Abstract
This paper studies the differentiability properties of the projection onto the cone of positive semidefinite matrices. In particular, the expression of the Clarke generalized Jacobian of the projection at any symmetric matrix is given.
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*Research supported by NSERC.
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Malick, J., Sendov, H.S. Clarke Generalized Jacobian of the Projection onto the Cone of Positive Semidefinite Matrices. Set-Valued Anal 14, 273–293 (2006). https://doi.org/10.1007/s11228-005-0005-1
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DOI: https://doi.org/10.1007/s11228-005-0005-1
Key words
- Clarke generalized Jacobian
- differentiability
- eigenvalue optimization
- nonsmooth analysis
- perturbation theory
- positive semidefinite matrices
- projection spectral function