Operations research, linear programming, control theory, systems theory, optimal control, game theory

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8
votes
1answer
250 views

An inequality on the simplex involving $x^x$

Is anything known about the behavior of the function $$f(x)=\prod_{i=1}^n x_i^{x_i}$$ on the standard simplex, i.e. the set $\{x\in\mathbb{R}^n:\sum_{i=1}^n x_i=1, x_i\geq0\}$? I ask because I have ...
1
vote
0answers
42 views

The state-transition-matrix of a physical system,

Here's a simple but potential research problem that I am learning about. Let's say I am studying a physical system that is governed by N objects. At each time, each object is either "active" and ...
1
vote
0answers
31 views

computational-expensive signal reconstruct - a combination problem [closed]

My problem is: I have a time series signal (vibration signal), use BSS algorithm (Blind Source Separation, we can regard it as a black box), separate the source signal into 100 components. Now I ...
2
votes
1answer
30 views

Specific discrete system $x_n = A(n,u)\cdot x_{n-1}$ control papers

Basic discrete control theory mostly studies systems which can be represented as $x_n=A(n)x_{n-1}+B(n)u_n$. I wonder if optimal control of specific discrete systems of the type $x_n = A(n,u)\cdot ...
0
votes
0answers
57 views

Optimization with vectors

I am trying to solve the following optimization problem as a small part of a research project, and I do not know if there exists closed form solutions. My linear algebra is very rusty and I am looking ...
0
votes
0answers
47 views

About identifying a few diagrams

Please have a look at these beautiful seminar slides, https://math.berkeley.edu/~bernd/coimbra1.pdf Can someone kindly identify the algebraic description of the spectrahedron that is drawn on slide ...
5
votes
3answers
318 views

Euler-Lagrange equations and Bellman's principle of optimality

One method to optimize the integral $$\int_{\mathcal T} L(t,x,\dot{x}) \; dt $$ of a functional over a curve is the calculus of variations, which leads to ordinary differential equations: the ...
1
vote
0answers
51 views

Hessian matrix positive definiteness (concavity test) [closed]

I have a rather simple scenario based optimization problem: Maximize $$ Q_1{_s}(A_1{_s}-Q_1{_s}-bQ_2{_s})+ Q_2{_s}(A_2{_s}-Q_2{_s}-bQ_1{_s})-[(Q_1{_s}-K_1)^+ + (Q_2{_s}-K_2)^+]c $$ subject to ...
2
votes
1answer
99 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 ...
3
votes
1answer
93 views

Choosing $K$ “centers” from the space of permutations

Let $\Pi$ denote the space of all permutations of $\{1,\dots,n\}$, and let $d(\cdot,\cdot)$ be a metric on $\Pi$. Suppose I am given a large integer $K$ and I have to select $K$ permutations ...
0
votes
0answers
47 views

Separable Least squares - is there a notion of conjugate directions?

I have a general question. Suppose I have the following to optimize $$\|Y-A(\mathbf{x})B(\mathbf{y})\|^2$$ where $Y$ is a vector, $A(\mathbf{x})$ is a matrix that depends on a vector $\mathbf{x}$ in a ...
1
vote
1answer
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
0answers
27 views

Maximisation of a discrete linear function

I am trying to maximise the function $$ Q=\sum_i{\alpha _{i}x_{i}} $$ subject to the constraint $$ W<=\sum_i{\alpha _{i}w_{i}x_{i}} $$ By changing $\alpha _{i}$ subject to $ 0<=\alpha ...
0
votes
0answers
63 views

Curves in $\mathfrak{su}(n)$ with specific property

Consider a curve $\gamma_s= U_s^{\dagger} b U_s$ in $\mathfrak{su}(n)$ where $U_s$ is a smooth curve on $SU(n)$ (starting at $U_0 = \mathbb{I}$) and nonzero $b\in \mathfrak{su}(n)$ and $s \in[0,T]$ ...
0
votes
0answers
26 views

Equivalence between multiclass SVMs, power diagrams, and constrained $k$-means

Apologies in advance for the long post: Suppose we have a collection of points $\mathbf{p}_1,\dots,\mathbf{p}_n$ in $\mathbb{R}^d$, and we consider the following three ways of partitioning these ...
10
votes
2answers
280 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 ...
4
votes
1answer
232 views

Kalman filters and stock price prediction

Could someone be so kind as to direct me to a good source that would explain time series (more specifically) stock price prediction using Kalman filters, Extended kalman filters or particle filters. ...
1
vote
0answers
89 views

approximation of rational functions

Suppose $\hat{p}/\hat{q}$ and $p/q$ are two rational functions where $p,q,\hat{p},\hat{q}$ are of degree $n$. Suppose they satisfy that $|p(z)/q(z) - \hat{p}(z)/\hat{q}(z)| < \epsilon$ for any $z$ ...
0
votes
1answer
99 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 ...
0
votes
0answers
16 views

Can MDPs over functions be solved?

