**0**

votes

**0**answers

22 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

223 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 ...

**1**

vote

**0**answers

48 views

### Special case of Forced Harmonic Oscillator

$$ \frac{d^2l}{dt^2} + c \frac{dl}{dt} +k= F_0\sqrt{1-l^2}$$
Either a closed form or something like given initial conditions, the max value of $l$. For small $l$, this boils down to simple step ...

**3**

votes

**1**answer

113 views

### A problem related to routing in a graph

I have come across a new problem - I want to know whether this problem is similar to some existing problem or not.
The new problem is this. There is a tourist who has a having the following ...

**2**

votes

**0**answers

94 views

### Quickly checking an inequality on a convex region

I previously posted this question to math.sx at: http://math.stackexchange.com/questions/748015/quickly-checking-if-an-inequality-holds-on-a-convex-region but I'm thinking that MO may be more ...

**0**

votes

**0**answers

62 views

### Weak convergence of 4-th degrees

Good day!
We have an equation $y'+Ay=Bu$ where $y=\{\theta,\varphi\}$, $A, B$ are nonlinear operators.
$u \in L^\infty(\Gamma)$, $\theta, \varphi \in W = \{y \in L^2(0,T;V) : y'\in L^2(0,T;V')\}$, ...

**3**

votes

**1**answer

72 views

### Counting extrema on a simplex

Let $p(x_{1},x_{2},\ldots,x_{n})=\sum_{i,j=1}^{n}{a_{ij}x_{i}x_{j}}$ be a homogenous multivariate polynomial of degree $2$.
I would like to know how many extrema $p$ has on the standard simplex
...

**0**

votes

**0**answers

45 views

### Sequence of solutions of approximated problem converging to stationary solution of the original problem

Let $I(x)$ be the indicator function defined as $$I(x) \triangleq \begin{cases} 1, & x \geq 0 \\ 0, & x < 0 \end{cases}$$ and let $L(x,\alpha) \in [0,1]$ be a smoothing function that ...

**0**

votes

**0**answers

18 views

### Kalman Filter for coupled difference equations with stochastic volatilty

I am trying to estimate the following discrete-time system using the Kalman Filter:
y_t = a*y_t-1 + b*x_t-1 + c+ sigma_1(t)*Z_1,t
x_t = d*x_t-1 + e*y_t-1 + f+ sigma_2*exp(g*i_t-1)*Z_2,t
v_t = ...

**1**

vote

**0**answers

179 views

### An optimization problem on the sphere

Let $S$ be a sphere centered at origin in $\Bbb R^{2n}$ of radius $\sqrt{2n}$. Let $D$ be a diagonal matrix. Let $U$ be an orthogonal matrix. Let $r\in\Bbb Z_+$ be a fixed integer.
Let vector ...

**2**

votes

**2**answers

101 views

### Find the optimal set of subsets

Consider a set of $N$ individuals and let their distance be given by $R$, a $N\times N$ matrix. In that, $R(1,2)$ is the distance between individual 1 and 2. Now lets say that I want to separate the ...

**5**

votes

**1**answer

138 views

### Are there any known results on numerical ranges of rank-one positive semi-definite matrices?

In my problem, I came across numerical ranges of rank-one positive semidefinite matrices. Through Toeplitz-Hausdorff theorem and some other extensions, I know if there are at most three matrices, then ...

**2**

votes

**1**answer

159 views

### derivative of sum of singular values

can someone point me to the direction how to calculate the derivatives of a sum of singular values of a matrix?
I am trying to minimize
$$\min_A \parallel A \parallel_*+ \cdots $$ where $\parallel A ...

**1**

vote

**1**answer

589 views

### Maximizing linear objective function with absolute values

This has be asked on other forums, though couldn't
find authoritative answer.
I have a linear program over the reals and don't
want to introduce integer or binary variables.
The objective function ...

**2**

votes

**2**answers

162 views

### Finding the maximum of a multivariate polynomial of degree one

I need to find the global maximum of the function
\begin{align}
f\left(x\right) & = p_1 \max\left(\sum a_{1i} x_{1i}, \sum b_{1i} x_{1i}\right) - \sum c_{1i} x_{1i} \\
&+\ldots \\
&+ p_n ...

**1**

vote

**0**answers

185 views

### Incoherence of the row/column span

Due to V.Chandrasekaran., et al (p.11) : In general for any $k$-dimensional subspace of $A_{n×n}$ we have that:
$$\sqrt{(k/n)} \leq incoherence(A)\leq 1$$
where the lower bound is achieved (for ...

**1**

vote

**0**answers

120 views

### Complexity of Nested Linear Optimization

My question is motivated by the fact, that among other ways, it is possible to restrict a variable to two discrete values, e.g. the prototypical $0$ and $1$, via an optimization constraint:
...

**4**

votes

**2**answers

189 views

### Minimax theorem on a non convex domain

A minimax theorem is a theorem which states that under certain conditions on $\mathcal{X}$, $\mathcal{Y}$ and $f$:
$$ \inf_{x \in \mathcal{X}}{\sup_{y \in \mathcal{Y}}{f(x,y)}} = \sup_{y \in ...

