An algorithm to exactly compute minimal upper bounds in the Loewner order

Abstract

The Loewner order on Hermitian matrices is a partial order that compares matrices in terms of positive semidefiniteness. The Loewner order plays a key role in many fields such as optimization, numerical linear algebra, control theory, operator theory, and quantum information. A fundamental difficulty is that two or more Hermitian matrices do not necessarily have a unique minimal upper bound (or maximal lower bound). In this paper, we propose an iterative method to exactly compute a minimal upper bound for any finite collection of $n\times n$ Hermitian matrices. It is shown that the algorithm terminates in at most $n$ iterations. The exactitude of the algorithm is proved using standard results from finite-dimensional linear algebra. A self-contained proof of an algebraic characterization of minimality originally explored by Stott is provided. We illustrate the algorithm in examples and also provide an implementation of the algorithm in Python.