23rd European Symposium on Computer Aided Process Engineering

Reformulation strategies for eigenvalue optimization using Sylvester’s criterion and Cholesky decomposition

Danan S. Wicaksono and Wolfgang Marquardt,    AVT – Process Systems Engineering, RWTH Aachen University, Germany

Abstract

Only a few solvers are currently available to solve eigenvalue optimization problems. In case of nonlinear objective and/or constraints, the capabilities of existing methods are still limited. This contribution addresses two classes of eigenvalue optimization problems: the maximization (minimization) of the smallest (largest) eigenvalue of a real symmetric matrix and optimization subject to inequalities constraining the real parts of all eigenvalues of a real square matrix. This contribution considers the reformulation ...