# Tagged Questions

Optimization with convex constraints and convex objectives; notions related to convex optimization such as sub-gradients, normal cones, separating hyperplanes

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### 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 ...
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### 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 ...
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### 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 $n$?
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### 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 $\Phi$ ...
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### 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 ...
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### 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\\ && ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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 ...