Threshold semidefinite program for the largest eigenvalues
ID: threshold-semidefinite-program-for-the-largest-eigenvalues
The sum of the largest eigenvalues has the semidefinite program representationFor every feasible in the fantope, positive semidefinite trace nonnegativity gives . To attain equality, use an orthonormal eigenbasis of and choose in that basis, with the same threshold choice as in the threshold formula for the sum of the largest components. This argument also covers , without requiring strict feasibility of the maximization program.
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