pp. 974-981, September 2016.
We consider the problem of minimizing a particular singular value of
a matrix variable, which is then subject to some convex
constraints. Convex heuristics for this problem are discussed,
including some counter-intuitive results regarding which is best,
which then provide upper bounds on the value of the problem. The
use of polynomial optimization formulations is considered,
particularly for obtaining lower bounds on the value of the
problem.
We show that the main problem can also be formulated as an
optimization problem with a bilinear matrix inequality (BMI), and
discuss the use of this formulation.
This problem of minimizing the k-th singular value of a matrix is
closely related to the problem of minimizing the k-th largest
element of a vector, and we discuss that problem as well where
appropriate.