Analysis of Nonsmooth Symmetric-Matrix-Valued Functions with Applications to Semidefinite Complementarity Problems

Abstract

For any function f from $\mathbb R$ to $\mathbb R$, one can define a corresponding function on the space of n × n (block-diagonal) real symmetric matrices by applying f to the eigenvalues of the spectral decomposition. We show that this matrix-valued function inherits from f the properties of continuity, (local) Lipschitz continuity, directional differentiability, Fréchet differentiability, continuous differentiability, as well as ($\rho$-order) semismoothness. Our analysis uses results from nonsmooth analysis as well as perturbation theory for the spectral decomposition of symmetric matrices. We also apply our results to the semidefinite complementarity problem, addressing some basic issues in the analysis of smoothing/semismooth Newton methods for solving this problem.