Professional Documents
Culture Documents
Positive Subdefinite Matrices, Generalized Monotonicity, and Linear Complementarity Problems
Positive Subdefinite Matrices, Generalized Monotonicity, and Linear Complementarity Problems
PII. S0895479897331849
bpclermont.fr).
‡ Département de Mathématiques et d’Informatique, Faculté des Sciences, B.P. 1014, Rue Ibn
(siegfried.schaible@ucr.edu).
66
POSITIVE SUBDEFINITE MATRICES AND LCPs 67
M M † M = M, M † M M † = M † , (M M † )t = M M † , and (M † M )t = M † M.
M s = 2M t (M + M t )† M.
where ν+ (B), ν− (B), and ν0 (B) denote the number of positive, negative, and zero
eigenvalues of B, respectively. Then ν+ (B) + ν− (B) + ν0 (B) = n.
68 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
The terminology is borrowed from Martos [16, 17], who characterized pseudo-
convex and quasi-convex quadratic functions on the nonnegative orthant via such
matrices. Since Martos was considering the Hessian of quadratic functions, he was
concerned only about symmetric matrices. In this section, we study nonsymmet-
ric positive subdefinite matrices. These matrices will be used in the next section
to characterize pseudomonotone and quasi-monotone affine maps on the nonnegative
orthant.
It is clear that a positive semidefinite (PSD) matrix is PSBD. According to Mar-
tos, a matrix M is said to be merely positive subdefinite (M P SBD) if M is PSBD
but not PSD.
The particular case of PSBD matrices of rank 1 is easily studied with help of the
definitions.
Proposition 2.1. Assume that M = abt with a, b ∈ Rn , a, b
= 0. Then M is
PSBD if and only if one of the following conditions holds:
(i) there is t > 0 so that b = ta;
(ii) b
= ta for all t > 0 and either b ≥ 0 or b ≤ 0.
Assume that M is MPSBD; then M is copositive if and only if either (a ≥ 0 and
b ≥ 0) or (a ≤ 0 and b ≤ 0) and copositive star if and only if, in addition, ai = 0
whenever bi = 0.
Proof. Case (i) corresponds to M PSD. Let us consider the second case. Then M
is PSBD if and only if
from which the result follows easily. The other results are obvious.
For general matrices, we have the following result.
Proposition 2.2. Assume that M is MPSBD. Then
(i) ν− (M + M t ) = 1;
(ii) (M + M t )z = 0 ⇒ M z = M t z = 0.
Proof. Set B = M + M t .
(i) B has at least one negative eigenvalue since M is not PSD. Assume, for
contradiction, that λ1 , λ2 , z1 , and z2 exist so that
Then both z1 , M z1 and z2 , M z2 are negative. Without loss of generality, we as-
sume that M t z1 ≤ 0 and M t z2 ≥ 0.
For t ∈ [0, 1], define z(t) = tz1 + (1 − t)z2 . Then
(ii) Assume that z1 , λ1 are defined as above and z0 is so that Bz0 = 0. For t ∈ R,
let us define z(t) = z1 + tz0 . Then
Downloaded 01/05/13 to 152.3.102.242. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php
ν+ (M s ) = ν+ (M + M t ) + ν0 (M + M t ) − k,
ν− (M s ) = ν− (M + M t ) + ν0 (M + M t ) − k,
ν0 (M s ) = 2k − ν0 (M + M t ).
T ∪ −T = {z : Bz, z ≤ 0} and
T o ∪ −T o = {z ∗ : B † z ∗ , z ∗ ≤ 0} ∩ B(Rn ).
−1
where T = z = Py : 2 y2 , y2 ≤ y1 .
λ1
Then T is a closed convex cone and
−1
int(T ) = z = P y : 2 y2 , y2 < y1 .
λ1
70 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
∗ ∗ ∗ ∗
0 = supz, z = sup y1 y1 + y2 , y2 + y3 , y3 : 2 y2 , y2 ≤ y1 .
z∈T λ1
It follows that
o ∗ ∗ ∗ ∗ 1 ∗2 −1 ∗ ∗
T = z = P y : y3 = 0, y1 ≤ 0, and y + 2 y2 , y2 ≤ 0 ,
λ1 1
(2.3) T o ∪ −T o ⊇ M (Rn+ ).
Indeed T o and M (Rn+ ) are closed convex cones having the same dimension, and this
dimension is greater than or equal to 2. Hence (iii) holds.
(b) We already know that M is PSBD in cases (i) or (ii). Assume that (iii) holds.
Hence M is MPSBD since conditions (2.2) and (2.3) are equivalent in this case.
From Theorem 2.1, we recover the characterization of symmetric MPSBD matrices
by Martos [16, 17].
