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

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1
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1answer
213 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
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0answers
136 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
237 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
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2answers
617 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
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2answers
96 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
94 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
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1answer
197 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}) = ...
5
votes
3answers
443 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
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2answers
498 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
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1answer
151 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
106 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
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1answer
171 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
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1answer
445 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
219 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 ...
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1answer
2k views

“You can't push a rope”

"You can't push a rope" is a wisdom saying that some engineering teachers pass along to their students. Since I'm not an engineer, I can only guess at what they mean, but it sounds to me like code ...
4
votes
1answer
270 views

Going in the direction of the gradient

First, a motivating example. Suppose $f(x)$ is convex, differentiable, with a single minimum $x^*$. Then the differential equation $$\dot{x}(t) = -\nabla f(x(t))$$ drives $x(t)$ to $x^*$. Now my ...
4
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0answers
117 views

Convexified threshold of a function

Upd. The question in a nutshell: find convex set on plane which is «closest» to a given non-convex set. It is given integrable function $0\leq f(x,y)\leq 1$ with bounded support: $f(x,y)=0$ when ...
5
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1answer
216 views

A Lagrangian problem with a countable family of local extrema ?

Dear MO contributors, let $r > 0, L > 0$. I am interested in maximizing the integral: $$ \int_0^{2\pi} \frac{f(\alpha)^2 f'(\alpha)^2}{\sqrt{f(\alpha)^2 + f'(\alpha)^2}} \ \mathrm{d} \alpha $$ ...
0
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0answers
135 views

Differentiability of minimax objective function with respect to a decision variable

I have the following optimization problem: $$\text{find } x= \min_{a} \max_{\lambda\in\Lambda} |R(h\lambda)|$$ where $\Lambda$ is some finite, fixed set of complex numbers and $R(z)$ is a ...
2
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2answers
204 views

Equitable division of a contiguous resource

I have come across the following result regarding equitable division of a resource, which is a simple and immediate consequence of linear programming complementarity (in the infinite-dimensional ...
4
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0answers
218 views

Geometric applications of Ekeland's variational principle

I'm looking for geometric applications of Ekeland's variational principle in order to see it at work in a context I'm familiar with. Let me recall the principle itself: Definition. Let $(X,d)$ be a ...
11
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3answers
462 views

finding the most-isolated point in a high-dimensional cube

I have a set of points {$x_1,\ldots,x_n$} located in the d-dimensional unit cube $[0,1]^d$. $n$ is about 1000 and $d$ is about 25. I'd like to find $\max_{\omega\in [0,1]^d}\min_{i=1,\ldots,n} ...
1
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3answers
1k views

How to get the largest subset of a set of sets of intervals with no overlapping intervals

Given: Set of Set of Intervals. Example {{(1,2), (3,4)}, {(1, 3)}, {(13,14)}} Wanted Result: Largest Subset, in which no Interval overlaps with another from every Set pairwise. Example: Input ...
2
votes
2answers
305 views

My overdetermined linear system gives both bad and good estimates. Why ?

Hello to everyone. What the question means is that different ways of expressing the same relation between the data and unknown variables produce really weird fit results: The problem: I have the ...
0
votes
1answer
238 views

Is it known that every PDF continuous in all $R^n$ has a maximum? [closed]

I'm working with maximum a posteriori estimation and managed to show that every probability density function that is continuous in all $R^n$ always has at least one global maximum. I've search around ...
10
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1answer
232 views

Network flows with capacities on pairs of edges

Take a standard network flow problem: a directed graph with nonnegative capacities on each edge, a source $s$, a sink $t$. We all know how to find the maximum flow from $s$ to $t$. Now add edge-pair ...
1
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1answer
128 views

Nonlinearly constrained optimization (quadratic)

Hi all -- what would be good methods (and/or software packages) to try for solving a problem minimizing a quadratic function $f(x) = \sum_{i=1}^N{(x_i - y_i)^2}$, where some constraints are non-linear ...
2
votes
1answer
131 views

Proving that a constructed curve solves an optimization problem

Caveat up-front: I'm not a mathematician, so please excuse any stupidity/ignorance that follows. First, let me explain what I'm trying to do: I want to choose a function that maximizes the following ...
23
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0answers
743 views

Optimization problem arising from the study of zeta zeros

Motivation: The following problem arose in [1] while studying the vertical distribution of the zeros of the Riemann zeta-function. At the time, my collaborators and I were unable to solve it and I ...
4
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1answer
231 views

An optimization involving (random) graphs

Suppose we have a graph on $n$ nodes. We would like to assign to each node either a $+1$ or a $-1$. Call this a configuration $\sigma \in \{+1,-1\}^n$. The number of $+1$s that we have to assign is ...
1
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1answer
160 views

Covering max flow arcs by arc disjoint paths

Let $(N,A,s,t,u)$ be a network with node set $N$, arc set $A$, source $s\in N$, sink $t\in N$ and capacity vector $u\in\{1,2,\ldots,T\}^A$, and let $x=(x_a)_{a\in A}$ be a maximum $(s,t)$-flow. Is it ...
2
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0answers
191 views

Copositive matrix?

