Connecting optimization with spectral analysis of tri-diagonal matrices
Résumé
We show that the global minimum (resp. maximum) of a continuous function on a compact set can be approximated from above (resp. from below) by computing the smallest (rest. largest) eigenvalue of a hierarchy of (r × r) tri-diagonal univariate moment matrices of increasing size. Equivalently it reduces to computing the smallest (resp. largest) root of a certain univariate degree-r orthonormal polynomial. This provides a strong connection between the fields of optimization, orthogonal polynomials, numerical analysis and linear algebra, via asymptotic spectral analysis of tri-diagonal symmetric matrices.
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