| , Convex Analysis and Minimization Algorithms II, vol. 306 of Grundlehren der mathematischen Wissenschaften, Springer, Berlin, Heidelberg, 1993. |
....method for solving the problem of minimizing the maximal eigenvalue of an affine matrix function with an additional linear objective term. These functions are well known to be convex and non smooth. A very general method for optimizing non smooth convex functions is the bundle method, see e.g. [21, 42, 17, 18]. In each step the function value and a subgradient of the function is computed for some specific point. By means of the collected subgradients a cutting plane model of the function is formed. The minimizer of the cutting plane model augmented by a regularization term yields the new point. In the ....
, Convex Analysis and Minimization Algorithms II, vol. 306 of Grundlehren der mathematischen Wissenschaften, Springer, Berlin, Heidelberg, 1993.
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