A semismooth Newton-CG based dual PPA for matrix spectral norm approximation problems

We consider a class of matrix spectral norm approximation problems for finding an affine combination of given matrices having the minimal spectral norm subject to some prescribed linear equality and inequality constraints. These problems arise often in numerical algebra, engineering and other areas, such as finding Chebyshev polynomials of matrices and fastest mixing Markov chain models. Based on classical analysis of proximal point algorithms (PPAs) and recent developments on semismooth analysis of nonseparable spectral operators, we propose a semismooth Newton-CG based dual PPA for solving the matrix norm approximation problems. Furthermore, when the primal constraint nondegeneracy condition holds for the subproblems, our semismooth Newton-CG method is proven to have at least a superlinear convergence rate. We also design efficient implementations for our proposed algorithm to solve a variety of instances and compare its performance with the nowadays popular first order alternatin...

• Type: Journal
• Year: 2016
• Where: MP
• Authors: Caihua Chen, Yong-Jin Liu, Defeng Sun, Kim-Chuan Toh
• Keywords: Information Technology, MP 2016