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0
votes
1answer
99 views

On the upper bound of Hermitian matrices

Suppose we are given a Hermitian matrix $A$, how to describe the following set of Hermitian $S=\{X:X\geq \pm A\}$, where $Y\geq B$ is $Y-B$ is semidefinite matrix. This is of course a convex set, and ...
-1
votes
1answer
130 views

Regularized Gradient with respect to a matrix (with a specific structure)

Suppose we have a typical logdet function $\mathcal{L}$ $$ \mathcal{L} = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\mathbf{A}^{-1} + \mathbf{S})^{-1} \mathbf{q}, $$ where ...
11
votes
0answers
170 views

How large are the smallest-area projections of a high-dimensional convex body?

Let $B$ be a convex body in $\mathbb{R}^d$, equipped with its standard Euclidean form, and assume that $$\intop_B x \, dx = 0$$ $$\frac{1}{|B|_d} \intop_B x_i x_j \, dx = \delta_{ij},$$ a ...
4
votes
0answers
76 views

Strong convexity of the trace of the square root of a matrix function

Any clues about how to prove that the following function is strongly-concave in $x$? (We conjecture it is $2$-strongly concave but cannot prove it. We have already proved strict concavity through ...
3
votes
0answers
99 views

Decreasing sequence of closed convex sets in a Banach space

Let $(C_n)$ be a decreasing sequence of closed convex subsets in a Banach space $(E,\Vert \cdot \Vert)$. The question I have is about the content of $C=\bigcap_{n=0}^\infty C_n$. If the $C_n$ are ...
3
votes
0answers
44 views

Minimax-like theorems involving union and intersection of regions in $\mathbb R^d$

From Minimax theorems, we roughly know that if $f(x,y)$ is convex on $X$ and concave $Y$ for both compact $X,Y$, then: $$ \max_{x\in X}\min_{y\in Y} f(x,y)=\min_{y\in Y}\max_{x\in X} f(x,y). $$ We can ...
3
votes
0answers
153 views

Ways to establish equality of measures on locally compact spaces

Let $M$ be a locally compact space and $\mu$ be some probability measure on $M$. Let $y^\ast \in M$, $f(x,y)$ be a real continuous bounded function $M \times M \to \mathbb{R}$. Consider an equality $$ ...
2
votes
0answers
79 views

Lower convex envelope of a function involving entropy

Suppose two discrete random variables $X$ and $Y$ defined on finite sets $\mathcal{X}$ and $\mathcal{Y}$ are given and also suppose the conditional distribution $P_{Y|X}$ (i.e, channel) is fixed. We ...
2
votes
0answers
141 views

Showing $\langle \frac{\partial b(v)}{\partial t}, v \rangle_{H^{-1}(\Omega), H^1(\Omega)} = \frac{d}{dt}\int_{\Omega}\Psi^*(b(v))$

Let $b$ be continuous and increasing with $b(0) = 0$. Define $\Psi(t) = \int_0^t b(s)\;ds$ and $\Psi^*(s) = \sup_{r \in \mathbb{R}} (sr-\Psi(r))$. (Note $\Psi^*(b(s)) + \Psi(s) = sb(s)$). Let $v ...
2
votes
0answers
104 views

Convex functions with non-singular hessian measure are continuously differentiable?

It is known that every convex function $f: \Omega\to \mathbb{R}$, $\Omega$ convex subset of $\mathbb{R}^n$, has a weak derivative of bounded variation $Df\in BV_{loc}(\mathbb{R}^n)$ (e.g. Evans and ...
2
votes
0answers
149 views

An intuition for three different types of subgradients (proximal, regular, limiting)

I'm having a bit of difficulty getting my head around the different types of subgradients we're currently covering in a nonsmooth optimisation class I'm taking. These subgradients are (assume $x \in$ ...
2
votes
0answers
85 views

How to prove convexity for a complex integral including the variable in both limits and integrand?

During my research [on inventory management policies, i.e., something really applied ;-) ] I stumbled on integrals of the following type and I'm curious under which circumstances there are convex. ...
1
vote
0answers
68 views

Convex Optimization related problem

Suppose two non-negative convex functions $f$ and $g$ be given. We want to solve the following optimization $$\max_{g\leq\epsilon}f.$$ Now suppose that both $f$ and $g$ can be upper-bounded by a ...
1
vote
0answers
265 views

