**0**

votes

**0**answers

10 views

### Projected Alternating Minimization

Assume that $f(x,y)$ is a non-convex function for $x,y\in \mathbb{R}$. Assume that we want to minimize this function (even locally) with respect to $x$ and $y$ such that $x \in \mathcal{X}$ and $y \in ...

**1**

vote

**0**answers

19 views

### Optimization of a multilinear function over a product of hypersimplices

Let $P = \Delta_1 \times \cdots \times \Delta_N$ be the Cartesian product of $N$ hypersimplices. Let $f : P \to \mathbb{R}$ be a multilinear function of $N$ variables, ie $x_i \mapsto f(x_1, \ldots, ...

**0**

votes

**0**answers

27 views

### Upper bound a function

The problem is of finding the maximum of the following function (in terms of i)
$\ f_i = \frac{(2m-i) \cdot i}{2 b} \ln(b) - \tfrac{1}{2} i \ln(i) +O(i) $
providing $\ 0<b \leq m, 0<i \leq m ...

**1**

vote

**1**answer

33 views

### What's the most efficient way to solve this euclidean projection on non-negative affine space constraint?

I've come across this convex optimization problem in my research where I need to project a matrix $X_0$ onto a non-negative affine space constraint and box constraints. Concretely,
$X \in ...

**0**

votes

**0**answers

67 views

### Lagrange Multipliers for linear functionals

Say I have a Banach-space $X$ and linear (!) functionals $f,g$, and I'm trying to solve the constrained optimization problem
$$max~f(x)\quad s.t.~g(x)= 0,~\Vert x\Vert\le 1.$$
Suppose I can show ...

**1**

vote

**0**answers

24 views

### Theorems on stochastic Lyapunov function

Let $X_n$ be a sequence of random variables such that
$$P(X_{n+1} \in A|X_m,x_m,m\leq n)= \int_A p(dw|X_n,x_n)$$
It is called a controlled Markov process.
Now, suppose there exist $\epsilon_0$, ...

**1**

vote

**1**answer

131 views

### finding permutation matrix I which minimizes TRACE( I* C*( I^T)* D) matrix

I have a problem that is really important for my thesis and i am not studding math so i will be very glad if you help me in this case...
thanks for your help in advance
I want to find permutation ...

**0**

votes

**0**answers

32 views

### Infinite dimension optimization example

I am searching for an example problem for infinite dimension optimization for continuous time control. I have the algorithm tested on real systems but I would like a problem where the Lyapunov ...

**0**

votes

**0**answers

29 views

### characterization of a certain closed convex cone

Consider $x_1,\cdots,x_n \in \mathbb{R}^d$, and the closed convex cone in $\mathbb{R}^n$ defined by
$$\mathcal{K}(\underline{x}):=\{(\varphi(x_1),\cdots,\varphi(x_n)):\varphi \textrm{ convex on ...

**2**

votes

**1**answer

156 views

### Necessary conditions for optimality in Banach spaces

Let $X$ denote the non-negative "orthant" of the Banach space $L^2$ (or whatever you call the set of functions in $L^2$ that are non-negative), and let $C$ be a closed, convex subset of $X$. Let $f$ ...

**7**

votes

**2**answers

181 views

### Removing constraints in convex optimization

Say I have a convex optimization problem of the form $$\min_x f(x) ~~ s.t.\\ g_1(x)\leq0,\\\vdots \\g_n(x)\leq 0$$ with all functions convex. Suppose that $x^*$ is a unique optimizer to my problem and ...

**2**

votes

**1**answer

88 views

### Standard names and methods for this type of fitting minimization

In material science research, we have come across the following type of problem.
Given a m by n matrix A, a m vector b, and error tolerance $\varepsilon$, we want to do this minimization
$$\eqalign{
...

**3**

votes

**0**answers

89 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 ...

**2**

votes

**0**answers

82 views

### Copositivity under tensor products

Is there any symmetric real matrix $A$ such that $A^{\otimes n}$ is copositive for all positive integers $n$, but such that A is neither positive semidefinite nor has just non-negative entries?
...

**0**

votes

**1**answer

44 views

### Sufficient and necessary condition for BIBO stability

I am looking for a reference for the proof of the next claim:
"BIBO—bounded input bounded output—stability.
We claim that a necessary and sufficient condition for a system described
by a linear, ...

**0**

votes

**0**answers

37 views

### numerical solver for stochastic optimal control problems

can any one recommend numerical solver (c/c++ library preferred) for stochastic optimal control problems? For deterministic optimal control I found something like that: ...

**3**

votes

**0**answers

74 views

### Containing a “fuzzy” ellipsoid within an ordinary ellipsoid

Consider the ellipsoid described by the inequality $(x - x_c)^T P^{-1} (x - x_c) \leq 1$, where the vector $x_c \in \mathbb{R}^n$ denotes the center of the ellipsoid and the symmetric positive ...

