**1**

vote

**1**answer

246 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

161 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 ...

**3**

votes

**3**answers

442 views

### A NICE necessary and sufficient condition on positive semi-definiteness of a matrix with a special structure!

Let
$$
A =
\begin{pmatrix}
\sum_{j\ne 1}a_{1j} & -a_{12} & \cdots & -a_{1n}\\
-a_{21} & \sum_{j\ne 2}a_{2j} & \cdots & -a_{2n}\\
\vdots & \vdots & \ddots & ...

**4**

votes

**2**answers

146 views

### A certain type of constrained Rayleigh-Ritz ratio

Let $\mathbf{A_1}$ and $\mathbf{A_2}$ be two hermitian matrices. Consider the problem
\begin{align}
\max_{\mathbf{u}^H\mathbf{u}=1}~\mathbf{u}^H\mathbf{A}_1\mathbf{u} \\\
...

**0**

votes

**1**answer

283 views

### Anyone has Kushner's book “Introduction to stochastic control” 1971? I need a theorem from it

In a paper I'm reading, it refers to Theorem 8, Page 217 of the book
"Introduction to Stochastic Control" H. J. Kushner, New York: Holt, Reinhart, and Winston 1971. Unfortunately I don't have it and ...

**3**

votes

**0**answers

101 views

### Copositivity in matrix pencils

Given two square symmetric matrices $A,B$ of the same order, the matrix pencil $P(A,B)$ is the set of linear combinations of $A$ and $B$. Finsler's theorem gives an elegant criterion for $P(A,B)$ to ...

**4**

votes

**0**answers

136 views

### Are there some numerical test to check if a map is a contraction?

Let's say I have a multivariate function
$$
f:D \to D, D \subset \mathbb R ^n, D \text{ compact},
$$
for which there is no closed form.
That is the only way to evaluate the function is to do it ...

**2**

votes

**0**answers

249 views

### minimize a cost function with matrix traces

Hi, I have a cost function of the form
$$F(X) = \operatorname{tr}(X'AX)+\operatorname{tr}(X'B),\quad\textrm{ s.t. }X'X=I.$$
$X$ is a $m\times n$ matrix, ($m>n$), with orthonormal columns. $A$ is ...

**-1**

votes

**1**answer

138 views

### Regularized Gradient with respect to a matrix (with a specific structure)

Suppose we have a typical logdet function $\mathcal{L}$
$$
\mathcal{L} = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\mathbf{A}^{-1} + \mathbf{S})^{-1} \mathbf{q},
$$
where ...

**3**

votes

**1**answer

230 views

### Delta-convex functions and inner products

A delta-convex (d.c.) function is one which can be written as the difference of two convex functions.
The space of d.c. functions includes all C2 functions, and is interesting because it allows many ...

**2**

votes

**0**answers

174 views

### Tools for “infinite-dimensional linear programming”

I was wondering, whether you could point me to some tools with which I could tackle the following "infinite-dimensional linear programming" problem:
Notation:
$a=1,2,\ldots, A$, ...

**0**

votes

**1**answer

256 views

### solve non-convex quadratic constrained quadratic programming

$\min_{\beta}\beta^{T} A \beta$
$s.t. \ \beta^{T} C \beta=1\ and\ \beta\geqslant 0$
Here $A,C\in \mathbb{R}^{M\times M}$, $\beta \in \mathbb{R}^{M}$
I saw in one paper saying that it could be ...

**2**

votes

**1**answer

350 views

### How to maximize the determinant of a matrix of the form VDV^H

Hi,
I have a matrix of the form $A=VDV^H$,
where $V$ is a $M \times 2M$ complex matrix, $D$ is a $2M \times 2M$ diagonal real matrix, thus the dimension of $A$ is $M \times M$.
My problem is how ...