POSITIVE SUBDEFINITE MATRICES AND LCPs 71
(ii) M is conegative;
(iii) M ≤ 0.
Proof. The symmetry of M implies that M s = M . Furthermore, if M = abt ,
then a and b are colinear. Hence, in view of Theorem 2.1, conditions (i) and (ii) above
are equivalent. Condition (iii) obviously implies condition (ii). Conversely, assume
that conditions (i) and (ii) hold. Then, for all z ≥ 0, z, M z ≤ 0, hence M z ≤ 0 or
M z ≥ 0. It is then easily derived that M cannot have a positive entry.
Corollary 2.2. Assume that M is symmetric and copositive. Then M is PSBD
if and only if M is PSD.
Proof. A symmetric matrix which is both copositive and conegative is the null
matrix.
Theorem 2.1 sets in evidence the roles of the matrix M s and the convex cone T
such that T ∪ −T = {z : z, M z ≤ 0} in the analysis of MPSBD matrices. For such
matrices
either T ⊆ {z : M t z ≤ 0} or T ⊆ {z : M t z ≥ 0}.
2a2 b2 (M + M t )† = M = M s .
where e1 and e2 are the first two vectors of the canonical basis of Rn . Set R = uv t .
Then M = a bR and
1 1
P t (R + Rt )† P = e1 et1 − e2 et2 .
2
2 cos ϕ 2 sin2 ϕ
Replace e1 and e2 by their expressions in terms of u, v, and ϕ. It holds that
t † 1 t 1 t
(R + R ) = (u + v)(u + v) − (u − v)(u − v) .
8 cos4 ϕ 8 sin4 ϕ
72 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
The following lemma shows that for these matrices, the “s” symmetrization corre-
sponds to the classical symmetrization on the (pseudo)inverses.
Lemma 2.2. Assume that M (Rn ) = M t (Rn ) = (M + M t )(Rn ). Then
†
(i) M s = (M t )s = 2 M † + (M t )† ;
(ii) 2(M s )† = M † + (M t )† .
Proof. Since B = M + M t is symmetric and M (Rn ) = M t (Rn ) = B(Rn ), there
exist nonsingular matrices P, , and R so that
t t 0 t R 0
P P = I, P BP = , and P M P = .
0 0 0 0
Then = R + Rt and
1 t s Rt −1 R 0
P M P = (P t M t P )(P t B † P )(P t M P ) = .
2 0 0
(Rt −1 R)−1 = R−1 (R + Rt )(Rt )−1 = (Rt )−1 + R−1 = (R−1 Rt )−1 .
Proof. (a) Lemma 2.1 shows that M s and (M + M t ) have the same inertia. The
conclusion follows from Theorem 2.1, Corollary 2.1, and Lemma 2.2.
(b) Both M and M t are PSBD according to (a). Then one and only one of the
following inclusions holds:
T ⊆ {z : M t z ≤ 0 and M z ≤ 0}
or
T ⊆ {z : M t z ≤ 0 and M z ≥ 0}.
(3) An invertible matrix can be PSBD while its inverse may not be. Consider the
matrix M of remark (2); then
1 0 1
(M −1 )s = ,
5 1 0
Proof. It follows from the definition that F is pseudomonotone on Rn+ if and only
if for all z ∈ Rn we have
Downloaded 01/05/13 to 152.3.102.242. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php
x ≥ 0, t ≥ 0, x + tz ≥ 0,
(Cz ) ⇒ M x + q, z + tM z, z ≥ 0.
M x + q, z ≥ 0
Set
The linear program is feasible. Hence, applying duality in linear programming again,
the condition is equivalent to
Hence,
M2 ≥ 0 ⇐⇒ q, z ≥ 0 and M t z ≥ 0.
The last condition is equivalent to q ∈ T o . Then, the results follow from Theorem 2.2
and Propositions 2.4 and 2.5.
Remark. Assume that M (Rn ) = M t (Rn ) = (M + M t )(Rn ), ν− (M + M t ) = 1,
and rank(M ) ≥ 2. Let F(x) = M (x + x̄) and G(x) = M t (x + x̄). Since M s = (M t )s ,
then quasi monotonicity of F on Rn+ is equivalent to quasi monotonicity of G on Rn+ .
Next, we return to pseudomonotonicity. The first result concerns the case where
F is affine, but nonlinear.
Theorem 3.2. Assume that F is quasi-monotone on Rn+ and q
= 0. Then F is
pseudomonotone on Rn+ .
76 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
Hence
M t z, z − = q, z = 0.
a contradiction.
