**1**

vote

**0**answers

68 views

### What is the purpose of the definition of “metric regularity”/“regularity modulus”?

A set mapping $F:X \rightrightarrows Y$ is said to be metrically regular for $\overline{x}\in X$ and $\overline{y} \in Y$ if there exists a $\kappa\in(0,\infty)$ for which
$$
d(x,F^{-1}(y))\leq ...

**3**

votes

**0**answers

101 views

### This function looks quasiconvex, can't understand why

Suppose that $\mathbf{C}$ is a given matrix with non-negative entries in $\mathbb{R}^{m\times n}$ and $d$ is a given scalar, and let $g(\mathbf{y})$ be defined by ...

**1**

vote

**0**answers

48 views

### Is there a unique tilted measure with specified marginals?

Suppose $\mathcal{A},\mathcal{B}$ are finite sets and $\mu_{A,B}(a,b)$ is a probability measure on the product set $\mathcal{A}\times \mathcal{B}$ so that $\mu_{A,B}(a,b)>0$ for each $a\in ...

**-3**

votes

**1**answer

72 views

### Convert constraint to do convex optimization or use Lagrange multiplier method [closed]

$w_1, w_2, w_3 ... w_n$ are the weights I need to find
I have the following constraint:
$|w_1| + |w_2| + .. |w_n| <= 5$
That is the sum of the absolute values of the weights has to be less than ...

**2**

votes

**1**answer

276 views

### Linearly constrained eigenvalue problem

Suppose I'd like to:
\begin{align}
\mathop{\text{min}}_\mathbf{x} && \mathbf{x}^T\mathbf{A}\mathbf{x} \\
\text{subject to:} && \mathbf{x}^T \mathbf{M} \mathbf{x} = 1\\
&& ...

**4**

votes

**2**answers

279 views

### Convex Sets and Nearest Neighbors

For a set $S \subseteq \mathbb{R}^n$ and a point $x \in \mathbb{R}^n$, let $c_S(x)$ be the point $s \in S$ that minimizes $\|x-s\|$ if such a point exists and is uniquely determined. It is known that ...

**3**

votes

**1**answer

88 views

### Can one always find sparse solutions to an $\ell^1$-minimization problem?

Consider $A\in\mathbb{R}^{m \times N}$ and $b \in \mathbb{R}^m$, with $m<N$. Is it true that the optimization problem
$$\min \|x\|_1 \quad s.t. \;\; A x = b,$$
admits an $m$-sparse solution in ...

**7**

votes

**3**answers

353 views

### The distribution of the shortest path through $n$ points

In the big picture, I'd like to know: if I sample $n$ points uniformly at random in the unit square, what is the probability that the shortest path that visits each one of them is very small?
More ...

**1**

vote

**2**answers

126 views

### investigating positivity/negativity of a function [closed]

I'm investigating if and how the positivity or negativity of a multivariable function can be proved. Consider $y_{1},y_{2},y_{3}\in\mathbb{R}$ and the following function
...

**3**

votes

**1**answer

110 views

### A difficult combinatorial optimization problem

Let $\mathcal{J}$ be a closed, bounded, compact, convex set in $\mathbb{R}^L$.
(Notations: vector $\mathbf{x}$ is denoted in bold letters and its $i^{th}$ co-ordinate is denoted as $x_i$. ...

**1**

vote

**2**answers

132 views

### The set of matrices with same spectral radius

I am working on an optimization problem over the set of positive matrices (that is, matrices where all entries are positive numbers) that have the same spectral radius. My main problem is how to ...

**3**

votes

**1**answer

211 views

### Multiplicative gradient descent?

The normal gradient descent is additive: $w_{t+1}=w_t-\lambda_t\nabla f(w_t)$, but is there a multiplicative gradient descent that looks something like $w_{t+1}=w_t[-\lambda_t\nabla f(w_t)]$?
I know ...

