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

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-1
votes
1answer
46 views

About the critical points of quasi-convex functions

What do we know about the structure of critical points of quasi-convex functions? I am looking for statements like "the critical points of a quasi-convex function are always either a global minima ...
0
votes
0answers
42 views

Conditions for supremum and conditional Expectation to commute

I am working with a continuous process $Y_t$ generating the filtration $(F_t)$ and have (for simplicity) two stopping times $\tau_1$ and $\tau_2$ such that $\tau_2 \leq \tau_1$ and $U:\Bbb R\...
3
votes
1answer
129 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 $\pi_1,\...
0
votes
0answers
14 views

Under which conditions discretization of convex\concave function is submodular?

Say, I have $f(x)$ with $x \in [0,1]$, then by discretization I mean $f(x_h)$ with $x_h \in \{0, h, 2h, \dots, 1\}$. I know about Lovasz extension, but it works in other way: given discrete function ...
2
votes
2answers
126 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 $| \cdot |$ ...
0
votes
0answers
38 views

optimize a Quadratic Matrix Programming with multi-spherical constraints

I have got the following quadratic problem restricted on the Cartesian product of Euclidean spheres. $\underset{X \in \mathbb{R}^{n\times 3}}{\text{min}}$ $Q(X) = \frac{1}{2} Tr(X^TA X) + Tr(B^T X)$ ...
0
votes
1answer
422 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 ...
2
votes
2answers
99 views

Fixed point iteration on symmetric biconvex function

Suppose $X\subseteq\mathbb{R}^n$ is a convex set and that a function $g(x,y):X\times X\rightarrow\mathbb{R}_+$ is smooth, "strictly biconvex" (strictly convex in $x$ and $y$ independently but not ...
1
vote
0answers
85 views

Optimal Control / Hamilton-Jacobi-Bellman Equation

I face the following optimal control problem: let $X=(X_{1},X_{2})^{\top}$ be a controlled (Ito-)process with dynamics $dX_{1}(t)=\big(X_{1}(t)\,\mu_{1} + a(t)\big)\;dt + X_{1}(t)\,\sigma_{1}\;dW_{1}(...
2
votes
1answer
73 views

Optimal control / Portoflio optimization: Maximize expected utility of total consumption

I came across a portoflio optimization problem, where I need to solve for optimal investment and consumption processes, such that the expected utility of total consumption and terminal wealth is ...
0
votes
1answer
94 views

Finding the right σ-algebra. Question on uncertainty related to the secretary problem

Assume a number of iid. items is presented and the task was to stop under the objective of picking the best item. In this setting it is relevant what is the distribution of the values of the ...
7
votes
5answers
1k views

Robust black box function minimization with extremely expensive cost function

There is an enormous amount of information about the common applied math problem of minimizing a function.. software packages, hundreds of books, research, etc. But I still have not found a good ...
2
votes
1answer
34 views

Edge-disjoint paths avoiding some subgraphs

Let $G$ be a directed graph on $n$ vertices. Let $H_1$, ..., $H_k$ be marked subgraphs of $G$. (Specifically, each $H_i$ consists of a subset of the vertices of $G$ and a subset of the edges of the ...
7
votes
5answers
1k 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 ...
2
votes
0answers
100 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 ...
6
votes
1answer
1k 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 ...
14
votes
4answers
483 views

Maximum of the Vandermonde determinant / minimum of the logarithmic energy

The problem is to find the asymptotics (as $n\to\infty$) of the maximum (say $M_n$) of the Vandermonde determinant $$V_n:=\prod_{0\le i<j\le n-1}(a_j-a_i) $$ over all $a_0,\dots,a_{n-1}$ such ...
2
votes
1answer
37 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 x_{...
8
votes
1answer
270 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 ...
5
votes
3answers
350 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 Euler-...
1
vote
0answers
72 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
32 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 ...
1
vote
1answer
177 views

Max Absolute Difference of Expectations under Change of Measure

Given a sample space $\Omega=\{ 1,\cdots,N \}$, a random variable $x$ defined on $\Omega$ that takes value $x_1,\cdots,x_N$, and a set of strictly positive real numbers $w_1,\cdots,w_N$. Define for ...
0
votes
0answers
68 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 ...
1
vote
1answer
193 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 ...
0
votes
0answers
51 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 ...
1
vote
0answers
57 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 $Q_1{...
3
votes
1answer
136 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 ...
9
votes
4answers
541 views

The distribution of the shortest path through $n$ points

In the big picture, I'd like to know: if I sample $n$ points uniformly at random in the unit square, what is the probability that the shortest path that visits each one of them is very small? More ...
0
votes
0answers
52 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 ...
0
votes
1answer
101 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 ...
1
vote
1answer
45 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
29 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 _{i}<=1$...
0
votes
0answers
65 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 $s \in[0,T]$ ...
2
votes
2answers
186 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 V\ \...
10
votes
2answers
291 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 ...
0
votes
0answers
27 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 ...
4
votes
1answer
298 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
90 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
0answers
19 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 ...
11
votes
4answers
4k views

“You can't push a rope” [closed]

"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 ...
0
votes
0answers
23 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 ...
0
votes
0answers
21 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} ...
0
votes
0answers
48 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 ...
4
votes
0answers
201 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 ...
1
vote
0answers
21 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
52 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 ...
3
votes
1answer
373 views

A min-max formula for depth of the origin in a convex set

Depth is defined as the distance to the boundary of a set, i.e., $\operatorname{depth}(x, C) = \operatorname{dist}(x, \mathbb{R}^n \backslash C)$. Let $C$ be a convex set that contains the origin. I ...
1
vote
0answers
32 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 \...