**2**

votes

**1**answer

253 views

### Is there any way to compare between diagonals of a resolvent and a Cauchy transform?

Say $A$ is a symmetric matrix of $n$ dimensions. Then let the ``resolvent" of $A$ be the matrix valued function $R_A(z) = \frac{1}{z-A}$ and its Cauchy transform be the real valued function $C_A(z) = ...

**0**

votes

**1**answer

120 views

### sum of fractional functions optimization problem

Consider the following sum of fractional functions optimization problem
$$
\begin{array}{l}
\mathop {\min }\limits_{\bf{x}} \,\,\,\sum\limits_{i = 1}^p {\frac{1}{{{\bf{a}}_i^T{\bf{x}} + {b_i}}}} \\
...

**0**

votes

**0**answers

18 views

### Dennis More' Superlinear Convergence_refrences request

Why in the proof of superlinear convergence of restricted broyden class (for the unconstrained optimization) we need the bounded deterioration condition for the approximation of all the true hessian ...

**1**

vote

**0**answers

23 views

### Which algorithm is most efficient for a specific QP problem

I have a QP problem of the following kind:
$\min_{\alpha\in\mathbb{R}^n}\frac{1}{2}\alpha^T M \alpha - p^T\alpha$
s.t. $l\leq \alpha \leq u$
The matrix $M$ is symmetric and positive definite and of ...

**5**

votes

**2**answers

389 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 ...

**2**

votes

**1**answer

444 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 ...

**0**

votes

**1**answer

264 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

**0**answers

62 views

### Designing Better “Temperature” for Simulated Annealing on Combinatorial Optimization

Many research on designing temperature for simulated annealing is carried out. We wonder if there is any research on designing general feature of the Hamiltonian used in Simulated Annealing.
For ...

**1**

vote

**0**answers

17 views

### Concavity of maxima [closed]

Suppose we have the following optimization problem : $\min\limits_x kf(x) + g(x)$ where $f$ is a decreasing convex function in $x$ and $g$ is an increasing convex function. Can we say that $x^*$ is ...

**1**

vote

**1**answer

437 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 ...

**1**

vote

**1**answer

85 views

### A bound on the number of bilinear functions needed in order to obtain the minmax

For $n\in\mathbb N$, let $\Delta(n)=\{x\in\mathbb R^n:x_i\geq 0, \sum_ix_i=1\}$ be the set of probability vectors in $\mathbb R^n$.
Is there a function $m:\mathbb N\to\mathbb N$ such that for any ...

**4**

votes

**1**answer

63 views

### About optimization with Renyi divergence

Can someone link me to some pedagogic example of computing the Renyi divergence between two discrete/continuous distributions? Like examples where someone has been able to obtain a neat closed form ...

**4**

votes

**0**answers

129 views

### Closed-form solution of a linear programming question

Among all the probability matrices
\begin{equation*}
P =
\left(\begin{array}{cccc}
p_{00} & p_{01} & \ldots & p_{0,J-1} \\
p_{10} & p_{11} & \ldots & p_{1,J-1} \\
\vdots & ...

**1**

vote

**0**answers

30 views

### Minimum of sum of modulus [closed]

How can I evaluate the minimum of
$$
\left|7x-1\right|+\left|7y-5\right|+\left|7z-1\right|
$$
if $x,y,z$ are non negative reals such that $
x+y+z=1$ and $y^2 \le xz$?
Is there a standard way to ...

**2**

votes

**1**answer

105 views

### Global minimum of nonlinear least square

We have a continuous and differentiable function $f(\cdot)$ that maps from $R^n$ to $R^n$. We are trying to solve a nonlinear least square problem:
Minimize $J(x)=\Vert f(x)-z\Vert^2$
subject to box ...

**9**

votes

**4**answers

532 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 ...

**0**

votes

**1**answer

100 views

### Is the linear production game a convex game?

In cooperative game theory, the linear production game (LPG) is defined by letting the characteristic function have the form of a linear programming problem.
Does anyone know if the LPG is a convex ...

**1**

vote

**1**answer

43 views

### On optimizing a function whose projection and projected vector go through a linear transformation

Assume the two sets of vectors $\{\mathbf{a}_1,\ldots,\mathbf{a}_N\}$ and $\{\mathbf{b}_1,\ldots,\mathbf{b}_N\}$ of equal length. My goal is to find the optimum matrix $\mathbf{C}$ to the following ...

**0**

votes

**0**answers

35 views

### Bounds on the curvature of a sequence of convex functions

Let $\{f_n\}$ be a sequence of (real-valued) smooth convex functions on $[0,1]$, with $f_n(0) = f_n(1) = 0$ for all $n$.
Let $t_n \in [0,1]$ be the minimizer of $f_n$ and assume that $M_n:= f_n(t_n) ...

