1 A PROXIMITY CONTROL ALGORITHM TO MINIMIZE.pdfVIP

A PROXIMITY CONTROL ALGORITHM TO MINIMIZE NONSMOOTH AND NONCONVEX SEMI-INFINITE MAXIMUM EIGENVALUE FUNCTIONS PIERRE APKARIAN?? , DOMINIKUS NOLL? , AND OLIVIER PROT? Abstract. Proximity control is a well-known mechanism in bundle method for nonsmooth op- timization. Here we show that it can be used to optimize a large class of nonconvex and nonsmooth functions with additional structure. This includes for instance nonconvex maximum eigenvalue func- tions, and also in?nite suprema of such functions. Key words. Nonsmooth calculus, nonsmooth optimization, Clarke subdi?erential, spectral bundle method, maximum eigenvalue function, semi-in?nite problem, H∞-norm. 1. Introduction. Proximity control for bundle methods has been known for a long time, but its use is too often restricted to convex optimization, where its full strength cannot be gauged. As we shall demonstrate, as soon as the management of the proximity control parameter follows the lines of a trust region strategy, many nonconvex and nonsmooth locally Lipschitz functions can be optimized. In contrast, in the convex case, the proximity control parameter can usually be frozen, which suggests that under convexity the full picture is not seen, and something of the essence is missing to understand this mechanism. The method we discuss here will be developed in the context of a speci?c application, because that is where the motivation of our work arises from, but we will indicate in which way the method can be generalized to much larger classes of functions. The application we have in mind is optimizing the H∞-norm, which is structurally of the form 1 f x sup λ1 F x, ω , ω ∈[0,∞] where F : Rn × [0, ∞] → Sm is an operator with values in the space Sm of m × m symmetric or Hermitian matrices, equipped with the scalar product X ? Y Tr XY , and where λ1 denotes the maximum eigenvalue funct