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It's not hard to show that the maximum eigenvalue of a matrix $A\in \mathbb{S}^n$ can be calculated through the following SDP:

\begin{align*} \max&\ Tr(AX) \\ \text{subject to}& \ Tr(X) = 1\\ &\ X\succeq 0 \end{align*}

It can also be approximated via Power Method (after making $A$ psd) to arbitrary accuracy, which is also an easy algorithm.

But I am curious whether this seemingly easy quantity can be approximated via a LP procedure, or say a sequence of LPs (iterative algorithms). I have searched online but found nothing.

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  • $\begingroup$ LP means linear programming? $\endgroup$ Commented Sep 3 at 19:56
  • $\begingroup$ @Hecatonchires Yes $\endgroup$ Commented Sep 3 at 19:57
  • $\begingroup$ Eigenvalues cannot be exactly computed via power iteration without knowing the corresponding eigenvector beforehand. Are you looking for methods to estimate eigenvalues? $\endgroup$ Commented Sep 3 at 22:22
  • $\begingroup$ @whpowell96: Yes, I mean approximate, since the maximum eigenvalue and eigenvector can be irrational in general. $\endgroup$ Commented Sep 4 at 12:06

2 Answers 2

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In general, there is no single linear program (LP) that exactly computes $\lambda_{\max}(A)$ for every symmetric matrix $A$.

Suppose, for contradiction, that there exists a polytope $P\subseteq\mathbb S^n$ (independent of $A$) such that for all symmetric $A$, $$ \lambda_{\max}(A)=\max_{X\in P}\,\langle A,X\rangle =\max_{X\in P}\operatorname{Tr}(AX). \tag{\(\star\)} $$ The right-hand side is exactly the support function $h_P(A)$ of the polytope $P$. If $V^1,\ldots,V^m$ are the (finitely many) extreme points of (P), then $$ h_P(A)=\max_{k=1,\dots,m}\,\langle A, V^k\rangle . $$ Hence $A\mapsto h_P(A)$ is the maximum of finitely many affine functions—i.e., a piecewise-linear function of $A$. Along any line $A(t)=A_0+tH$, this has the form $t\mapsto \max_k\{\alpha_k t + \beta_k\}$.

However, $\lambda_{\max}(A)$ is not piecewise linear. Consider $$ A(t)=\begin{bmatrix} t & 1\\ 1 & -t\end{bmatrix},\qquad t\in\mathbb R . $$ Its eigenvalues are $\lambda_\pm(t)=\pm\sqrt{t^2+1}$, so $$ \lambda_{\max}\big(A(t)\big)=\sqrt{t^2+1},\qquad \frac{d^2}{dt^2}\sqrt{t^2+1}=\frac{1}{(t^2+1)^{3/2}}>0, $$ which is strictly curved on every interval—impossible for a piecewise-linear function. This contradicts $(\star)$. Therefore no fixed polytope $P$ (hence no single LP) can exactly represent $\lambda_{\max}(A)$.

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Consider the easier problem where all entries of $A$ are rational numbers. Since the solution to a LP with rational coefficients are rational, any algorithm that involves solving finitely many LPs can only output rational numbers. Since eigenvalues can be irrational, there is no such algorithm.

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  • $\begingroup$ Hi Sugai, thank you so much for your answer! Sorry by 'calculate' I mean approximate with arbitrary precision, which is also the case for Power Method. $\endgroup$ Commented Sep 4 at 12:04

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