A Support Based Algorithm for Optimization with Eigenvalue Constraints

Optimization of convex functions subject to eigenvalue constraints is intriguing because of peculiar analytical properties of eigenvalues, and is of practical interest because of wide range of applications in fields such as structural design and control theory. Here we focus on the optimization of a linear objective subject to a constraint on the smallest eigenvalue of an analytical and Hermitian matrix-valued function. We offer a quadratic support function based numerical solution. The quadratic support functions are derived utilizing the variational properties of an eigenvalue over a set of Hermitian matrices. Then we establish the local convergence of the algorithm under mild assumptions, and deduce a precise rate of convergence result by viewing the algorithm as a fixed point iteration. We illustrate its applicability in practice on the pseudospectral functions.Comment: 18 pages, 2 figure

Randomized Riemannian Preconditioning for Orthogonality Constrained Problems

Optimization problems with (generalized) orthogonality constraints are prevalent across science and engineering. For example, in computational science they arise in the symmetric (generalized) eigenvalue problem, in nonlinear eigenvalue problems, and in electronic structures computations, to name a few problems. In statistics and machine learning, they arise, for example, in canonical correlation analysis and in linear discriminant analysis. In this article, we consider using randomized preconditioning in the context of optimization problems with generalized orthogonality constraints. Our proposed algorithms are based on Riemannian optimization on the generalized Stiefel manifold equipped with a non-standard preconditioned geometry, which necessitates development of the geometric components necessary for developing algorithms based on this approach. Furthermore, we perform asymptotic convergence analysis of the preconditioned algorithms which help to characterize the quality of a given preconditioner using second-order information. Finally, for the problems of canonical correlation analysis and linear discriminant analysis, we develop randomized preconditioners along with corresponding bounds on the relevant condition number

Multiscaled Cross-Correlation Dynamics in Financial Time-Series

The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Transform to calculate correlation matrices over different timescales and then explore the eigenvalue spectrum over sliding time windows. The dynamics of the eigenvalue spectrum at different times and scales provides insight into the interactions between the numerous constituents involved. Eigenvalue dynamics are examined for both medium and high-frequency equity returns, with the associated correlation structure shown to be dependent on both time and scale. Additionally, the Epps effect is established using this multivariate method and analyzed at longer scales than previously studied. A partition of the eigenvalue time-series demonstrates, at very short scales, the emergence of negative returns when the largest eigenvalue is greatest. Finally, a portfolio optimization shows the importance of timescale information in the context of risk management

Adiabatic optimization without local minima

Several previous works have investigated the circumstances under which quantum adiabatic optimization algorithms can tunnel out of local energy minima that trap simulated annealing or other classical local search algorithms. Here we investigate the even more basic question of whether adiabatic optimization algorithms always succeed in polynomial time for trivial optimization problems in which there are no local energy minima other than the global minimum. Surprisingly, we find a counterexample in which the potential is a single basin on a graph, but the eigenvalue gap is exponentially small as a function of the number of vertices. In this counterexample, the ground state wavefunction consists of two "lobes" separated by a region of exponentially small amplitude. Conversely, we prove if the ground state wavefunction is single-peaked then the eigenvalue gap scales at worst as one over the square of the number of vertices.Comment: 20 pages, 1 figure. Journal versio