**0**

votes

**1**answer

118 views

### Linear programming with exponentially many constraints and variables [closed]

From class, I learnt that problems like traveller salesman have a Linear programming representation with exponentially many constraints. Using method of separation, this problem is solved rather ...

**7**

votes

**3**answers

331 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

136 views

### Combinatorial optimization problem involving infinite spin system

In material science research, I am developing an algorithm to solve an infinite combinatorial optimization problem which I believe is the most natural problem when the system size goes to infinity.
...

**1**

vote

**0**answers

113 views

### lower bound for difference between max cut and min cut

Let $G=(V,E)$ be a graph on $n$ vertices with edge weights $w=(w_e)_{e\in E}$. Let $M^+$ and $M^-$ be the maximum and the minimum cut values, i.e.
...

**0**

votes

**0**answers

25 views

### Optimization problem involving an entrywise function

Let $X$ a $n\times p$ real-valued matrix and $Y$ a $p\times q$ real-valued matrix. Let $\phi:\mathbb{R} \to \mathbb{R}$ a function. What is the appropriate way to deal with the following optimization ...

**3**

votes

**1**answer

102 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 $x_i$. ...

**2**

votes

**4**answers

369 views

### Algorithm to find the “optimal” path in a given graph

Assume that $G=(V,E)$ is an undirected connected graph and that $H: V \to \mathbb R$ is a function that assign at each vertex $v \in V$ its height $H(v)$. Think of the pair $(G,H)$ as an energy ...

**0**

votes

**1**answer

50 views

### Generalized assignment problem with no integrality gap

Suppose I am solving the generalized assignment problem, so that I
am given matrices $U$ and $W$ and a vector $c$ (all three of which
have, say, positive entries), and I want to solve
...

**0**

votes

**1**answer

149 views

### A problem about a matrix norm on $\mathfrak{su}(4)$

Given a fixed $B \in \mathfrak{su}(4)$ is it possible to solve for $F$:
$\sigma^{\text{max}}\left(\frac{A}{F(A)} + B \right) = 1$, $\forall A \in \mathfrak{su}(4)$. A theorem in ...

**2**

votes

**0**answers

28 views

### kalman filter with delayed (outdated) information

We have a linear system with observation as follows:
$x(t+1)=Ax(t)+Bu(t)+w(t)$
$y(t)=Cx(t)+z(t)$
for given information $y(0\sim t)$, we can construct the dynamics of $\hat{x}(t)$ using the Kalman ...

**2**

votes

**0**answers

102 views

### First Variation of Dyson Series/Magnus Expansion

Given the matrix differential equation $\frac{dU_t}{dt}=A_t U_t$ there are at least two ways to write a formal solution. Both the Dyson series: $U_t = \mathcal{T} e^{\int_{0}^{t} A_t dt}$ and the ...

**4**

votes

**1**answer

67 views

### What are the upper bound and stability conditions for the following simple linear system?

Consider the following linear system
$$\dot{x}=\sum\limits_{i=1}^{m}{{{\alpha }_{i}}}\left( t \right)\cdot {{A}_{i}}\cdot x \quad (1)
$$
where, $x\in {{\mathbb{R}}^{n}}$ represents the state vector, ...

**0**

votes

**1**answer

75 views

### equation for geodesics of a right invairant Finsler metric on $SU(n)$ which are parallel to a linear affine distribution

I am looking for an equation analogous to the Euler-Poincare equations for a right invariant Finlser metric except I want the geodesics which are parallel to a linear affine distribution on $SU(n)$. ...

**0**

votes

**0**answers

18 views

### Zeros of non-lipschitz functions (when noisy estimates are available only)

Given noisy (martingale difference) of a Lipschitz continuous function $f$ it is known how to compute zeros of it. It is the stochastic approximation approach (by Borkar, Kushner and Yin etc.). Is ...

**7**

votes

**2**answers

419 views

### How to solve such an optimization problem

I encounter the following optimization problem, but I can't solve it.
Given $N$ variables satisfying $0 \leq x_1 \leq x_2 \leq x_3 \leq ... \leq x_N \leq 1$ and an integer $K$ no large than $N$, find ...

**1**

vote

**0**answers

80 views

### An optimization problem for a Markov Chain

Consider a Markov Chain $\{X_n\}$ whose transition probability depends on some parameter $\theta$ ($p_{ij}(\theta)$). Now I want to optimize the following quantity
$$\lambda(\theta) = ...

**2**

votes

**0**answers

31 views

### Linear control systems

Are there some algorithms to compute the error bound of the difference between the original system and the balance system using the Balance truncation method?