**1**

vote

**2**answers

211 views

### On a version of gradient descent

I am trying to read this paper and have gotten stuck. The author considers the problem of minimizing a convex function whose gradient has Lipschitz constant $M$ and considers the scheme
$$ x(t+1) = ...

**-1**

votes

**1**answer

148 views

### To what equal constant in the Gibbs lemma

The Gibbs lemma is broadly used in games theory and in mathematical economics (optimal distributions of resourses, Cournot competition e.t.c.). Here it is:
Lemma (Gibbs). $f_1,f_2,\ldots,f_n$ be ...

**1**

vote

**0**answers

358 views

### A detail in the proof of the Motzkin-Straus theorem

The Motzkin-Straus theorem says that the global optimum of the quadratic program
$$\max f(x)=\frac{1}{2} x^{t}Ax,\qquad \mbox{ subject to }\sum x_{i}=1 \mbox{ and } x_{i}\geq 0,$$ where $A$ is the ...

**0**

votes

**0**answers

216 views

### A tricky optimization problem over matrices

Hi
I have the following problem whose solution has lured me for some months now....
All matrices are complex $N\times N$.
Let $A$ be a positive definite matrix with all eigenvalues strictly smaller ...

**1**

vote

**0**answers

90 views

### null controllability of linear wave equation

Consider the linear wave equation :
$$z_{tt}=\Delta z + k(x) z + h(t) , \; in \; \Omega\times (0,T)$$
Are there sufficient conditions on the functions $k(x)$ and $h(t)$ for which $(z,z_t)$ vanish ...

**2**

votes

**0**answers

273 views

### Incremental minimum spanning tree

Given a connected graph $G=(V,E)$ with a weight function $w:E\to\mathbb{R}$ and a subset $E_0\subseteq E$ such that the subgraph $(V,E_0)$ is connected, I am looking for a sequence $E_0\subseteq ...

**2**

votes

**0**answers

88 views

### A Conjecture related to minimization of product of determinants over permutations

Hi
I have the following problem (and a conjecture which holds in Matlab).
Given an $N\times N$ matrix $H$, represent it by its $2N\times 2N$ real-valued representation (which I will also denote by ...

**2**

votes

**0**answers

149 views

### Quadratic optimization with parameter in constraint

Disclaimer: I posted the same question on math.stackexchange. However, the FAQ suggests to post research-level questions in this forum.
Question: Given a function $q: \mathbb R^{N\times N}\mapsto ...

**1**

vote

**0**answers

57 views

### strong stability for the wave equation

Consider the $n-$dimensional wave equation
$$z_{tt}=\Delta z + k(x) z - \epsilon {1}_\omega z_t, \; in \; \Omega\times (0,T)$$
where $\omega\subset \Omega.$ Can I have $z(t) \to 0,$ as $t\to+\infty$ ...

**1**

vote

**0**answers

97 views

### Compactness of the set of solutions to an ODE

I am interested in optimal control problems with state constraints in the form of
ordinary differential equations given by
$\dot{x} = f(x,p), \quad t \in [0,T], \quad x(0) = x_{0}, \quad p \in K$,
...

**0**

votes

**1**answer

68 views

### Representation of all pass transfer functions/inner functions as Blaschke product.

What is the proof for: 'An all pass transfer function/inner function can be represented by a Blaschke Product' ?

**1**

vote

**1**answer

123 views

### Control a linear system to the kernal space of the output matrix.

Consider the following controllable and observable linear system
$$\dot x=Ax+Bu, y=Cx,$$
where $x\in \mathbb{R}^n, u\in \mathbb{R}^m, y\in \mathbb{R}^p$.
The observability of $(A,C)$ ...

**2**

votes

**0**answers

72 views

### Approximating solutions to minima of the discrete Lagrangian

I have been stuck on this problem for a week and I'm not sure whether or not it is hard or I'm just missing something obvious.
General gist of the problem
I have a variational problem on a ...

