-valued function, and build on Mengi, Yildirim, and Kilic [SIAM T. Matrix Anal. Appl., 35, pp. 699-724, 2014]. 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.

• 出版日期2018