**-1**

votes

**1**answer

48 views

### Does element-wise concavity guarantee joint concavity?

I have a function of two variables, and I have checked that along one direction (fixing another variable), it is a monotonically increasing and concave function. Whereas in another direction (fixing ...

**2**

votes

**2**answers

182 views

### What is the dual of an semidefinitely representable (SDR) cone?

The Question
Let $V\simeq \mathbb{R}^r$ be an $r$-dimensional vector space with the usual Euclidean inner product.
Let $\mathcal K\subset V$ be a cone defined as
$$
\mathcal K=\Big\{x\in V\ ...

**10**

votes

**2**answers

281 views

### More general than semidefinite program?

I was TAing my convex optimization class and explaining that Linear Programs are a special case of Second Order Cone Programs, which are themselves special cases of Semidefinite Programs. My question ...

**1**

vote

**0**answers

54 views

### Log convexity for the norm of a vector-valued function

Log convexity of various functions defined on the space of Hermitian matrices plays an important role in matrix analysis and probability theory.
Given $v \in \mathbb{C}^n$, $D$ a diagonal matrix with ...

**0**

votes

**0**answers

22 views

### Maximizing modular function subject to supermodular constaint

I'm trying to solve a constrained optimization problem with submodular functions and get some nice properties of the solution. Unfortunately, I think I am in a setting where Topkis' theorem does not ...

**0**

votes

**0**answers

20 views

### Bounding the error of the optimal solution from an approximated objective

Let $f$ be a smooth convex function defined in a bounded region $X$ and its Hessian is bounded $m I \le |\frac{\partial^2 f(x)}{\partial x^2}| \le M I$ for some $M>m>0$. Let $x^*=argmin_{x\in X} ...

**0**

votes

**0**answers

43 views

### Find optimal value for a regularization parameter in generalized eigenvalue problem

Consider the generalized eigenvalue problem :
$ \Sigma_{XY} \Sigma_{YX} {W} = \lambda \Sigma_{XX} {W} $
where $\Sigma_{XX} $ and $\Sigma_{XY}$ are sample covariance matrices are of the matrices ...

**0**

votes

**0**answers

36 views

### Nuclear norm maximization

I am trying to solve a nuclear norm maximization problem:
$$\arg \max_{Q \in O(n)} \|WQV^T\|_*$$
where $Q$ is an $n \times n$ orthogonal matrix and $W$ and $V$ are real $d \times n$ matrices. I've ...

**2**

votes

**1**answer

246 views

### Is this a log-concave function?

Let $(a_k)$ be a log-concave positive decreasing sequence. Is $\sum\limits_{k=1}^n a_k(1-e^x)^{k-1}$ log-concave in $x<0$, for each natural $n$?

**0**

votes

**0**answers

45 views

### Question on solving an optimization problem using Variable splitting and ADMM

Tell me if I have found the right approach to the following optimization problem:
$$
min_{x} \frac{1}{2}\left \| Ax-b \right \|_2^2
\\
s.t. \ \ \Phi v=x \ , \ {x^T(1-x)}=0
$$
$A$ and $\Phi$ ...

**1**

vote

**1**answer

61 views

### Envelope theorem for second derivative

I am maximizing a function $f(x,z)$ on $x$ ($z$ is treated a parameter in the maximization). The function $f$ is strictly concave on both variables.
I know how to use the envelope theorem for the ...

**1**

vote

**0**answers

33 views

### Is this QCQP convex or nonconvex

\begin{equation}
\begin{split}
\min_{x\in \mathbb{R}^n}\:f(x)=(1/2)x^{T}Q_0x+c_0^T x
\end{split}
\end{equation}
s.t.
$$
g_i(x)=\frac{1}{2}x^T Q_ix-lmax_i\leq0,i\in\{1,...,m/2\}
$$
$$
...

**4**

votes

**1**answer

144 views

### Nonlinear least square with quadratic equality constraint

I am looking for an appropriate method or hint to solve the following constrained nonlinear least square problem:
$\operatorname{argmin}_X \sum_{i\in I} \|\mathbf{X}_i - \mathbf{X}_{i+1}\|_2^2 + ...

**1**

vote

**0**answers

39 views

### Projecting on a convex compact polytope with special form

Let $E$ be a large sparse $l$-by-$n$ matrix ($l$ and $n$ can be in the billions...) with coefficients in $\{-1, 0, 1\}$: the first row of $E$ is the vector $(1,0,0,\ldots,0) \in \mathbb R^n$, and ...

**1**

vote

**0**answers

72 views

### Projecting on a a special polyhedron

Let $X$ be an $n$-by-$p$ matrix and consider the closed convex polyhedron
$$\mathcal P_X := \{y \in \mathbb R^n | \|X^Ty\|_\infty \le 1\}.$$
Notice that $\mathcal P_X$ is symmetric about the origin.
...