**0**

votes

**0**answers

63 views

### Convergence of Coordinate Descent / Alternating directions

My question regards this method
http://en.wikipedia.org/wiki/Coordinate_descent,
where at each step a function $f$ is minimized along one coordinate axis (or block of coordinates).
Assume that $f: ...

**0**

votes

**0**answers

64 views

### numerical and functional mixed optimization problem $\max f - \min f +\int_{-1}^1 (f'(x)-x)^2dx$

Given a function $g(x)$ and its domain, we want to get another function $f(x)$ whose derivative is approximately $g(x)$, but so that $f(x)$ itself has small variation. For example, for ...

**3**

votes

**1**answer

172 views

### Linear dependency of real numbers with integer coefficients adding up to zero [closed]

Let $x = (x_1, \dots, x_n)$ be a vector of real number. I was asking myself if there was an efficient way of telling whether there exists a non-zero vector of integers $z \in \mathbb Z$ such that both
...

**1**

vote

**0**answers

84 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 ...

**2**

votes

**0**answers

328 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 $X\in\mathbf{S}_{++}^{n}$ ...

**2**

votes

**0**answers

51 views

### Reference request: Edmond's Algorithm for integer hull

I'm looking for a good reference for the algorithm (supposedly by Edmonds) to compute the integer hull of a polytope, not by cutting plane methods but by starting with a set of integer points and then ...

**1**

vote

**0**answers

39 views

### Changing a nonlinear equality constraint into some conic inequality plus rank constraint

If we have a constraint optimization problem in which one of our constraint is $\prod\limits_{k = 1}^N {\left( {x - {a_k}} \right) = 0} $ . How could this nonlinear equality condition be changed into ...

**2**

votes

**1**answer

84 views

### Is first term of my cost function convex?

I have an optimization problem in the form of
[\begin{array}{l}
\mathop {{\rm{Minimize}}}\limits_{\bf{X}} \,\,\,2\left| \delta \right|\sqrt {{\rm{Tr}}\left( {{\bf{A}}{{\bf{X}}^2}} \right)} {\rm{ - ...

**0**

votes

**0**answers

54 views

### Finding gradient of an optimization

I am trying to find the gradient of the following optimization problem and then add to objective, but I got some trouble in computing. Could you please help me?
Assume that we have an optimization ...

**1**

vote

**0**answers

44 views

### Characterization of the optimal solution in relative entropy minimization

The following optimization problem is related to relative entropy and to the limit of the iterative proportional fitting procedure.
For $1 \leq i,j \leq n$ and fixed $w_{ij} \geq 0$, and fixed $a_i, ...

**5**

votes

**1**answer

187 views

### optimization problem, any solution?

The objective is as follows:
$\min_{\mathbf{F}} a Tr(\mathbf{F} \mathbf{F}^H) - Re\{\mathbf{b}\mathbf{F}^H \mathbf{C} \mathbf{F} \mathbf{d}\}$
$s.t.\ \ \ Tr(\Sigma \mathbf{F} \mathbf{F}^H)<p$
...

**5**

votes

**1**answer

125 views

### Reference request: Continuity of unique maximizer of linear functional on convex set

Does anyone know reference for a theorem of the following sort:
Proposition: Let $K \subset\mathbb {R}^n$ be a compact convex set, and assume that
$$f(w):=\operatorname{argmax}_{x\in K}w(x) $$ is ...

**0**

votes

**0**answers

228 views

### Proximal operator of modified L1 matrix norm

In literature proximal operator $prox_{\lambda f} : R^n \rightarrow R^n$ of $f$ is defined as:
$prox_{\lambda f}(V) = argmin(X) (f(X) + (1/2 \lambda)||X-V||^2_2)$
Consider now $g(X) = ...

**2**

votes

**1**answer

134 views

### Projection onto $\ell^{2,1}$ ball

Does anyone have an idea how to project onto the $\ell^{2,1}$ ball efficiently, i.e. how to solve
$$ u = \arg \min_u \|u-f \|^2 \text{such that } \left(\sum_i \big(\sum_j |u_{i,j}|\big)^2 ...