**1**

vote

**2**answers

157 views

### What is the dual of an semidefinitely representable (SDR) cone?

The Question
Let $V\simeq \mathbb{R}^r$ be an $r$-dimensional vector space with the usual Euclidean inner product.
Let $\mathcal K\subset V$ be a cone defined as
$$
\mathcal K=\Big\{x\in ...

**3**

votes

**0**answers

103 views

### Multiple Number Partitioning / “Multiprocessor Scheduling”

Consider the well-known Number Partitioning / "Multiprocessor Scheduling Problem": You want to partition a set $S$ of objects (jobs) $i$ with weights $w_i$ (process time) into subsets $S_k$ (e.g. ...

**2**

votes

**1**answer

87 views

### Maximal probability of “infinitely often” over MDP

Let us consider a Markov Decision Process (MDP) with a Borel state space $X$. Often, the optimization problems over MDP involve optimization of some objectives dependent on the reward function
$$
...

**4**

votes

**0**answers

75 views

### Sufficiency of stationary policy for negative stochastic dynamic programming

Consider a Markov Decision Process with Borel state space $X$ and Borel action space $U$, like the one defined in the book "Stochastic Optimal Control: Discrete-time case" by Bertsekas and Shreve. All ...

**0**

votes

**1**answer

90 views

### Avoiding epsilon in mixed integer linear and quadratically constrained programs

I would like to represent the following constraint as MILP constraint where $x \in [a, b]$ with fixed $a, b \in \mathbb{R}$ and $y \in \lbrace 0, 1 \rbrace$.
$(x = 0 \wedge y = 1) \vee (x \neq 0 ...

**3**

votes

**1**answer

571 views

### Symplectic block-diagonalization of a real symmetric Hamiltonian matrix

Given a $2n\times 2n$ real, symmetric, Hamiltonian matrix $W$ (anticommutes with the symplectic metric), is there an orthogonal, symplectic matrix $R$ such that $R^\top WR$ is block-diagonal?
Being ...

**6**

votes

**1**answer

244 views

### Generalization of the equilateral triangle?

I consider points in the two-dimensional plane.
An equilateral triangle is a set of three points in the plane which are equidistant.
Suppose now I have $n$ points $x_1,...,x_n$. What is the ...

**1**

vote

**1**answer

352 views

### for what arguments the function reaches maximum?

Hi,
What is the maximum of the following function?:
$f(x_i,w_i)=\frac { \sum w_i}{ \sum \frac {w_i}{x_i} } - \frac{ 1 - \prod \left ( 1 - w_{i}\right )}{ 1 - \prod \left ( 1 - \frac{w_{i}}{ ...

**3**

votes

**1**answer

190 views

### Optimal Control

Consider the optimal control problem with an optimal trajectory $x^*(t)$ and an initial point $(x_1^0,x_2^0)$
\begin{equation}
\begin{split}
\dot{x}=A x + Bu
\\\
J=\int^\infty_0(x_2^2+\epsilon u^2)dt
...

**4**

votes

**2**answers

232 views

### Riemannian metric on a space of “not-quite-smooth” (hyper)surfaces?

Apologies if the title's a bit vague; I'll try to explain everything below, and please let me know if I should clarify anything.
I've been looking for a while at variational problems on polytopes. ...

**2**

votes

**1**answer

145 views

### Upper bound concerning Snell envelope

Consider, on a filtred probability space $ \left (\Omega, \mathcal F, \mathbb F , \mathbb P \right )$ where $ \mathbb F = \left(\mathcal F_ t \right )_ {t\geq 0}$ is filtration satisfying the usuual ...

**7**

votes

**1**answer

307 views

### Probability density that minimizes the sample range

Let $\mathcal{F}$ denote the set of all "concave probability distributions" on the unit interval, that is, all functions $f:[0,1]\to \mathbb{R}$ such that $f$ is concave, $f(x)\geq 0$ for all $x\in ...

