On the semidefinite representation of real functions applied to symmetric matrices

  • We present a new semidefinite representation for the trace of a real function f applied to symmetric matrices, when a semidefinite representation of the convex function f is known. Our construction is intuitive, and yields a representation that is more compact than the previously known one. We also show with the help of matrix geometric means and the Riemannian metric of the set of positive definite matrices that for a rational number p in the interval (0,1], the matrix X raised to the exponent p is the largest element of a set represented by linear matrix inequalities. We give numerical results for a problem inspired from the theory of experimental designs, which show that the new semidefinite programming formulation yields a speed-up factor in the order of 10.
Metadaten
Author:Guillaume Sagnol
Document Type:Article
Parent Title (English):Linear Algebra and its Applications
Volume:439
Issue:10
First Page:2829
Last Page:2843
Year of first publication:2013
Preprint:urn:nbn:de:0297-zib-17511
DOI:https://doi.org/10.1016/j.laa.2013.08.021