**1**

vote

**1**answer

74 views

### mixed semi definite and second order programming complexity order

Consider the following mixed semi definite and second order programming:
$\begin{array}{l}
\mathop {{\rm{min}}}\limits_{\bf{X}} \,{\rm{Tr}}\left( {{\bf{XA}}} \right)\\
{\rm{s}}{\rm{.t:}}\, & ...

**1**

vote

**1**answer

124 views

### Convergence rate of stochastic gradient decent with projections

Given a strong (not only strict) convex function $f: \mathbb{R}^n\to\mathbb{R}$. On such problems, stochastic gradient decent (SGD) has a convergence rate of $O(1/T)$, where $T$ is the number of ...

**3**

votes

**2**answers

77 views

### Is the prox-residual monotone?

$\newcommand{\scp}[2]{\langle #1,#2\rangle}\newcommand{\id}{\mathrm{Id}}$
Let $f$ and $g$ be two proper, convex and lower semi-continuous functions (on a Hilbert space $X$ or $X=\mathbb{R}^n$) and let ...

**1**

vote

**0**answers

75 views

### dual problem of SDP [closed]

suppose we have the following optimization problem:
\begin{array}{l}
\mathop {\min }\limits_{{\bf{X}},{\bf{x}}} \,\,Tr\left( {{\bf{XA}}} \right) + 2{{\bf{a}}^H}{\bf{x}} + b\\
s.t:\,\,\,\,\left[ ...

**2**

votes

**0**answers

138 views

### proving quasi convexity of multivariable function

Given
an arbitrary $(N \times N)$ square matrix ${\bf X}$
a positive definite $(M\times M)$ matrix ${\bf T}$
a $(Q\times MN), Q< MN$ matrix ${\bf Z}$ consisting of only 1s and 0s where there is
...

**2**

votes

**0**answers

181 views

### Continuity of minimizers to distance function from point to convex set

Suppose I am minimizing the Euclidean distance in $\mathbb{R}^{n}$ between a point $y$ and compact convex set $U$ (where $y\notin U$):
$\min_{x\in U}\|x-y\|$.
I believe the minimizer $x_{U}^{*}$ is ...

**4**

votes

**0**answers

169 views

### When is the sum of a weak-$*$ closed convex cone and a subspace also weak-$*$ closed?

Let $X$ be a Banach space. Suppose $C \subset X^*$ is a convex cone and $V \subset X^*$ is a subspace, and suppose both $C$ and $V$ are closed in the weak-$*$ topology. Are there any general ...

**2**

votes

**0**answers

101 views

### Optimality condition for non-differentiable constrained convex optimization problem

(EDIT: see proof at the end) Consider the problem
$$
\min f(x) \; \text{s.t.} \; x\in D
$$
where $f(x)$ is convex but not differentiable, and $D$ is convex.
For differentiable $f$, we know that $x$ ...

**9**

votes

**3**answers

716 views

### Is group theory useful in any way to optimization?

For what I have seen, optimization uses a lot of linear algebra and convex analysis, but I have not seen any group theory being used, so I was curious about it.
Is group theory useful in any way to ...

**2**

votes

**2**answers

114 views

### sensitivity analysis in conic optimization

I have a conic optimization of the form:
$\min_x \langle c, x \rangle$, s.t. $Ax = b$, $x \in K$.
Where $x \in \mathbb{R}^{n}$, $A$ is an $m \times n$ matrix, $b \in \mathbb{R}^m$, $K$ is a self ...

**1**

vote

**0**answers

107 views

### Diagonal entries of a Cholesky factorization

Let $I$ denote an identity matrix, $E$ denote the all-one matrix of dimension $k\times k$ and $c$ some positive real number. Define $X=B(I-cE)B^T$ where $B$ is given by
$B:=\begin{pmatrix}
1 ...

