English

Variational analysis of spectral functions simplified

Optimization and Control 2015-07-23 v2

Abstract

Spectral functions of symmetric matrices -- those depending on matrices only through their eigenvalues -- appear often in optimization. A cornerstone variational analytic tool for studying such functions is a formula relating their subdifferentials to the subdifferentials of their diagonal restrictions. This paper presents a new, short, and revealing derivation of this result. We then round off the paper with an illuminating derivation of the second derivative of twice differentiable spectral functions, highlighting the underlying geometry. All of our arguments have direct analogues for spectral functions of Hermitian matrices, and for singular value functions of rectangular matrices.

Keywords

Cite

@article{arxiv.1506.05170,
  title  = {Variational analysis of spectral functions simplified},
  author = {D. Drusvyatskiy and C. Kempton},
  journal= {arXiv preprint arXiv:1506.05170},
  year   = {2015}
}

Comments

17 pages

R2 v1 2026-06-22T09:54:56.117Z