**1**

vote

**0**answers

19 views

### Optimization of a multilinear function over a product of hypersimplices

Let $P = \Delta_1 \times \cdots \times \Delta_N$ be the Cartesian product of $N$ hypersimplices. Let $f : P \to \mathbb{R}$ be a multilinear function of $N$ variables, ie $x_i \mapsto f(x_1, \ldots, ...

**0**

votes

**0**answers

27 views

### Upper bound a function

The problem is of finding the maximum of the following function (in terms of i)
$\ f_i = \frac{(2m-i) \cdot i}{2 b} \ln(b) - \tfrac{1}{2} i \ln(i) +O(i) $
providing $\ 0<b \leq m, 0<i \leq m ...

**1**

vote

**1**answer

33 views

### What's the most efficient way to solve this euclidean projection on non-negative affine space constraint?

I've come across this convex optimization problem in my research where I need to project a matrix $X_0$ onto a non-negative affine space constraint and box constraints. Concretely,
$X \in ...

**2**

votes

**1**answer

156 views

### Necessary conditions for optimality in Banach spaces

Let $X$ denote the non-negative "orthant" of the Banach space $L^2$ (or whatever you call the set of functions in $L^2$ that are non-negative), and let $C$ be a closed, convex subset of $X$. Let $f$ ...

**2**

votes

**2**answers

231 views

### Solving a matrix equation $X=c \cdot AXA' +I$ with a diagonal corrections

I am now struggling to solve the matrix $X \in R^{n \times n}$ in the following equation:
$X=c \cdot AXA' - diag(c \cdot AXA')+ I$,
where
(1) $A \in R^{n \times n}$ is a given matrix whose element ...

**0**

votes

**0**answers

67 views

### Lagrange Multipliers for linear functionals

Say I have a Banach-space $X$ and linear (!) functionals $f,g$, and I'm trying to solve the constrained optimization problem
$$max~f(x)\quad s.t.~g(x)= 0,~\Vert x\Vert\le 1.$$
Suppose I can show ...

**1**

vote

**0**answers

24 views

### Theorems on stochastic Lyapunov function

Let $X_n$ be a sequence of random variables such that
$$P(X_{n+1} \in A|X_m,x_m,m\leq n)= \int_A p(dw|X_n,x_n)$$
It is called a controlled Markov process.
Now, suppose there exist $\epsilon_0$, ...

**3**

votes

**3**answers

2k views

### Maximum flow with negative capacities?

I'm trying to compute an (s-t) maximum flow through a network which includes a number of arc pairs ((u,v), (v,u)) that have equal, negative capacities (weights). I'm not aware of any efficient ...

**0**

votes

**1**answer

149 views

### A problem about a matrix norm on $\mathfrak{su}(4)$

Given a fixed $B \in \mathfrak{su}(4)$ is it possible to solve for $F$:
$\sigma^{\text{max}}\left(\frac{A}{F(A)} + B \right) = 1$, $\forall A \in \mathfrak{su}(4)$. A theorem in ...

**3**

votes

**1**answer

404 views

### Do upper-semicontinuous polyhedral multifunctions have Lipschitz continuous selections?

We are interested in the following question (definitions and references are given below):
Main Question: Given an upper-semicontinuous polyhedral multifunction $F:R^n \rightarrow R^m$, is there ...

**1**

vote

**1**answer

511 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 ...

**30**

votes

**1**answer

1k 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 ...

**0**

votes

**1**answer

199 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 ...

**0**

votes

**1**answer

511 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. ...

**8**

votes

**7**answers

2k views

### How do I approach Optimal Control?

Other than learning basic calculus, I don't really have an advanced background. I was curious to learn about Optimal Control (the theory that involves, bang-bang, Potryagin's Maximum Principle etc.) ...

**3**

votes

**0**answers

100 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 ...

**2**

votes

**1**answer

863 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

**1**answer

102 views

### A difficult combinatorial optimization problem

Let $\mathcal{J}$ be a closed, bounded, compact, convex set in $\mathbb{R}^L$.
(Notations: vector $\mathbf{x}$ is denoted in bold letters and its $i^{th}$ co-ordinate is denoted as $x_i$. ...

