Derivatives of Spectral Functions
نویسنده
چکیده
A spectral function of a Hermitian matrix X is a function which depends only on the eigenvalues of X, 1 (X) 2 (X) : : : n (X), and hence may be written f(1 (X); 2 (X); : : :; n (X)) for some symmetric function f. Such functions appear in a wide variety of matrix optimization problems. We give a simple proof that this spectral function is diierentiable at X if and only if the function f is diierentiable at the vector (X), and we give a concise formula for the derivative. We then apply this formula to deduce an analogous expression for the Clarke generalized gradient of the spectral function. A similar result holds for real symmetric matrices.
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عنوان ژورنال:
- Math. Oper. Res.
دوره 21 شماره
صفحات -
تاریخ انتشار 1996