I want to solve minimization of maximum eigen value of symmetric matrix, this is non-differentiable convex problem.
I am not getting global optimum. Can anyone explain the reason.
minimize lambda_max(Ginv(G1)) ( wrt matrix U)
subject to G=G1+U
all G, G1 and U are 22 matrices.
What is your actual CVX model? In particular, what is “Ginv(G1)”? That doesn’t look symmetric, which lambda_max requires; and if it is not symmetric, it is probably not convex.
What is your actual CVX model? In particular, what is “Ginv(G1)”? That doesn’t look symmetric, which lambda_max requires; and if it is not symmetric, it is probably not convex.
function is lambda ( G* Inverse(G1)) … it can be converted into lyapounov form : Transpose(G)PG1 + Transpose(G1)PG … this is LMI and hence convex, but eigen value function is usually non -differentiable.