On minimax eigenvalue problems via constrained optimization |
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| Authors: | C. J. Goh K. L. Teo |
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| Affiliation: | (1) Department of Industrial and Systems Engineering, National University of Singapore, Kent Ridge, Singapore;(2) Present address: Department of Mathematics, University of Western Australia, Nedlands, Western Australia, Australia |
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| Abstract: | In this paper, we consider the problem of minimizing the maximum eigenvalues of a matrix. The aim is to show that this optimization problem can be transformed into a standard nonlinearly constrained optimization problem, and hence is solvable by existing software packages. For illustration, two examples are solved by using the proposed method. |
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| Keywords: | Minimax problems eigenvalue problems constrained optimization |
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