MathOverflow Asked by JDoe2 on December 13, 2021
I have a set of square matrices ${A_i}_{i in {1,…, n}}$ and another square matrix of equal size $K$. Under the assumption that such a matrix exists and is unique, I want to find the unique $B$ that satisfies the following equation:
$$sum_{i=1}^n(A_i+B)^{-1}=K$$
All matrices are of full rank and symmetric. Does anyone know of a way, algebraically or computationally, for me to work out the value of $B$?
This does not seem a simple matrix equation to solve. Computationally, my first attempt would be with Newton's method, even if it takes $O(k^6)$ per iteration, where $k$ is the size of the matrices. The Jacobian of the map in the LHS is $$ L_B f[H] = sum_{i=1}^n (A_i+B)^{-1}H(A_i+B)^{-1}, $$ and to solve the equation $L_Bf[H] = Y$ for $H$ given $Y$ you need to convert it to a $k^2 times k^2$ linear system (there are faster algorithms to solve this linear matrix equation for $n=2$, but I do not think there is anything better otherwise).
If you need to solve it for dimensions for which this is unfeasible, then I would try turning it into a fixed-point equation, for instance $$ B = left(K - sum_{i=2}^n (A_i+B)^{-1}right)^{-1} - A_1, $$ and then hope that the iteration $$ B_{m+1} = left(K - sum_{i=2}^n (A_i+B_m)^{-1}right)^{-1} - A_1, $$ converges.
The scalar version of this equation is a secular equation, but searching for this term I found nothing interesting for matrix arguments.
Answered by Federico Poloni on December 13, 2021
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