We are left with the linear case. Following Gowda [7], we define a matrix M to
be pseudomonotone if the map F(x) = M x is pseudomonotone on the nonnegative
orthant.
The following lemma gives a first characterization of pseudomonotone matrices.
Lemma 3.1. A matrix M is pseudomonotone if and only if M is PSBD and
z, M z < 0, M tz ≤ 0 ⇒ M z − = 0.
and therefore
0 ≥ M t z + tM t v.
0 ≥ M t z, z − + tM t v, z − = tv, M z − .
we consider only matrices which are both MPSBD and copositive. We begin with
matrices of rank 1.
Proposition 3.3. Assume that a and b are two linearly independent and non-
negative vectors. Then M = abt is pseudomonotone if and only if
(C) bi = 0 ⇒ ai = 0.
Proof. Assume that M is not pseudomonotone and condition (C) holds. Then
some z exists such that
Hence
Condition (C), together with b, z − = 0, implies that a, z − = 0 and therefore
Conversely, assume that there is some index i such that bi = 0 and ai > 0. Since b is
nonnull, there is j with bj > 0. Take t > 0 so that aj − tai < 0 and let z ∈ Rn with
zi = −t, zj = 1, and zl = 0 for all l
= i, j. Then
0 > z, M z = z + − z − , M (z + − z − ) = z + , M z + ≥ 0.
u ≥ 0, M tu ≤ 0 ⇒ q, u ≥ 0.
u ≥ 0, M tu ≤ 0 ⇒ q, u = 0.
0 = sup [M x + q, e : x ≥ 0, −M x ≤ q] .
x
Take u = y + e.
(c) It is easily seen from Proposition 3.2 that
u ≥ 0, M tu ≤ 0 ⇒ q, u ≤ 0.
M x + q, x + tu − x > 0.
M (x + tu) + q, x + tu − x = tM x + q, u + t2 M u, u ≥ 0.
Let t → +∞. Then M is copositive on the positive orthant and, by continuity, on the
nonnegative orthant as well.
We continue the analysis of (LCP) in the special case where the matrix M has
rank 1. In this case, the solution set can be completely described. Assume that F
is quasi-monotone on Rn+ and M is copositive. Then, without loss of generality, we
consider the case F(x) = M x + q, where
M = abt with a, b ∈ Rn+ , a, b
= 0,
(H)
0
= q = λa − µb, λ ≥ 0, µ ≥ 0.
Proposition 4.3. Assume that (H) holds. Then (LCP ) is feasible if and only
if either (µ = 0) or (ai > 0 whenever bi > 0).
Proof. According to Proposition 4.1, F is nonempty if and only if
y ≥ 0, a, y = 0 ⇒ µb, y ≤ 0.
µ λ
b, x ≥ γµ − λ and − = 1.
a, x b, x
80 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
r a, x b, x
Then x ∈ S if and only if x ∈ Sr for some r such that 1 ≥ r(γµ − λ). Thus, we are
led to analyze the nonemptyness of Sr .
By Farkas’ lemma ([1, p. 109])
1 µ
Sr = x : x ≥ 0, b, x = , a, x =
r 1 + λr
is nonempty if and only if
1 µ
y ∈ R2 and by1 + ay2 ≤ 0 ⇒ y1 + y2 ≤ 0.
r 1 + λr
If y2 > 0, then only y1 < 0 is to be considered, and the implication yields
1
≥ (ξµ − λ).
r
For this recall that bi = 0 when ai = 0. If y2 < 0, then the above implication yields
1
≤ (γµ − λ).
r
Since, we are considering only real r such that 1 ≥ r(γµ − λ), there is only one r such
that 1 = r(γµ − λ).
Therefore in case (iii), x ∈ S if and only if
x≥0 and γa, x = b, x = γµ − λ > 0.
Summarizing, we get the expression for S̃.
Now, we consider the case where rank(M ) ≥ 2. We begin with the relationship
between (LCP) and (QP). The quadratic function f (x) = M x + q, x is convex if
the map F (x) = M x + q is monotone. But f is not necessarily pseudoconvex on Rn+
if F is only pseudomonotone on Rn+ , as shown below.
Example.
1 2 1 −1
M= , x̄ = , and q = M x̄ = .
−1 0 −1 −1
Then
−8 −4 −4
Ms = , M s x̄ = , and M s x̄, x̄ = 0.
−4 0 −4
It follows that F (x) = M x + q is pseudomonotone on Rn+ while f (x) = M x +
q, x is not pseudoconvex on Rn+ since the matrix (M + M t ) has a positive entry, in
contradiction with Martos’ characterization in [16].
