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5 votes
2 answers
343 views

Maximal eigenvalue of a correlation matrix with some entries fixed as zeros

Let $A$ be real a positive semidefinite matrix of dimension $n$ and with $1$s on the diagonal. Those matrices are sometimes referred to as correlation matrices. From the positivity of the minors, we ...
user479369's user avatar
8 votes
2 answers
380 views

Projecting onto space of matrices with spectral radius less than one

Consider the space $$ S = \left\{ A \in \mathbb{R}^{n \times n} : \mathrm{SpectralRadius}(|A|) \leq 1 \right\}$$ where $|A|$ is the entry-wise absolute value. Given a matrix $M \in \mathbb{R}^{n\times ...
CComp's user avatar
  • 123
4 votes
2 answers
1k views

Optimizing over matrices with spectral radius <1?

Suppose $F(x)$ is a convex objective function on $n\times n$ matrices, and I need to numerically optimize $F$ with the condition that $x$ has spectral radius less than $1$. This might be too hard, so ...
Yaroslav Bulatov's user avatar