GeneralizedEigenvalueMinimization
Documentation for GeneralizedEigenvalueMinimization Julia package for minimizing the generalized eigenvalues.
Problem statement
\[\begin{aligned} \mathrm{minimize} &\qquad \lambda\\ \text{subject to} &\qquad \lambda \boldsymbol B(\boldsymbol x) - \boldsymbol A(\boldsymbol x) \succeq \boldsymbol 0,\\ &\qquad \boldsymbol B(\boldsymbol x) \succeq \boldsymbol0,\\ &\qquad \boldsymbol C(\boldsymbol x) \succeq \boldsymbol 0, \end{aligned}\]
where $\lambda\in\mathbb R$, $\boldsymbol x\in \mathbb R^n$, $\boldsymbol A()$, $\boldsymbol B()$ and $\boldsymbol C()$ are affine functions of $\boldsymbol x$.
Functions
GeneralizedEigenvalueMinimization.minimize_gev_bracket — Methodλmin,xmin = minimize_gev_bracket()Minimize the fdfdfd