**0**

votes

**1**answer

51 views

### generalization from linear programming solution [closed]

I have a series of similar linear programs that depend on an input vector $a\in A$ and whose solution is an output vector $b\in B$. I can solve them individually, but this is wasteful. I suspect that ...

**0**

votes

**1**answer

113 views

### Eigenvalues of a given parametrized matrix.

Let $\mathbf{A}$ and $\mathbf{B}$ be two complex rank-one $N\times N$ positive semi-definite matrices. Let the matrix $\mathbf{C}$ be defined as
\begin{align}
...

**0**

votes

**2**answers

98 views

### Union of linear inequalities cover whole space?

We have $n$ variables $a_0,a_1,\ldots,a_n$ such that $a_i\geq a_{i+1}$.
There are $k$ sets of linear inequality constraints on the $a_i$.
I need to check that any choice of $a_i$ satisfies at least ...

**1**

vote

**0**answers

141 views

### How to solve such an optimization problem efficiently？

Given a symmetric positive semi-definite matrix $\mathbf Y$ and a convex set $\mathcal M$ which is a subset of all symmetric positive semi-definite matrices (consider a simple case of $\mathcal M$： a ...

**2**

votes

**0**answers

135 views

### An optimization in Markov Chain

We are given two correlated random variables $V$ and $X$ supported over a finite alphabets $\mathcal{V}$ and $\mathcal{X}$. Suppose the marginal $P_V$ and conditional distribution $P_{X|V}$ are ...

**0**

votes

**1**answer

205 views

### Supremum in a Markov chain model

A Markov chain $X$ with finite state space $\{1,2,\cdots,N\}$ is defined on a probability space $(\Omega, P, \mathcal{F})$ equiped with filtration $\{\mathcal{F}_t\}$. And we assume that we can reach ...

**1**

vote

**0**answers

107 views

### Maximizing an integral over a convex region

Let $C$ denote a compact, convex region in the plane containing the origin with unit area, and let $f$ be a probability distribution on $C$. Let $f^\ast$ denote the distribution that maximizes the ...

**3**

votes

**2**answers

376 views

### Moreau-Yosida regularization in Banach spaces

For a seminar I am working on a Moreau-Yosida regularization in Banach spaces.
The regularization is defined by
$$f_\lambda(x) := \inf \left \{ \frac{\|x-y\|^2}{2\lambda} +f(y) : y \in X \right \}, ...

**1**

vote

**0**answers

41 views

### Discrete Optimal Control and Monotone Policies

Let $x = (x_1,x_2) \in \mathbb{N}^2$ be the state, $u$ be the control, and the dynamics be given by $x^{(k+1)} = f(x^{(k)}, u^{(k)}, w^{(k)})$ where $w^{(k)}$ is an IID noise source. For some stage ...

**1**

vote

**1**answer

106 views

### Kalman filter with long term bias

I was reading about the Kalman filter and I do not understand how it should be used when our measurements have a long term offset like GPS location updates do.
As I understand, the Kalman filter ...

**3**

votes

**0**answers

33 views

### Continuity of minimizer of a function with respect to another variable

Suppose the real function $f(w,X)=wg(X)+h(X)$ ($g$ and $h$ are other functions) is differentiable with respect to scalar $w$ and vector $X \in \mathbf{R}^m$ everywhere and $f$ is bounded below. What ...

**3**

votes

**2**answers

238 views

### Why eigenvectors optimize this orthogonally constrained nonlinear minimization problem?

Given a $p \times p$ positive definite matrix $\Sigma$, why eigenvectors of $\Sigma$, stacked as columns of a matrix $R \equiv [r_1 \, r_2 \, \ldots \, r_p]$, optimize the following orthogonally ...

**5**

votes

**3**answers

433 views

### Optimization problem on trace of rotated positive definite matrices

Given two $n \times n$ symmetric positive definite matrices $A$ and $B$, I am interested in solving the following optimization problem over $n \times n$ unitary matrices $R$:
$$
\mathrm{arg}\max_R ...

**1**

vote

**0**answers

95 views

### Forcing a set of complex points to be closed under conjugation

I am a PhD student and I have to address the optimization of a real scalar function of complex variables $f(z_1,z_2,\ldots,z_n)$. The function is real valued in my case because each complex $z_i$ ...

**3**

votes

**2**answers

184 views

### Generalized Moore Graphs

A generalized Moore graph - as defined by Cerf, Cowan, Mullin and Stanton - is one for which the girth G and diameter D satisfy G ≥ 2D - 1. These graphs retain many of the optimal properties of Moore ...

**4**

votes

**2**answers

419 views

### Simplified knapsack problem

There is a problem that I can not solve.
Given a set of items (each item has some integer weight) we have to fill bag with some number of copies of these items, with the only restriction that the ...

**3**

votes

**1**answer

215 views

### Fast algorithm for maximizing smallest eigenvalue of linear combination of hermitian matrices

I have an engineering back ground. Due to work, I came across this problem
\begin{align}
&\max_{\lambda,y_i\in \mathbb{R}}~\lambda \\\
...

