Variational analysis of spectral functions simplified
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 restricti...
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Zusammenfassung: | 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. |
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DOI: | 10.48550/arxiv.1506.05170 |