Assume that F
= ∅, i.e., (QP) is feasible. Since the optimal value m of the
quadratic program (QP) is finite, (QP) has an optimal solution in view of the Frank–
Wolfe theorem [6]. Also, an optimal solution of (QP) is a Karush–Kuhn–Tucker
(KKT) point of the program. Denote by K the set of the KKT points of (QP). Then,
x ≥ 0, M x + q ≥ 0, and there are u ≥ 0, v ≥ 0 so that
K= x: .
(M + M t )x + q = u + M t v, x, u = M x + q, v = 0
POSITIVE SUBDEFINITE MATRICES AND LCPs 81
and (M + M t )x + q = u + M t v
Two questions are of interest for an (LCP) [2]: “Do the set of the solutions of
(LCP), the set of the optimal solutions of (QP), and the set of the KKT points of
(QP) coincide?”; and “Is the set of the solutions of (LCP) (polyhedral) convex?” We
will see below that both of these questions receive positive answers if the map F is
pseudomonotone. We first present the following three lemmas.
Lemma 4.1. Assume that 0
= a ∈ Rn and A is an n × n symmetric matrix which
is not PSD.
(i) The condition
Proof. For the first statement, see Crouzeix and Ferland [3]; for the second one,
see Crouzeix, Marcotte, and Zhu [4].
Lemma 4.2. Assume that F(x) = M x + q is quasi-monotone on Rn+ and M is
not PSD. Then the implication
M x + q, h = 0 =⇒ M h, h ≥ 0
λ−1 2 −1 −1 2 −1
1 x1 + 2 x2 , x2 = λ1 y1 + 2 y2 , y2 = 0.
λ−1 −1 −1 −1
1 + 2 z2 , z2 = λ1 + 2 (x2 + t(y2 − x2 )), x2 + t(y2 − x2 ) = 0.
82 J.-P. CROUZEIX, A. HASSOUNI, A. LAHLOU, AND S. SCHAIBLE
Since the equality is true for all t ∈ [0, 1] and 2 is positive definite, we have y2 = x2 .
The conclusion follows.
Theorem 4.2. Assume that F is pseudomonotone on Rn+ , rank(M ) ≥ 2, and
Downloaded 01/05/13 to 152.3.102.242. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php
(4.2) M x + q = u + M t (v − x).
Hence,
(b) First, we consider the case where M is PSD. Then all three quantities in (4.3)
are nonnegative; hence they are null and x ∈ S.
(c) Next, we consider the case where M is MPSBD. Assume, for contradiction,
that x ∈ / S. Then, (4.3) and (4.6) imply that both quantities M (v − x), v − x
and q, v − x are negative. Since F is pseudomonotone, Proposition 3.1 implies that
M t (v − x) ≤ 0. Hence (4.2) implies
0 < M x + q, x = M t (v − x), x ≤ 0,
a contradiction.
Theorem 4.3. Assume that F is pseudomonotone on Rn+ , (LCP) is feasible, and
rank(M ) ≥ 2. Then S is a polyhedral convex set. In particular, let x ∈ S be given
such that M x + q
= 0. Then
y ≥ 0, M y + q ≥ 0, M x + q, y = q, y − x = 0,
S= y: .
(M + M t )(y − x) = λ(M x + q) for some λ
M x + q, y − x = M y + q, y − x = 0.
POSITIVE SUBDEFINITE MATRICES AND LCPs 83
It follows that
M (y − x), (y − x) = 0.
Downloaded 01/05/13 to 152.3.102.242. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php
M x + q, x = M x + q, y = M y + q, x = M y + q, y = 0
Hence
Next, assume that (M +M t )(y−x)
= 0. Then M is MPSBD and λ and µ are non-
zero. If q = 0, then M x, M y, and q are obviously colinear in view of (4.7). Assume
that q
= 0. We know by Theorem 3.1 that x̄ exists so that M x̄ = q, M s x̄, x̄ ≤ 0,
and M s x̄ ≤ 0. Since M (Rn ) = M t (Rn ) = (M + M t )(Rn ), there is w ∈ Ker(M ) =
Ker(M t ) = Ker((M + M t )) such that
y − x = λ(M + M t )† M (x + x̄) + w.
Then
Acknowledgments. The authors would like to thank the referees for their sug-
gestions which helped to improve the presentation of our results. The fourth author
gratefully acknowledges the hospitality and the support of Université Blaise Pascal
for his visit in June 1997.
POSITIVE SUBDEFINITE MATRICES AND LCPs 85
REFERENCES
[1] R. W. Cottle, J. S. Pang, and R. E. Stone, The Linear Complementarity Problem, Aca-
Downloaded 01/05/13 to 152.3.102.242. Redistribution subject to SIAM license or copyright; see http://www.siam.org/journals/ojsa.php