**0**

votes

**0**answers

51 views

### Representation of piecewise functions using variational inequalities

I need some help about how to represent piecewise smooth functions defined over N subintervals by using variational inequalities. From a paper I'm analyzing I get:
"If we can find a function ...

**1**

vote

**1**answer

130 views

### Are there some algorithms to solve the diagonal matrix $X$ to the following matrix equation?

Suppose $X$ is an unknown $m \times m$ diagonal matrix. Given a scalar $0<c<1$, and a matrix $A$ of $m \times m$ size whose entries $0<A_{i,j}<1$. Are there some algorithms to find the ...

**2**

votes

**2**answers

231 views

### Solving a matrix equation $X=c \cdot AXA' +I$ with a diagonal corrections

I am now struggling to solve the matrix $X \in R^{n \times n}$ in the following equation:
$X=c \cdot AXA' - diag(c \cdot AXA')+ I$,
where
(1) $A \in R^{n \times n}$ is a given matrix whose element ...

**1**

vote

**1**answer

87 views

### A certain instance of the Set Covering problem

Is there any useful structure associated with the following instance of the Set Covering problem?
Let $G$ be a weighted graph and let $\mathcal{P}$ denote the set of all shortest paths between all ...

**0**

votes

**0**answers

38 views

### A Optimization problem using co-ordinates of joint numerical range.

Let $\mathbf{A}_1,\dots,\mathbf{A}_L$ be $N\times N$ hermitian matrices. Define the mapping from the $N-$dimensional unit sphere to $\mathbb{R}^L$ as
\begin{align}
...

**6**

votes

**2**answers

157 views

### Relativistic Control Theory

I am looking for literature that combines General relativity and control theory.
So far I found a video lecture on "Integrability meets Control Theory: Harmonic maps in GR", other than that not so ...

**0**

votes

**0**answers

36 views

### Stability condition for linear time varying Kalman filter

For the traditional time invariant system:
$x(k+1)=Ax(k)+w(k)$
$y(k)=Cx(k)+v(k)$
the stability of $\Delta(t)\triangleq x(t)-\hat{x}(t)$ is the observability of (A, C) pair.
What if now C is a ...

**0**

votes

**2**answers

100 views

### Approximate solution to large mixed integer programming problem

What are the available approaches to find an approximate solution to a large mixed integer programming problem?
I ran my problem in the Gurobi MIP solver.
It can find a feasible solution in ...

**1**

vote

**0**answers

22 views

### Minimal rectangular confidence regions

For a given multivariate pdf $f$ (mainly the gaussian one) I'm looking to compute a minimal rectangular confidence region for a given level $\alpha$. For example, I would like to solve problems of the ...

**4**

votes

**1**answer

146 views

### Rank 1 Approximation of Elementwise Inverse Matrix

I'm wondering whether there is a good way to solve the following optimisation problem.
Given a strictly positive quadratic matrix $A$, find two diagonal matrices $D_1$ and $D_2$ so that
$$ \| D_1 A ...

**1**

vote

**1**answer

167 views

### System of quadratic complex equations

I want to solve this system of N non-linear equations without using a numerical method:
$x_{k}^{2}= \alpha_{k }+ \sum\limits_{m=1}^{N} (\beta_{km} x_{m} + \psi_{km} x_{m}^{*})$
With
$\left| ...

**2**

votes

**1**answer

147 views

### Optimization problem whose cardinality never exceeds 7 for some reason

I am working on a problem in which I have a collection of $n$ points, $x_1,\dots,x_n$, in the plane, as well as a positive definite matrix $\Sigma$ and another point $\mu$ in the plane. I am trying ...

**14**

votes

**3**answers

770 views

### “Entropy” proof of Brunn-Minkowski Inequality?

I read in an information theory textbook the Brunn-Minkowski inequality follows from the Entropy Power inequality.
The first one says that if $A,B$ are convex polygons in $\mathbb{R}^d$, then
$$ ...

**1**

vote

**1**answer

41 views

### How to find all possible solution in the problem of simplex mesthod in maple? [closed]

I have an object to maximize and some constraints in Maple, but Maple just give me only one solution. How can I get more than one solution, i.e. I would like to know all possible solution for the ...

**0**

votes

**0**answers

20 views

### Examples of POMDPs where the actions impact the transitions of the underlying markov Chain

I am not sure if the following is a legitimate question for this board.
I am looking for examples of Partially observed Markov decision processes (preferably infinite horizon, Discrete time, Discrete ...

**8**

votes

**0**answers

215 views

### Hasse-Weil Bound and Chebyshev Inequality

I was reading about the Hasse-Weil bound for the number of points in on a curve over the finite field $\mathbb{F}_q$.
$$ \big| |C(\mathbb{F}_q)| - (q+1) \big| \leq 2g \sqrt{q} $$
However, this ...