An interval-matrix branch-and-bound algorithm for bounding eigenvalues. (4th July 2017)

• Record Type: Journal Article
• Authors: Nerantzis, Dimitrios; Adjiman, Claire S.
• Is Part Of: Optimization methods and software. Volume 32:Number 4(2017)
• Page Start: 872
• Page End: 891
• Publication Date: 2017-07-04
• Subjects: global optimization -- branch-and-bound -- interval matrix -- eigenvalue bounds -- index-1 saddle points; 65K -- 65H; Mathematical optimization -- Periodicals; Algorithms -- Periodicals; 519.7
• DOI: 10.1080/10556788.2016.1184663
• Languages: English
• ISSNs: 1055-6788

Abstract

Abstract : We present and explore the behaviour of a branch-and-bound algorithm for calculating valid bounds on the k th largest eigenvalue of a symmetric interval matrix. Branching on the interval elements of the matrix takes place in conjunction with the application of Rohn's method (an interval extension of Weyl's theorem) in order to obtain valid outer bounds on the eigenvalues. Inner bounds are obtained with the use of two local search methods. The algorithm has the theoretical property that it provides bounds to any arbitrary precision (assuming infinite precision arithmetic) within finite time. In contrast with existing methods, bounds for each individual eigenvalue can be obtained even if its range overlaps with the ranges of other eigenvalues. Performance analysis is carried out through nine examples. In the first example, a comparison of the efficiency of the two local search methods is reported using 4000 randomly generated matrices. The eigenvalue bounding algorithm is then applied to five randomly generated matrices with overlapping eigenvalue ranges. Valid and sharp bounds are indeed identified given a sufficient number of iterations. Furthermore, most of the range reduction takes place in the first few steps of the algorithm so that significant benefits can be derived without full convergence. Finally, in the last three examples, the potential of the algorithm for use in algorithms to identify index-1 saddle points of nonlinear functions is demonstrated.