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

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89 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
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0answers
213 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
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0answers
85 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
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0answers
139 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
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0answers
54 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 $t\to+\infty$ ...
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0answers
92 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 $\dot{x} = f(x,p), \quad t \in [0,T], \quad x(0) = x_{0}, \quad p \in K$, ...
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1answer
62 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' ?
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1answer
114 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
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0answers
64 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
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2answers
148 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
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0answers
100 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
1answer
84 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
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0answers
69 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
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1answer
87 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
1answer
475 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
1answer
239 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
1answer
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}}{ ...
2
votes
1answer
180 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 ...
3
votes
1answer
192 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
1answer
137 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
1answer
302 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
1answer
408 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
1answer
65 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
2answers
289 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
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0answers
98 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
1answer
242 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
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1answer
74 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 ...
5
votes
0answers
140 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
1answer
119 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
1answer
198 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
1answer
303 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
1answer
225 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
1answer
713 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 ...
3
votes
0answers
174 views

An S-lemma for polynomials of degree 4 in three variables

Might the following be true: Let $p,q\in\mathbb{R}[x,y,z]$ be homogeneous polynomials, with $\deg(p)\leq 4$ and $\deg(q)= 2$. Suppose $q(x,y,z)>0$ for some $x,y,z\in\mathbb{R}$. Then the ...
5
votes
2answers
256 views

Simultaneous maximization of two Generalized Rayleigh Ritz Ratios

Consider hermitian positive semi-definite matrices $A_1$ and $A_2$. Consider also positive definite matrices $B_1$ and $B_2$. I want to maximize the minimum of the two Generalized Rayleigh Ritz ratios ...
0
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0answers
144 views

Stochastic optimal control with no diffusion

Classical stochastic optimal control problem is to minimize functional $$ J(u) = \mathbf E \int_0^T f(t,x_t,u_t)dt, \tag{1} $$ subject to SDE $$ dx_t = b(t,x_t,u_t)dt + \sigma(t,x_t,u_t)dW_t, \quad ...
1
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1answer
258 views

Can you maximize the spectral norm of a matrix in a semidefinite program?

Consider the following optimization problem: Maximize $||X||$, subject to $X$ being Hermitian (or symmetric, if you prefer) and a bunch of semidefinite constraints on $X$. I want to know if this can ...
2
votes
0answers
144 views

Honeycomb-type properties of the Delaunay triangulation and Voronoi diagram

Suppose I'd like to distribute a set of points $P=\lbrace p_1 ,\dots, p_n \rbrace$ in the unit square $S=[0,1]\times[0,1]$ to minimize a weighted sum of two things: 1) The average distance between a ...
5
votes
2answers
260 views

relation between solution of a linear program and its perturbation

I have a linear program over a finite set of points $(x_1, x_2,\ldots, x_m)\in\mathbb{R}^n$: $$ \max_j c' x_j $$ Suppose the solution of this LP is obtained at a point $x_{j_1}$, which is a vertex ...
1
vote
2answers
746 views

When do maximum and expectation commute?

Hi, I'm looking for conditions on $G(t,x)$ such that $$ \sup\limits_{t\in [0,1]}E[G(t,X)]=E[\sup\limits_{t\in [0,1]}G(t,X)] $$ where $X$ is a random variable (it's easy to see that $\sup\limits_{t\in ...
2
votes
2answers
99 views

Worst-case nearest-neighbor distances between regions

Suppose that $S_1,\dots,S_n$ is a collection of disjoint shapes in the plane, and let $\mathcal{X}$ denote the set of all $n$-tuples of points $\lbrace x_1,\dots,x_n\rbrace$ such that $x_i\in S_i$ for ...
0
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0answers
99 views

Reference Request (semidefinite relaxation)

Considering the semidefinite relaxation technique where a quadratic program is relaxed by the full-rank semidefinite programming. This is, $x^TQx$ now reads as Tr$(XQ)$ without any rank constraint in ...
2
votes
1answer
202 views

Best constant in a convex polynomial inequality.

Let $\phi(x)$ be a convex polynomial of degree $m$ at least two. Note that for $x,q \in \mathbb{R}$ $$\phi(x) + \phi(q) - 2\phi(\frac{x+q}{2}) = ...
6
votes
4answers
572 views

solving Lyapunov-like equation

The following matrix equation might be a Lyapunov-like equation, but it seems hard for me to develop a simpler way to solve it. From the computation effort, I need some help for solving the special ...
5
votes
2answers
509 views

Gandhi's quote formalized [closed]

Hello, I hope this question is appropriate for Mathoverflow. Gandhi said, "Be the change that you wish to see in the world". I don't understand anything in Game/optimization theory (I don't know ...
0
votes
1answer
159 views

(probably simple) optimization question

Suppose you have a concave function defined over a non-polyhedral convex cone and you are interested in the infimum. What would be standard approaches to tackle the question? (The cone is actually PSD ...
1
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2answers
107 views

LP/QP with not-so-constant linear constaints

I have an otherwise standard LP or PSD QP problem as below: $\min\limits_x {c}' x$ subject to $Ax\leq b$ or $\min\limits_x \frac{1}{2}{x}' Qx + {c}' x$ subject to $Ax\leq b$ the only exception ...
2
votes
1answer
174 views

A Function with Exactly $k$ Minima in a Bounded Space

Is it possible to have a function with the following properties? (i) The function maps a bounded $n$-dimensional space $\mathcal{X}$ (say $\left[0,1\right]^n$) onto a bounded interval $\mathcal{Y}$ ...
1
vote
1answer
468 views

Solutions to Heat Equations with Obstacles!

Consider a closed Riemannian manifold $(M,g)$ and a positive function $\psi: M \to R$. Fix a point $p \in M$, I have been struggling to construct a solution to the heat equation, $\partial_t u = ...
4
votes
1answer
220 views

Minimizing action squared versus action

I have a very basic question in the calculus of variations: Suppose I want to minimize the functional $$A[r, r'] = \int_\Omega L(r, r') dx $$ When is it possible to say that extremals of $A$ agree ...