Are there any codes available for solving large scale eigenvalue optimization problems? I'm interested in problems of the form: Minimize the maximum eigenvalue of a matrix A(x)=A_0 + sum x_i A_i, subject to linear constraints on the x's.
I'm aware that these problems can be formulated as SDP's and solved using interior point methods. I'm interested in relatively large problems for which interior point methods become unwieldy. I'm looking for codes that use other strategies for convex optimization such as the bundle trust method or Overton's successive partial linear programming algorithm.
-- Brian Borchers email@example.com Department of Mathematics http://www.nmt.edu/~borchers/ New Mexico Tech Phone: 505-835-5813 Socorro, NM 87801 FAX: 505-835-5366