On increasing the penalty term in convex optimization with regularization

Given the two strictly convex (unique solution) optimization problems as: $$Problem\:1:\min_{X} f(X)+\|X\|_{F}^2 \hspace{2cm}Problem \:2:\min_{X}f(X)+n\|X\|_2^2$$ where $X\in\mathbf{S}_{++}^{n}$ ...
1
vote
0answers
76 views

convergence of supergradient

Let $\{g_n\}$ be a sequence of concave functions defined on $\mathbb{R}$ and set $$\lambda_n(x)=\lim_{\Delta x\to 0+}\frac{g_n(x+\Delta x)-g_n(x)}{\Delta x}$$ Assume there exists a concave function ...
1
vote
0answers
64 views

Directional derivates and unique subgradients

I have a question about the fine structure of convex functions. Convex functions behave very regular in the interior of their domain of definition (e.g. they are locally Lipschitz continuous there) ...
1
vote
0answers
72 views

monotone parabolic systems, convex variational structure and Legendre transform

The context: for my research I am currently looking at parabolic systems of the type $$ \left\{ \begin{array}{ll} \partial_t b(u)-\Delta u=0 \qquad & (t,x)\in \mathbb{R}^+\times\Omega\\ u=0 & ...
1
vote
0answers
124 views

Lipschitz continuity of solution set mapping of a parametric convex optimization problem

I have a parametric convex optimization problem: \begin{array}{cl} \underset{x}{\text{minimize}} & f\left(x,z\right)\\ \text{subject to} & g\left(x\right)\leq0 \end{array} where $x$ is the ...
1
vote
0answers
91 views

Linearization of cones

Suppose that $K$ is a closed convex cone in $R^{n}$. Is there a "nice" function $f:R^{n} \rightarrow R^{m}$ so that $f(K)$ is a subspace? What about an approximate subspace?
1
vote
0answers
89 views

Concavity of a ratio of Kullback-Leibler divergences

For $0\leq r\leq 1$ and $0 < p < 1$, define the Kullback-Leibler divergence between the Bernoulli(r) and Bernoulli(p) distributions as: $D(r||p) := r\log\frac{r}{p} + ...
1
vote
0answers
127 views

Optimize a convex hull on a 2D histogram so the selected points match a target shape

I have an image (can be 2D or 3D), and compute a 2D histogram of the image (for example, the pixel intensity and gradient along certain direction). There is a known target region $R^*$ in the image. I ...
1
vote
0answers
371 views

Definition and Convergence of Iteratively Reweighted Least Squares

I've been using iteratively reweighted least squares (IRLS) to minimize functions of the following form, $J(m) = \sum_{i=1}^{N} \rho \left(\left| x_i - m \right|\right)$ where $N$ is the number of ...
1
vote
0answers
124 views

variational problem under convexity constraints

I wonder if there is any method to compute variational problems subject to certain shape constraints (e.g., convexity, monotonicity, etc.). The literature I found on this topic (which I am no expert ...
0
votes
0answers
43 views

convergence of concave envelope

Let $\{f_n\}$ be a sequence of uniformly upper bounded functions defined on $\mathbb{R}$ s.t. for every $x\in\mathbb{R}$ $$f_n(x)\to f(x),~ n\to\infty$$ Define $g_n$ and $g$ as the concave envelope ...
0
votes
0answers
77 views

additive support functions of a convex set

Let $K \subset \mathbb{R}^d$ be a compact, convex set. It could be uniquely determined by its support function (for $u$ on the unit-sphere $S^{d-1}$), given by $$h_K(u) = \sup \{ \sum_{i=1}^d x_i ...
0
votes
0answers
100 views

Uniform convergence of difference quotients of a convex function

Let $f(\cdot):\mathbb{R}^n\rightarrow \mathbb{R}$ be a convex function. At $x$ denote the subdifferential by $\partial f(x)$ which is compact and closed. Now, define the approximation of $f$ around a ...
0
votes
0answers
102 views

Min of a real-valued Fourier transform

Let $P$ be a compact, convex, symmetric, $d$-dimensional body in $\mathbb R^d$, and let $\mu$ be a (necessarily) symmetric probability measure on $P$, so that $\mu_P(x) = \mu_P(-x)$, for all $x \in ...
0
votes
0answers
50 views

convexity of two linear spaces connected by convex nonlinear equality constraints

If there are two sets of linear constraints in different variables, Ax <= b with x_l <= x <= x_u and Cy <= d with y_l <= y <= y_u, and a set of equality constraints of a specific ...
0
votes
0answers
145 views

On the remarkable property of the concave function's level sets

Consider a smooth function $f(x) \colon \mathbb{R}^2_+ \to \mathbb{R}_+$ such that $f$ is concave and positively homogeneous of order one. Consider a linear transform $P$ given by matrix $$ P = ...