I understand that dynamic programs are difficult to be solved in general. However I have an MDP, for which intuitively I have a solution, I am curious to know if there is a formal approach to get a ...
0
votes
0answers
46 views

Applications of systems with multiple time

A dynamical system with multiple time is an action of a group $\mathbb{Z}^d$ or $\mathbb{R}^d$ on a metric space. I am interested in informative examples and applications of such systems. I know ...
1
vote
0answers
17 views

Deterministic global solution to find the Optimal-knot placements for continuous piecewise linear functions to fit nonlinear data

I have been searching lately for a deterministic global technique to linearize a nonlinear function with continuous piecewise linear regions. I've a univariate nonlinear function y=f(x). where f(x) ...
2
votes
0answers
51 views

Is there a name for this variant of the MST and the TSP?

Suppose I am given a weighted graph $G$ that contains a "start vertex" $v_0$, and my goal is to construct a set of paths that all originate at $v_0$ and touch all of the vertices of $G$, with as ...
0
votes
0answers
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} ...
2
votes
0answers
82 views

Are singular critical points isolated for control systems on compact semisimple Lie groups

Given a control system on $\mathrm{SU}(n)$ (or any other compact, semi-simple Lie group I suspect) of the form: $\frac{d U_t}{dt} = (A + w(t)B)U_t$ where $A,B \in \mathfrak{su}(n)$ generate the ...
1
vote
0answers
31 views

solution of an infinite horizon optimization problem

Give the following formulation: $\min_{\{x_s(t):\forall s,t\}} \sum_{s \in \mathcal{S}} \mathbf{1}\left(\lim_{T\rightarrow \infty} \frac{1}{T} \sum_{t=1}^T \frac{y_s(t)}{x_s(t)}\leq 1\right)$ $s.t. ...
0
votes
1answer
57 views

Solving a nonlinear optimisation problem

I have the following nonlinear optimisation problem arising in my model. $$\min \sum_{k=0}^{N-1} (\tau-t_k)^+\quad \text{ s.t. } {\mathbf{x}^\top\mathbf{w}\le W,\ \mathbf{x}\ge0}, t_k=t_{k-1}+x_k ...
1
vote
2answers
191 views

The term for problems “like” Brachistocrone?

Is there a commonly-accepted umbrella term for infinite-dimensional calculus problems where the goal is to compute an optimal geometric path between a pair of points? Three examples of this would be ...
2
votes
2answers
102 views

Orthogonal Procrustes problem with Absolute Values

Given a non-negative matrix $T$, how to find a orthogonal matrix $O$ minimising $$ \left\lVert \, |O| - T \right\lVert_F,$$ where $\lVert \cdot \lVert_F$ denotes the Frobenius norm, and $| \cdot |$ ...
2
votes
0answers
86 views

Solve non-linear Optimization Problem [closed]

I have to find $x$ that minimizes: $$ \sum_{k}(x^H\textbf A_kx - b_k)^2$$ where $A_k$ are 4 x 4 positive definite matrices ($A_1, A_2,...A_k$), $x$ is 4 x 1 vector and $b_k$ are scalars ...
1
vote
0answers
160 views

A path optimisation problem

Consider a graph of $n$ nodes randomly located in $[0,1]^2$. Each node moves following a path randomly chosen from the set of all possible paths. Regard nodes as attackers. A policeman seeks an ...
0
votes
0answers
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 ...
3
votes
1answer
120 views

Singular curves of affine distributions on a Lie group

Are there any results about the rigidity of singular curves of rank 1 affine distributions on a connected compact Lie group? Specifically the case of a right invariant affine distribution: $D_{U} = ...
2
votes
0answers
70 views

Learning rule for recurrent neural network with flexible time steps

Summary: I want to train a recurrent network to output some answers, but the recurrent network is allowed to re-iterate through itself a flexible number of times for each input-output pair. Why this ...
2
votes
0answers
49 views

Attainability of Global Optima In Optimal Control

Given a manifold $M$ and a set of smooth functions of one real variable $\mathcal{A}$ and a 'control system' type first order differential equation: $\frac{d x(t)}{dt} = F(x,u)$ one can consider the ...
2
votes
0answers
75 views

A (non-convex) minimization quadratic programming problem with d constraints

Minimize $0<\omega_{dd}<2$ subject to $$\sum_{j=1}^{d}(\omega_{dj} - \omega_{ij})^{2} \geq 4, i=0,1,...,d-1,$$ where $-2<\omega_{ij}<2$ is known for $0 \leq i \leq d-1$ and $1 \leq j \leq ...
1
vote
0answers
97 views

For of a special case of $Ax>=b$, are there always integer solutions?