**3**

votes

**1**answer

622 views

### Difference between 'generalized gradient' and 'subgradient' ?

Hi, I am wondering what the difference between 'generalized gradient' and 'subgradient' of a (potentially non-differentiable) convex function 'f' is.
The generalized gradient I am interested in is ...

**2**

votes

**1**answer

67 views

### (A)periodicity and (In)dependence on the boundary condition for optimization problem related to ODE

The question is pair to MO117505 and translates some problem on error-correction codes to similar problem about differential operators. (See also If “force” is periodic does it imply “velocity” is ...

**3**

votes

**2**answers

369 views

### Minimum eigenvalue of a Affine Combination of two Hermitian matrices

Consider two $N \times N$ hermitian indefinite matrices $A_1$ and $A_2$. Consider their affine combination
\begin{align}
M(t)=(1-t)A_1+tA_2
\end{align}
I am interested in the minimum eigenvalue of ...

**0**

votes

**0**answers

99 views

### maximum of the sum of polynomials

Hi
I have $n$ polynomials, each one is positive over a certain range and the maximum value each can attain is 1. Also each polynomial has atmost one peak(maximum). Is there some way that I can show ...

**3**

votes

**1**answer

243 views

### If “force” is periodic does it imply “velocity” is periodic ? (or decoding tail-bited conv. codes)

I'll try to translate certain problem about convolutional codes to more common language of ODE, hope my translation is correct, but welcome to criticize.
Consider two given functions periodic ...

**1**

vote

**1**answer

75 views

### Numerical optimisation for multivariate Gaussians

Hi,
I want to calculate
$
f_{\mathbf x}(x_1,\ldots,x_k)\, =
\frac{1}{(2\pi)^{k/2}|\boldsymbol\Sigma|^{1/2}}
\exp\left(-\frac{1}{2}({\mathbf x}-{\boldsymbol\mu})^T{\boldsymbol\Sigma}^{-1}({\mathbf ...

**6**

votes

**0**answers

145 views

### Numerical linear algebra: how to compute $B^TC^{−1}B$ efficiently

Hi,
my question is similar to this one. I have to compute $B^TC^{−1}B$, where $C$ is a strictly positive definite $n\times n$ matrix and $B$ is $n\times m$.
The matrix $C$ is huge ($n$ up to a ...

**2**

votes

**1**answer

123 views

### Rayleight Ritz Ratio and smallest eigenvalue for a set of given matrices

I am familiar with Rayleigh Ritz Ratio for hermitian matrices. Let $A_1$ be a given $N \times N$ hermitian matrix. Then the smallest eigenvalue of $A_1$ is given by
\begin{align}
...

**2**

votes

**1**answer

229 views

### An optimization problem, non complete bipartite graph and hungarian algorithm

I have two tables at my disposal, one work dataset and one reference dataset. Each dataset has got two columns, lets say these are fields A and B. I would like the rows in reference dataset with the ...

**5**

votes

**1**answer

310 views

### Solve equation with matrix variable

I want to solve a matrix $\Omega$ from a equation $\sum_k (\Omega + \Theta_k)^{-1} = Q$. The $Q$ and $\Theta, \forall k=1...K$ are known, and are positive definite matrices. $\Omega$ also has to be ...

**0**

votes

**1**answer

258 views

### Is unconstrained integer convex optimization problem NP-hard?

Does anyone know a reference to the answer if unconstrained integer convex optimization problem (i.e. $\min_{x\in \mathbb{Z}^N} F(x)$, $F$ is convex and $N$ is NOT fixed) is NP-hard?
Thank you in ...

**2**

votes

**1**answer

957 views

### Choice of Lipschitz constant for proximal gradient optimization

I'm trying to use proximal gradient methods (Forward-Backwards Splitting and FISTA) to minimize a function
$f(B) = \frac{1}{2}|| XB - Y||_F^2 + \frac{\gamma}{2}||B C^T||_F^2$, where $X \in ...