**1**

vote

**1**answer

131 views

### finding permutation matrix I which minimizes TRACE( I* C*( I^T)* D) matrix

I have a problem that is really important for my thesis and i am not studding math so i will be very glad if you help me in this case...
thanks for your help in advance
I want to find permutation ...

**0**

votes

**0**answers

32 views

### Infinite dimension optimization example

I am searching for an example problem for infinite dimension optimization for continuous time control. I have the algorithm tested on real systems but I would like a problem where the Lyapunov ...

**0**

votes

**0**answers

29 views

### characterization of a certain closed convex cone

Consider $x_1,\cdots,x_n \in \mathbb{R}^d$, and the closed convex cone in $\mathbb{R}^n$ defined by
$$\mathcal{K}(\underline{x}):=\{(\varphi(x_1),\cdots,\varphi(x_n)):\varphi \textrm{ convex on ...

**3**

votes

**1**answer

1k views

### Matrix approximation

Let A be an $m\times n$ matrix and $k$ be an integer. Assume that $A$ is non-negative. We want to find a scalar $\epsilon$ and an $n\times n$ matrix $B$ such that $A\leq A(\epsilon I + B)$ (where ...

**2**

votes

**2**answers

2k views

### Best fit for multiple shapes inside an area

Is there a forumla to come up with the best fit for multiple shapes inside a rectangular area, so that none of the shapes are overlapping?

**1**

vote

**2**answers

225 views

### how to estimate a polyhedron(convex hull) classifier from data sample

Given a set of points $X\in\Re^D$, they have labels $Y\in${$-1,+1$}. I would like to separate the data labeled +1 and the data labeled -1 by a polyhedron.
$min_w \sum_i \xi_i + \frac{1}{2}\|w\|_2^2$
...

**4**

votes

**1**answer

146 views

### Rank 1 Approximation of Elementwise Inverse Matrix

I'm wondering whether there is a good way to solve the following optimisation problem.
Given a strictly positive quadratic matrix $A$, find two diagonal matrices $D_1$ and $D_2$ so that
$$ \| D_1 A ...

**26**

votes

**3**answers

1k views

### What is the best way to peel fruit?

A mango made me wonder about this. (See also this question, which is in a similar spirit.)
Fix $L >0$ and a smooth body (possibly nonconvex—pears or bananas are fair game!) $B \subset ...

**7**

votes

**2**answers

181 views

### Removing constraints in convex optimization

Say I have a convex optimization problem of the form $$\min_x f(x) ~~ s.t.\\ g_1(x)\leq0,\\\vdots \\g_n(x)\leq 0$$ with all functions convex. Suppose that $x^*$ is a unique optimizer to my problem and ...

**2**

votes

**1**answer

88 views

### Standard names and methods for this type of fitting minimization

In material science research, we have come across the following type of problem.
Given a m by n matrix A, a m vector b, and error tolerance $\varepsilon$, we want to do this minimization
$$\eqalign{
...

**3**

votes

**0**answers

89 views

### This function looks quasiconvex, can't understand why

Suppose that $\mathbf{C}$ is a given matrix with non-negative entries in $\mathbb{R}^{m\times n}$ and $d$ is a given scalar, and let $g(\mathbf{y})$ be defined by ...

**2**

votes

**0**answers

82 views

### Copositivity under tensor products

Is there any symmetric real matrix $A$ such that $A^{\otimes n}$ is copositive for all positive integers $n$, but such that A is neither positive semidefinite nor has just non-negative entries?
...

**0**

votes

**1**answer

43 views

### Sufficient and necessary condition for BIBO stability

I am looking for a reference for the proof of the next claim:
"BIBO—bounded input bounded output—stability.
We claim that a necessary and sufficient condition for a system described
by a linear, ...

**22**

votes

**6**answers

11k views

### Is all non-convex optimization heuristic?

Convex Optimization is a mathematically rigorous and well-studied field. In linear programming a whole host of tractable methods give your global optimums in lightning fast times. Quadratic ...

**0**

votes

**0**answers

37 views

### numerical solver for stochastic optimal control problems

can any one recommend numerical solver (c/c++ library preferred) for stochastic optimal control problems? For deterministic optimal control I found something like that: ...