**0**

votes

**0**answers

59 views

### Sufficient optimality condition for a non-smooth quasiconvex problem

The result of relaxing to an integer program is the following optimization problem:
$$\min_{\textbf{x}} \sum_{i=1}^n \alpha_i h(x_i)\quad subject \; to \quad A\textbf{x} = \textbf{0}$$
where ...

**5**

votes

**1**answer

268 views

### What it is the volume of the unit ball section of the cone of positive definite matrices?

Let $PD_{n}$ be the cone of positive definite $n \times n$ real matrices and let $B$ be the unit sphere in $n \times n$ dimensions. What is the volume of $PD_{n} \cap B$?
EDIT: Let's assume that $B$ ...

**2**

votes

**1**answer

86 views

### Convex interaction energy

Does anybody know examples of absolutely continuous probability measures $\mu_0,\mu_1$ on $\mathbb{R}^n$ with finite 2nd moments such that
$$
\frac{d^2}{dt^2}\left(\int_{\mathbb{R}^n\times ...

**1**

vote

**1**answer

187 views

### Minimize a strictly convex quadratic function subject to linearly equality and nonnegativity constraints in finite time?

I am wondering if we can minimize a strictly convex quadratic function in finite time, subject to linearly equality and nonnegativity constraints.
Thanks!

**2**

votes

**5**answers

255 views

### Distance between two sets

Let $A, B$ be two convex and closed subsets of $\mathbb{R}^n$. We would like to the minimum distance between these two sets. i.e., we want to find a solution for the following problem.
$$ \min ...

**1**

vote

**1**answer

233 views

### optimization of inverse matrix with constraint on matrix elements

everyone! I have this optimization problem with constraint.
$D$ and $T$ are symmetric matrices, where T is known and D is the unknown parameter.
$x$ and $v$ are two known p-dimensional vectors.
The ...

**2**

votes

**2**answers

171 views

### How to minimize the Bregman divergence on a convex hull spanned from a set of vectors?

everyone.
It has been well known that the following minimization problem of a Bregman divergence with linear inequality
can be solved by successively projecting the current point to each constraint ...

**24**

votes

**2**answers

894 views

### An Interesting Optimization Problem

You are given n non-negative integers $a_1, a_2 ,, a_n$. In a single operation, you take any two integers out of these integers and replace them with a new integer having value equal to difference ...

**1**

vote

**0**answers

33 views

### Searching for the maximum of a (strictly convex) two-dimensional distribution via maximization over a series of arbitrarily specified 1D intervals

Let $f$ be a strictly convex two-dimensional distribution with a maximum $M$ at some unknown position $(x_m,y_m)$. Starting from the origin, $(x_0,y_0) = (0,0)$, we need to find $(x_m,y_m)$, however ...

**2**

votes

**1**answer

195 views

### Homotopy with non piece-wise linear boundary

in the middle of a long proof I encounter the following problem.
Let $E$ be a closed and convex set in $\mathbb R^n$ such that for all $\vec x\in E$ it holds that $\sum_ix_i=1$. (We can understand ...

**4**

votes

**2**answers

414 views

### Gradient descent-like optimization on a convex landscape with noisy sampling

This is a rewrite of the original positing (below), and is crossposted to ...

**2**

votes

**1**answer

298 views

### Block Covariance Matrix - Positive Definite? (Quadratic Optimization) [closed]

I have a covariance matrix C. I have then formulated an quadratic optimization problem that involves the following matrix in the quadratic form:
[ C C ]
[ C C ]
However, the quadratic solver ...

**1**

vote

**0**answers

149 views

### Extreme points of a set related to semidefinite cone

Let $X \in \mathbb{R}^{n \times n}$ be symmetric matrix. Consider the following set
$$
\mathcal{C} = \{ X: X \succeq 0, \quad 0 \le X_{ij} \le 1, \forall i,j\}
$$
What are the extreme points of this ...