1
vote
0answers
76 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 ...
0
votes
2answers
112 views

Rewrite optimization objective

Hi, I wanted to ask, under which conditions can one rewrite the optimization objective $\min_x f(x)\;\;\;s.t.\;\;\;g(x) \leq s$ as $\min_x g(x)\;\;\;s.t.\;\;\;f(x) \leq t$ I have particular ...
1
vote
0answers
64 views

Fastest 'Oracle' Algorithm for satisfying a single linear constraint on a convex set?

In this paper by Arora, Hazan, and Kale (http://www.cs.princeton.edu/~arora/pubs/MWsurvey.pdf) a method is given for using the Multiplicative Weights Update algorithm to quickly solve Linear Programs ...
1
vote
0answers
515 views

Robust optimization in matlab using fmincon [closed]

I am trying to implement the following optimization (from this paper) in Matlab using fmincon: $\min_\omega\omega'\Sigma\omega$ subject to $\min_Ur_p \geq r_0$ where $\Sigma$ is a positive definite ...