**2**

votes

**0**answers

145 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

842 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

143 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

130 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

73 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

298 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

87 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

245 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

319 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 ...

**2**

votes

**1**answer

459 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

254 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

991 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

35 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

236 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

542 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

477 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

180 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 ...

**3**

votes

**1**answer

566 views

### SDP formulation of noisy low rank matrix completion

Exact low rank matrix completion using nuclear norm minimization can be formulated as a semidefinite program (SDP). Following the notation in the paper, a convex problem for noisy matrix completion ...

**1**

vote

**1**answer

192 views

### No strong duality In spite of Slater's condition

I was reading some course notes here.
On Page 8, it says:
Note that strong duality holds here (Slater's condition), but the
optimal value of the last problem is not necessarily the optimal
...

**1**

vote

**1**answer

444 views

### Find the following transformation $G$

I asked this question 6 days ago on math.stackexchange.com (http://math.stackexchange.com/questions/656585/find-the-following-transformation-g). I didn't get any answers yet, so I'm posting here.
I'm ...

**0**

votes

**1**answer

266 views

### Reverse optimization of a minimum cost flow network

Given an undirected graph $(V,E)$, with $W$ as the weight of each edge, and a convex cost function $F(X)$, such as $|X|^k$ ($k>1$).
The cost to send $x$ unit of flow through edge $e_i$ is defined ...

**4**

votes

**2**answers

306 views

### Minimax theorem on a non convex domain

A minimax theorem is a theorem which states that under certain conditions on $\mathcal{X}$, $\mathcal{Y}$ and $f$:
$$ \inf_{x \in \mathcal{X}}{\sup_{y \in \mathcal{Y}}{f(x,y)}} = \sup_{y \in ...

**-1**

votes

**1**answer

310 views

### Uniqueness of the solution to a quadratic problem [closed]

Consider a positive definite matrix $\boldsymbol H$, the known vectors ${\boldsymbol b}$ and ${\boldsymbol a}_i$. Now the minimization problem is casted with respect to the vector ${\boldsymbol x} $ ...

**0**

votes

**1**answer

131 views

### Eigenvalues of a given parametrized matrix.

Let $\mathbf{A}$ and $\mathbf{B}$ be two complex rank-one $N\times N$ positive semi-definite matrices. Let the matrix $\mathbf{C}$ be defined as
\begin{align}
...

**1**

vote

**1**answer

405 views

### Interior of a dual cone

Let $K$ be a closed convex cone in $\mathbb{R}^n$. Its dual cone (which is also closed and convex) is defined by $K' = \{ \phi\ |\ \phi(x) \geq 0,\ \ \forall x \in K\}$.
I know that the interior of ...

**1**

vote

**1**answer

275 views

### Lagrange multiplier and semidefinite programming

suppose we have a primal semidefinite programming. for finding its dual we use Lagrange multiplier $w_i$ for each semidefinite constraint. If the Lagrange multiplier be zero for one constraint what we ...

**1**

vote

**0**answers

151 views

### How to solve such an optimization problem efficiently？

Given a symmetric positive semi-definite matrix $\mathbf Y$ and a convex set $\mathcal M$ which is a subset of all symmetric positive semi-definite matrices (consider a simple case of $\mathcal M$： a ...

**2**

votes

**2**answers

118 views

### Projection onto rotated box

Does anyone know if there is an efficient way to find the projection of an arbitrary point $z$ onto a rotated box, i.e. onto the set $\Omega=\{x \mid a \leq Ux \leq b\}$ where $U$ is a unitary matrix?
...

**3**

votes

**1**answer

175 views

### Equivalent method for maximum likelihood estimation of covariance parameters

My goal is to estimate the parameters of a covariance matrix $\Omega$, by maximizing the following log-likelihood function:
$$\log L(\vec\tau, \rho, \sigma \mid W, X) = -m\ln(\left | \Omega \right |) ...

**1**

vote

**0**answers

123 views

### Maximizing an integral over a convex region

Let $C$ denote a compact, convex region in the plane containing the origin with unit area, and let $f$ be a probability distribution on $C$. Let $f^\ast$ denote the distribution that maximizes the ...

**1**

vote

**0**answers

252 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 ...

**2**

votes

**1**answer

156 views

### Circumscribed ellipsoid of minimum Hilbert-Schmidt norm

Let $K\subseteq \mathbb{R}^n$ be a full-dumensional convex body. The Löwner ellipsoid of $K$ is the unique ellipsoid of smallest volume containing $K$. My question is about a related object: the ...

**-1**

votes

**1**answer

55 views

### Determining the sign of each element of the optimal of a strict convex function

The problem is:
Let $\vec{x}\in\mathbb{R}^d$ be the variable and $f(\vec{x})$ be a scalar function that is globally strictly convex in $\mathbb{R}^d$. We assume the unique optimum of $f$ to be ...

