English

Positive semidefinite interval of matrix pencil and its applications for the generalized trust region subproblems

Optimization and Control 2023-03-01 v1

Abstract

We are concerned with finding the set I(A,B)I_{\succeq}(A,B) of real values μ\mu such that the matrix pencil A+μBA+\mu B is positive semidefinite. If A,BA, B are not simultaneously diagonalizable via congruence (SDC), I(A,B)I_{\succeq}(A,B) either is empty or has only one value μ.\mu. When A,BA, B are SDC, I(A,B),I_{\succeq}(A,B), if not empty, can be a singleton or an interval. Especially, if I(A,B)I_{\succeq}(A,B) is an interval and at least one of the matrices is nonsingular then its interior is the positive definite interval I(A,B).I_{\succ}(A,B). If A,BA, B are both singular, then even I(A,B)I_{\succeq}(A,B) is an interval, its interior may not be I(A,B),I_{\succ}(A,B), but A,BA, B are then decomposed to block diagonals of submatrices A1,B1A_1, B_1 with B1B_1 nonsingular such that I(A,B)=I(A1,B1).I_{\succeq}(A,B)=I_{\succeq}(A_1,B_1). Applying I(A,B),I_{\succeq}(A,B), the hard-case of the generalized trust-region subproblem (GTRS) can be dealt with by only solving a system of linear equations or reduced to the easy-case of a GTRS of smaller size.

Keywords

Cite

@article{arxiv.2302.14352,
  title  = {Positive semidefinite interval of matrix pencil and its applications for the generalized trust region subproblems},
  author = {Van-Bong Nguyen and Thi Ngan Nguyen},
  journal= {arXiv preprint arXiv:2302.14352},
  year   = {2023}
}

Comments

23 pages, no figures