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research article

Low rank differential equations for Hamiltonian matrix nearness problems

Guglielmi, Nicola
•
Kressner, Daniel  
•
Lubich, Christian
2015
Numerische Mathematik

For a Hamiltonian matrix with purely imaginary eigenvalues, we aim to determine the nearest Hamiltonian matrix such that some or all eigenvalues leave the imaginary axis. Conversely, for a Hamiltonian matrix with all eigenvalues lying off the imaginary axis, we look for a nearest Hamiltonian matrix that has a pair of imaginary eigenvalues. The Hamiltonian matrices can be allowed to be complex or restricted to be real. Such Hamiltonian matrix nearness problems are motivated by applications such as the analysis of passive control systems. They are closely related to the problem of determining extremal points of Hamiltonian pseudospectra. We obtain a characterization of optimal perturbations, which turn out to be of low rank and are attractive stationary points of low-rank differential equations that we derive. We use a two-level approach, where in the inner level we determine extremal points of the Hamiltonian -pseudospectrum for a given by following the low-rank differential equations into a stationary point, and on the outer level we optimize for . This permits us to give fast algorithms-exhibiting quadratic convergence-for solving the considered Hamiltonian matrix nearness problems.

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Type
research article
DOI
10.1007/s00211-014-0637-x
Web of Science ID

WOS:000347834200003

Author(s)
Guglielmi, Nicola
Kressner, Daniel  
Lubich, Christian
Date Issued

2015

Publisher

Springer

Published in
Numerische Mathematik
Volume

129

Issue

2

Start page

279

End page

319

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
ANCHP  
Available on Infoscience
February 20, 2015
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/111253
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