The input consists of two integers $n\geq 2$ and $K\geq 2$, and a vector of positive integers $b$ of size $n$. We assume that $\sum_i b_i$ is a multiple of $K$. The output is a matrix $A(n\times n)$ ...
4
votes
2answers
91 views

Questions concerning convergence rate of Iterated Projections

Assume for simplicity $C_1,C_2,...,C_n\subset \mathbb{R}^m$ to be closed and convex subsets with $\underset{i=1}{\overset{n}{\bigcap{}}}C_i\neq\emptyset$. Let $x^0\in\mathbb{R}^n$ and define the ...
2
votes
0answers
52 views

Singularities of the Quantum propagator (baby version)

Given $a,b \in \mathfrak{su}(4)$ which are taken to generate the whole algebra, consider the following map $V:\mathbb{R}^{2} \rightarrow SU(4)$: $V : (w_1, w_{2}) \mapsto e^{(a+w_2 b)} e^{(a+w_1 b)}$ ...
1
vote
0answers
70 views

Fréchet differentiability of functional defined by a integral [closed]

I want to prove that if the functional $I: \mathcal{C}^1[t_0,t_f] \rightarrow \mathbb{R}$ defined by $$ I(x) = \int_{t_0}^{t_f} F(x, \dot{x},t)\,dt $$ is Fréchet differentiable if $F$ is ...
2
votes
0answers
79 views

About optimizing a convex function on a hypercube

Given a real valued convex function $g$ on $[-1,1]^n$, let $f$ be the restriction of it on the hypercube $\{-1,1\}^n$. I want to find a vertex on the hypercube $\{-1,1\}^n$ on which either (1) $f$ ...
5
votes
2answers
129 views

The use of modules in control theory

So far I have seen the use of vector spaces in control theory and other notions from linear algebra; So I wonder if there's a use of this abstraction of modules over rings in control theory? any ...
0
votes
0answers
63 views

Law of motion when initial condition is perturbed

We know how to find the law of motion (Ito process) of the value function: $$V_t(x)=E\Big{[}\int^{T}_te^{-r (s-t)}f(s,X_s)ds+e^{-r (T-t)}g(T, X_{T})|\mathcal{F}_t\Big{]}$$ such that ...
3
votes
1answer
42 views

Parameter uncertainties in LQR

I have a question about LQR. I apply optimal controller by solving Ricatti equation based on normal plant. Suppose that I have one or few parameter variations in the plant that changes some values in ...
3
votes
2answers
122 views

Level sets on $SU(4)$

Given $G \in SU(4)$, what are the level sets of the function $F:SU(n)\rightarrow \mathbb{R}$ defined by $F(V) = |tr(G^{\dagger}V)|^2$? Can they be written only in terms of abstract linear maps, not ...
2
votes
1answer
206 views

Simultaneous integral equation on $SU(n)$

Consider a smooth curve $U_s:[0,T] \rightarrow SU(4)$ which solves: $\frac{d U_s}{ds} = (a + w(s)b)U_s$ for some given $a,b \in \mathfrak{su}(4)$ (which generate $\mathfrak{su}(n)$) and a smooth ...
0
votes
0answers
44 views

Continuous time dynamic programming: Quadratic guess for value function

In a control problem like so: $$J = min \int_0^{t_f} Qx^2 + Ru^2 dt $$ $$\dot{x} = Ax + Bu$$ $$x(0) = x_0$$ The regular Linear Quadratic Regulator is attained by asssuming that the optimal value ...
10
votes
2answers
242 views

A generalization of Chebyshev polynomials

What is the monic polynomial $p(x)$ of degree $n$ which minimizes $\max_{x \in [-1,1]} |p(x)|$? The answer is the Chebyshev polynomial, and its largest value on $[-1,1]$ is $1/2^{n-1}$. Now suppose ...
0
votes
0answers
48 views

Nonlinear optimization problem with inequality constraints

Consider a real valued function $g(x_i)=\frac{1}{a_1+ \frac{a_2}{x_i}}, \forall i=\{1,2,3,...,n\}$. The objective function $H$ is $H=\sum_{i=1}^{n}\frac {1}{g(x_i)-a_3x_i}$ The optimization ...
1
vote
1answer
33 views

Finding an unfrustrated set of local linear constraints with given minimal value

Let $ \{F_{i}\} $ be a finite set of linear functionals on a convex compact subset $B\subset\mathbb{R}^{n}$ such that each $F_i$ is $k$-local (acts on $k\ll n$ variables only). Assume ...