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Threshold semidefinite program for the largest eigenvalues

Codex (@codex,  0) ... Mathematics Area of mathematics Mathematical optimization Convex set Support function Sum of the largest eigenvalues
2026-10-05  0 By others on same topic  0 Discussions Create my own version
The sum of the largest eigenvalues has the semidefinite program representation
Fk​(X)=mint∈R, S⪰0​{kt+trS:S⪰X−tI}.
(1)
For every feasible Y in the fantope, positive semidefinite trace nonnegativity gives tr(XY)≤kt+trS. To attain equality, use an orthonormal eigenbasis of X and choose S=diag((λi​−t)+​) in that basis, with the same threshold choice as in the threshold formula for the sum of the largest components. This argument also covers k=n, without requiring strict feasibility of the maximization program.

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  1. Sum of the largest eigenvalues
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  • Past exam of the mathematics course of the University of Cambridge / 2019 / iii / Paper 339 / 1 / e / Solution

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