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Nonsmooth Newton's method for positive semi definite solution of nonlinear matrix equations

机译:非线性矩阵方程正半定解的非光滑牛顿法

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In this paper, we propose a new method for solving conic constrained nonlinear matrix equations. With the use of the orthogonal projection onto the positive semi-definite cone of matrices, the conic constrained equation is transformed to a nonsmooth unconstrained equation which is solved by the nonsmooth Newton's method. Here, we use an explicit expression of the Clarke generalized Jacobian of the projection onto the cone of positive semidefinite matrices as developed by several authors. We prove under natural assumptions that the method converges locally superlinearly (respectively, quadratically).
机译:本文提出了一种求解圆锥约束的非线性矩阵方程的新方法。利用到矩阵正半定锥上的正交投影,将圆锥约束方程式转换为非光滑非约束方程式,该方程式可通过非光滑牛顿法求解。在这里,我们使用由几位作者开发的,在正半定矩阵的圆锥上的投影的Clarke广义Jacobian的显式表达式。我们在自然假设下证明该方法局部超线性收敛(分别是二次收敛)。

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