**3**

votes

**1**answer

314 views

### quadratic programming on hypercube

I want to maximize a quadratic form $\mathbf x^T\mathbf Q\mathbf x$ and also want to find out which vector $\mathbf x$ maximizes the quadratic form when
$\mathbf Q$ is an $n\times n$ positive ...

**1**

vote

**1**answer

368 views

### Question on convex optimization and dual norms [closed]

I have the following questions about dual norms :
How do you prove that the dual of the dual norm is in fact the original norm?
This is what I have so far:
If I have $||y||_* $ as the norm dual of ...

**2**

votes

**2**answers

243 views

### Survey on Compared Running Time: Ellipsoid Method vs. Simplex Method

If you look through papers on the Ellipsoid Method, there is a large agreement, that the Ellipsoid Method, although theoretically polynomial, is in practice way slower than the Simplex Method. ...

**2**

votes

**1**answer

266 views

### maximizing convex quadratic form over the intersection of unit sphere and positive orthant

For a positive semi-definite matrix $C$, I want to find the solution to the following problem:
$\arg\max_{h\geq 0} h^T C h\quad$ s.t. $\quad h^T h\leq 1$
Any pointers are welcome.

**3**

votes

**1**answer

491 views

### Fast algorithm for maximizing smallest eigenvalue of linear combination of hermitian matrices

I have an engineering back ground. Due to work, I came across this problem
\begin{align}
&\max_{\lambda,y_i\in \mathbb{R}}~\lambda \\\
...

**1**

vote

**0**answers

90 views

### Checking feasibility with eigenvalue and linear constraints

Is there an efficient algorithm to check the simultaneous feasibility of linear and eigenvalue constraints? For example, given $ \lambda_1 \ge \lambda_2 \ge 0$, is the following problem efficiently ...

**2**

votes

**1**answer

224 views

### optimize spectral radius

Hi I would like to solve the following optimization problem.
Let $A$ be an $n \times n$ nonnegative real matrix where $A^{-1}$is an M-matrix.
Let $D=\text{diag}\{d_{1}, \dots , d_{n}\}$ be a ...

**1**

vote

**0**answers

124 views

### Interior point optimisation using big M for L1 norm on linear system using Dikin's Affine method

I am a 4th year undergrad surveying student studying computations, specifically $L_{1}$ norm minimisation of residuals in large data sets. To start with (and probably to finish with) I'm using a set ...

**2**

votes

**1**answer

235 views

### optimization over positive semidefinite matrices

I wonder what is the most explicit characterization that can be given for the solution to the ($N$-dimensional) problem of maximizing the criterion
$$
-\textrm{trace}[AS^{-1}] - b^\top Sb
$$
over ...

**1**

vote

**1**answer

192 views

### Maximum Dispersion of a Connected Geometric Graph

Let $\left\{\mathbf{p}_1,\dots, \mathbf{p}_k\right\}$ be a set of points in $n$-dimensional Euclidean space, and let the second moment of these points be defined as:
$
U=\sum \limits_{i=1}^{k} ...

**4**

votes

**0**answers

432 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 $x \in$ ...

**1**

vote

**1**answer

305 views

### Semi Definite Relaxation for a Quadratic Feasibility Problem using CVX

Consider the following Semi-Definite Feasibility problem
\begin{align}
\max_{\mathbf{Z}}~0 \\\
\mathrm{trace}(\mathbf{Z})\leq \rho \\\
\mathrm{trace}(\mathbf{S}_1\mathbf{Z}) \geq \alpha \\\
...

**4**

votes

**2**answers

215 views

### A certain type of constrained Rayleigh-Ritz ratio

Let $\mathbf{A_1}$ and $\mathbf{A_2}$ be two hermitian matrices. Consider the problem
\begin{align}
\max_{\mathbf{u}^H\mathbf{u}=1}~\mathbf{u}^H\mathbf{A}_1\mathbf{u} \\\
...

**3**

votes

**0**answers

511 views

### Coordinate mirror descent

Let $f$ be a jointly convex function of 2 variables say $x,y$. I am interested in solving the optimization problem $$\min_{x,y\in\Delta} f(x,y)$$ where $\Delta$ is a $d$ dimensional simplex. An ...

**2**

votes

**2**answers

473 views

### convergence of the infima of convex functions

Can one give a reference to a result like this:
If a sequence of convex functions $f_{n}$ on $\mathbb{R}$ converges pointwise to a non-monotonic function $f$, then ...

**0**

votes

**0**answers

119 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

**1**answer

405 views

### Nonconvex optimization problem

I have a nonconvex optimization problem. It is actually optimizing a linear objective function over a set of linear constraints and a set of nonlinear, non convex constraints.
Is this problem ...