**5**

votes

**2**answers

633 views

### Problem equivalent to “largest square in a cube”

The "largest square in a cube" problem, which asks for the largest square inside a cube, has a solution as can be seen on this page, which also says that the general problem in higher dimensions is ...

**4**

votes

**2**answers

230 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. ...

**5**

votes

**2**answers

339 views

### Heaviest Convex Polygon

Suppose we have an arbitrary function $f : \mathbb{R}^2 \to \mathbb{R}$. For any subset $s \subseteq \mathbb{R}^2$, we can define $g_f(s)$ as the integral* of $f$ over the region $s$. Suppose ...

**7**

votes

**2**answers

419 views

### How to solve such an optimization problem

I encounter the following optimization problem, but I can't solve it.
Given $N$ variables satisfying $0 \leq x_1 \leq x_2 \leq x_3 \leq ... \leq x_N \leq 1$ and an integer $K$ no large than $N$, find ...

**3**

votes

**0**answers

74 views

### Containing a “fuzzy” ellipsoid within an ordinary ellipsoid

Consider the ellipsoid described by the inequality $(x - x_c)^T P^{-1} (x - x_c) \leq 1$, where the vector $x_c \in \mathbb{R}^n$ denotes the center of the ellipsoid and the symmetric positive ...

**2**

votes

**2**answers

305 views

### High dimensional Steiner tree

Given n affinely independent points in n-1 dimensional Euclidean space, how is the minimum Steiner tree constructed? Or assuming that the topology of the Steiner tree is given, is there an easy way ...

**7**

votes

**3**answers

331 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

**1**answer

118 views

### Linear programming with exponentially many constraints and variables [closed]

From class, I learnt that problems like traveller salesman have a Linear programming representation with exponentially many constraints. Using method of separation, this problem is solved rather ...

**1**

vote

**0**answers

113 views

### lower bound for difference between max cut and min cut

Let $G=(V,E)$ be a graph on $n$ vertices with edge weights $w=(w_e)_{e\in E}$. Let $M^+$ and $M^-$ be the maximum and the minimum cut values, i.e.
...

**1**

vote

**2**answers

136 views

### Combinatorial optimization problem involving infinite spin system

In material science research, I am developing an algorithm to solve an infinite combinatorial optimization problem which I believe is the most natural problem when the system size goes to infinity.
...

**0**

votes

**0**answers

25 views

### Optimization problem involving an entrywise function

Let $X$ a $n\times p$ real-valued matrix and $Y$ a $p\times q$ real-valued matrix. Let $\phi:\mathbb{R} \to \mathbb{R}$ a function. What is the appropriate way to deal with the following optimization ...

**2**

votes

**4**answers

369 views

### Algorithm to find the “optimal” path in a given graph

Assume that $G=(V,E)$ is an undirected connected graph and that $H: V \to \mathbb R$ is a function that assign at each vertex $v \in V$ its height $H(v)$. Think of the pair $(G,H)$ as an energy ...

**3**

votes

**2**answers

3k views

### Linear program to maximize the minimum absolute value of linear functions ?

I'd like to compute
$\max_{x,t} t$ such that $\forall i$, $t < a_i + |x - b_i|$.
where $a_i,\ldots, a_n$ and $b_1,\ldots,b_n$ are fixed and $x \in [0,1]$.
Can this be solved with a linear ...

**0**

votes

**1**answer

50 views

### Generalized assignment problem with no integrality gap

Suppose I am solving the generalized assignment problem, so that I
am given matrices $U$ and $W$ and a vector $c$ (all three of which
have, say, positive entries), and I want to solve
...

**2**

votes

**0**answers

28 views

### kalman filter with delayed (outdated) information

We have a linear system with observation as follows:
$x(t+1)=Ax(t)+Bu(t)+w(t)$
$y(t)=Cx(t)+z(t)$
for given information $y(0\sim t)$, we can construct the dynamics of $\hat{x}(t)$ using the Kalman ...

**2**

votes

**0**answers

102 views

### First Variation of Dyson Series/Magnus Expansion

Given the matrix differential equation $\frac{dU_t}{dt}=A_t U_t$ there are at least two ways to write a formal solution. Both the Dyson series: $U_t = \mathcal{T} e^{\int_{0}^{t} A_t dt}$ and the ...

**6**

votes

**1**answer

240 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 ...