**0**

votes

**1**answer

66 views

### About the suboptimality of linear estimators

Let $X$ be a random variable and $N$ a Gaussian noise independent from $X$. We observe $Y=X+N$ and want to estimate $X$ based on $Y$ to minimize the mean square error $mmse(X|Y):=E(\hat X(Y)-X)^2$.
...

**0**

votes

**0**answers

103 views

### Modifying a QP to incorporate more constraints

Consider the following problem:
$$\min \sum_{i=1}^n (Y_i - Z^{(i)})^2 \\
\text{subjected to}~ \epsilon_k^{\top}(X_j-X_k) \leq Z^{(j)}-Z^{(k)} ~ \forall k,j = 1 \ldots n. $$
where $\epsilon_1, ...

**1**

vote

**0**answers

74 views

### Maximum Principle with Banach Control Space

This is a problem that seems very natural to me, but I couldn't find any formal statement in the literature for some time now. I am basically considering an autonomous optimal control problem in ...

**0**

votes

**0**answers

154 views

### If $\phi_n$ is a sequence of mollifier converging to the identity, does $\inf f\ast \phi_n \to \inf f$?

Let $\phi_n$ be a sequence of mollifier converging to the identity
$$
\phi_n(x) \to \delta_{0}(x), \text{pointwise},
$$
with $\delta_{0}(\cdot)$ the delta function at zero, and $\phi_n \in ...

**2**

votes

**1**answer

207 views

### More than controlability: Speed of controllability!

Consider the continuous linear time-invariant system
$$
\begin{array}{l}
\dot{\mathbf{x}}(t) = A \mathbf{x}(t) + B \mathbf{u}(t)\\
\mathbf{y}(t) = C \mathbf{x}(t) + D \mathbf{u}(t)
...

**0**

votes

**1**answer

539 views

### eigen-decomposition solution? is it unique?

Assume an N*N covariance matrix (Q) which is a positive definite matrix. The decoder X is assumed to be N*s, where s<=N. X is calculated to be s eigenvectors corresponding to s minimum eigenvalues. ...

**3**

votes

**0**answers

213 views

### An optimization problem over real symmetric matrices

Given an $n\times s$ matrix $P$ of positive real numbers and $T\geq n$, find (either by a formula or an algorithm) the real symmetric $n\times n$ Z-matrix $A$ which maximizes $\min\limits_{1\leq ...

**2**

votes

**1**answer

172 views

### Upper bounds on the worst-case traveling salesman tours in the unit square

The paper [1] proves that, if we place $N$ points in the unit square, then the length $\ell$ of the euclidean TSP tour of those points must satisfy $$\ell \leq \sqrt{2N} + 7/4~~.$$ I'm wondering, can ...

**2**

votes

**1**answer

167 views

### optimization over positive semidefinite matrices

I wonder what is the most explicit characterization that can be given for the solution to the ($N$-dimensional) problem of maximizing the criterion
$$
-\textrm{trace}[AS^{-1}] - b^\top Sb
$$
over ...

**-2**

votes

**1**answer

145 views

### A kind of economic objective function in assignment

I recently thought about a concept that seems like it should come up in economics, but I don't know if there's a name for it and where people would have encountered it elsewhere: Suppose we have a ...

**2**

votes

**1**answer

54 views

### Stability of a stable systems with a converging input

Does the following hold?
Let $x=0$ be an equilibrium point for the system $\dot x(t)=f(x(t))$ and suppose the existence and uniqueness conditions of solutions on $[t_0, +\infty)$ are satisfied. If ...

**1**

vote

**1**answer

63 views

### On impulsive optimal control with functions of not bounded variation

I have the following optimal control problem
$$
J=\int_0^TF(t,y_1(t),y_2(t))dt \to \min,
$$
subject to
\begin{align}
&\dot y_1(t) = f(t,y_1(t),y_2(t)) + g(t)\nu(t),\\
&\dot y_2(t) = ...

**3**

votes

**1**answer

193 views

### Intuition on a certain class of quadratic optimization problems

Let $\mathcal{X} = \{\mathbf{X}\in\mathbb{C}^{d\times d}:\|\mathbf{X}\|\leq 1\}$, where $\|\cdot\|$ is the Frobenius norm. Let $\mathbf{y}\in\mathbb{C}^{d\times 1}$. We are familiar with the following ...

**1**

vote

**1**answer

239 views

### Semi Definite Relaxation for a Quadratic Feasibility Problem using CVX

Consider the following Semi-Definite Feasibility problem
\begin{align}
\max_{\mathbf{Z}}~0 \\\
\mathrm{trace}(\mathbf{Z})\leq \rho \\\
\mathrm{trace}(\mathbf{S}_1\mathbf{Z}) \geq \alpha \\\
...

**3**

votes

**1**answer

160 views

### Explicit formula for an LMI solution

Suppose we have a linear matrix inequality (aka LMI aka spectahedron aka linear matrix pencil):
$$A_{0}+x_{1}A_{1}+x_{2}A_{2}+\ldots+x_{m}A_{m} \succeq 0.$$
(The notation $X \succeq Y$ means that ...