**5**

votes

**1**answer

222 views

### Minimize Frobenius norm

My question is the following:
Suppose $M$ is an $n \times n$ symmetric real matrix. I want to find an $n \times n$ symmetric real matrix X such that $|| X -M||_F$ is minimized with the constraint ...

**11**

votes

**1**answer

304 views

### Minimize sum of $\ell_2$ norm and linear combination, on simplex

Let $\Delta_n := \{x \in \mathbb{R}^n | x \ge 0, \sum_{1 \le i \le n}x_i = 1\}$ be the $n$-simplex. For $a, b \in \mathbb R^n$, with $\Delta_n \not \ni a$, consider the problem of computing the ...

**1**

vote

**0**answers

35 views

### convergence of unconstrained convex optimization

I encounter an optimization problem. The simplified version is like following:
Denote function $F(x):\mathbf{R}^n\rightarrow\mathbf{R}$, where $F(x)$ is a smooth lower bounded convex function (i.e. ...

**1**

vote

**2**answers

63 views

### Sensitivity analysis in minimum norm problems under a linear constraint

Suppose $\Delta$ is some nice topological space, say compact, and Hausdorff.
Let $A:\Delta \rightarrow \mathbb{R}^{m\times n}$ be a continuous $m\times n$ matrix valued map. Let $b\in \mathbb{R}^{m}$ ...

**1**

vote

**0**answers

45 views

### Derivatives of Minkowski function?

Let $A\subset \mathbb R^n$ and $M$ be the convex hull of the set $A$, e.g., $M:=Conv(A)$. The Minkowski function on $M$ is defined as follows
\begin{align*}
&f: \mathbb R^n \to \mathbb R\\
...

**0**

votes

**0**answers

59 views

### Well-posedness of gradient flows

For a convex lower-semicontinuous functional on a Hilbert space $I\colon H\rightarrow\mathbb{R}$, it is shown in Evans' PDE that the Hilbert-space-valued ODE
$$\begin{cases}\mathbf{u}'(t)\in-\partial ...

**5**

votes

**2**answers

736 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

**1**answer

146 views

### Constrained optimization (QCLP) over $x$ with the constraint $x = Az$

I have a problem that looks very much like a (norm-constrained) linear program, but with an extra constraint that is unusual for me. The problem is, given a matrix $A$ and a vector $w$,
$$ \min_{x ...

**-1**

votes

**1**answer

57 views

### Convex Optimization in an Ellipsoid

Suppose we want to minimize a linear objective inside an ellipsoid that is,
$\min _x l^Tx$
such that $(x - \mu)^TA(x - \mu) \leq \beta ^2$.
Here, A is PSD and $\mu$ is a fixed vector. Can this be ...

**3**

votes

**1**answer

104 views

### Finding a semigroup that maximizes the trace of a sum of matrices

Let $H$ be a finite semigroup containing $n$ elements from a compact group $G$. I am trying to solve
$$\max_{h_i,\ h_j\ \in\ H} \operatorname{tr} \sum_{i,\ j\ \leq\ n} \rho(h_i^{-1} h_j)(A_j ...

**0**

votes

**0**answers

46 views

### How to use the property of Frobenius norm in this proof?

Let $A \in \mathcal{S}^{n}$($\mathcal{S}^{n}$ is the $n \times n$ symmetric matrix space), $P,Q \in\mathbb R^{n \times n}$, and $\rho \geq 0$ be given. Show that:
$$A \succeq P^{T}ZQ+Q^{T}Z^{T}P$$
for ...

**3**

votes

**1**answer

129 views

### Computational complexity of low rank SDP

Suppose we are given a general SDP of the form with an additinal rank requirement
\begin{array}{rl} {\displaystyle\min_{X \in \mathbb{S}^n}} & \langle C, X \rangle_{\mathbb{S}^n} \\ \text{subject ...

**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 ...

**0**

votes

**1**answer

200 views

### L-infinity-norm regularized proximity problem

I have a question:
$$\min_x {1\over 2} \|x-t\|^2 + \lambda \|x\|_\infty$$
where $t, \lambda$ are given constant.
I think this may be a classic problem? However, I didn't find closed form of its ...

**1**

vote

**1**answer

191 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

**0**answers

106 views

### Proximal mapping of composition with linear operator

Let $A$ be an orthogonal matrix. Then the proximal mapping $prox_{f \circ A}(x)$ can be evaluated efficiently by
$$
(I + \partial (f \circ A))^{-1}(x) = prox_{f \circ A}(x) = A^T prox_{f}(A x),
$$
as ...