I want to check under what conditions a matrix of the form $\alpha J -Q$ is copositive, where $J$ is the all-ones matrix and $Q$ is doubly nonegative (i.e. entrywise nonnegative and positive ...
2
votes
1answer
147 views

Lipshitz Constant of the convex extension of a submodular function

The title says it all :) Given a submodular function (take the rank function of a matroid, for a concrete example) $f:\{0,1\}^n\rightarrow \mathbb{R}$, we can extend it to a convex function ...
0
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0answers
196 views

A question regarding Danskin's theorem

Suppose $\phi({\bf x},{\bf z})$ is a continuous function of two arguments, $\phi: {\mathbb R}^N \times Z \rightarrow {\mathbb R}$, where $Z \subset {\mathbb R}^m$ is a (non-empty) compact convex ...
0
votes
1answer
216 views

Constrained Optimization: Matrix Inverse in Objective/Constraints?

Made a crucial mistake in the problem formulation; please delete.
7
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2answers
388 views

Eigencircles of n x n matrices?

An eigenvalue of a 2 x 2 matrix satisfies the equation $$ \left(\begin{array}{cc} a & b \\\\ c & d \end{array} \right)\left( \begin{array}{c} x \\\\ y \end{array}\right) = \lambda \left( ...
1
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1answer
201 views

f_n(x,p) converge uniformly to nice f(x,p); do zeros of f_n(.,p) converge uniformly to zeros of f(.,p)?

Fix compact intervals $X, P \subseteq \mathbb{R}$. Let $f_n : X \times P \to \mathbb{R}$ be a sequence of $C^2$ functions converging uniformly to a $C^2$ function $f$. The first and second ...
1
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1answer
208 views

Solving a QCQP problem with sparse regularization

I want to solve the follong QCQP problem: $$ \mbox{Minimize}\quad\beta^TA\beta+\mu\Omega(\beta)$$ $$ \mbox{s.t.}\quad\beta^TB\beta=1 \quad\mbox{and}\quad\beta\ge0 $$ where $A$ and $B$ are both ...
1
vote
2answers
302 views

Sherali-Adams relaxation

I am trying to find a book or a paper, which explains, how and why the Sherali-Adams relaxation method works. The original paper (1990) is difficult for me to understand. I need a more basic ...
0
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3answers
747 views

Solving a non-convex quadratically constrained quadratic program

I have the following quadratic optimization problem: $\min_{\vec{x}} |\vec{x}|^2$ subject to $\vec{x}^T G_j \vec{x} \geq 1$, $j = 1 \ldots m$, where the $G_j$ are positive semidefinite. $|\vec{x}|$ is ...
7
votes
2answers
342 views

More general form of inequality?

I have proved a simple Lemma that I need for a larger result, and I was wondering whether it is actually another more famous result in disguise. The lemma says that for any set of vectors in ...
3
votes
0answers
141 views

stochastic control / geometric mean

Consider the following problem: Given $\Omega$ and $U$ two symmetric definite positive matrices, choose a matrix $K$ to minimize the expectation $x' \Omega x + x'K'UKx$ when $x$ follows the invariant ...
2
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1answer
121 views

Maximizing positive definite quadratic using the eigendecompoisition

Consider the problem: $\textrm{max}\;\; x^T Q x$ subject to $||x||_\infty \leq 1$, where $Q$ is a positive definite matrix. I believe this problem is NP-hard (although I have only found hardness ...
1
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1answer
279 views

conjugate function for matrix mixed norm

I am familiar with the conjugate function of the vector norm, which uses the concept of dual norm and is defined as follows: ...
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0answers
211 views

Matrix conditions under which spectral radius is smaller than 1?

Hello everyone, I would like to find out which conditions are necessary so that the spectral radius $\rho(M)<1$ where $M$ represents the following matrix: $M = \left( \begin{array}{ccc} W & 0 ...
5
votes
5answers
2k views

Is that true all the convex optimization problems can be solved in polynomial time using interior-point algorithms

Just a new guy in optimization. Is that true all the convex optimization problems can be solved in polynomial time using interior-point algorithms?
2
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1answer
213 views

Generalized unique nearest point problem for a compact, convex set in a strictly convex Banach space.

If $X$ is a Real Banach space with strictly convex norm, it is known that for any non-empty compact, convex set $K$ and point $x_0\notin K$, there exists a unique point $z_0\in K$ minimizing the ...
1
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1answer
248 views

Projection onto a quadratic cone?

Consider a constraint of the form $$ f(x) := x^T A x = 0 $$ where $A \in \mathbb{R}^n$ is symmetric but may be singular and indefinite. The constraint set $C$ is a (nonconvex) cone, since for any ...
2
votes
1answer
354 views

faces of a polytope

Let $a_1,a_2,..,a_n\in\mathbb{R}^m$, $n>m$ and the points are in general position meaning, no hyperplane contains more than $m$ points. Define a polyhedron $$P=\{x\in\mathbb{R}^m:a_1'x\leq0, ...
1
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1answer
130 views

optimization related to sdp

I have the dual solution of an sdp problem and strong duality hold in this case, I have the dual feasible solutions . From the Dual feasible solutions can i get the primal feasible solution?