All Questions
23 questions
4
votes
1
answer
175
views
Maximizing trace subject to two equality constraints
I am looking at the following optimization problem
$$\begin{align}
\underset{{\bf X}}{\text{maximize}} \qquad&\mathrm{tr}({\bf AX})\\
\text{subject to} \qquad& \mathrm{tr}({\bf X}) = 1,\\
&...
- 109k
2
votes
1
answer
506
views
Effect of duplicated row on singular values and vectors
Let $\mathbf{A}$ be a $n\times n$ matrix with Singular Value Decomposition (SVD) $\mathbf{A}=\mathbf{U}\mathbf{S}\mathbf{V}$ and $\mathbf{a}_1$ be the first row of $\mathbf{A}$. What can we say about ...
CommunityBot
- 1
0
votes
0
answers
52
views
What are the injective embeddings of R^d into the cone of (semi-) positive definite matrices of dimension d?
How can we characterize the set of all injective functions from $\mathbb{R}^d$ to the set of all symmetric positive definite matrices of dimension d?
- 109
0
votes
0
answers
72
views
Minimizing the Spectral Norm of the Hadamard Product of a Quadratic Form Using CVX
I am trying to use CVX to minimize the spectral norm of the Hadamard product of two matrices, one of which is in quadratic form. Specifically, I am trying to minimize $\|{\bf A} \odot {\bf XX}^H\|_2$, ...
- 43
2
votes
1
answer
344
views
Joint convexity of trace of matrices
Let $\Gamma_{m\times m}$ be a diagonal matrix with positive diagonal entries and $\mathbf{A}_{m\times m}$ be an arbitrary matrix. Then, is the following trace function jointly convex on $\Gamma_{m\...
CommunityBot
- 1
1
vote
0
answers
150
views
Minimax optimization of diagonal entries of function of matrix
Let $\mathbf{A}$ and $\mathbf{U}$ be arbitrary complex $M\times N$ and $N\times M$ matrices, respectively. Let denote superscript $(\cdot)^{\dagger}$ and $(\cdot)^{\mathrm{H}}$ as pseudo-inverse and ...
- 287
1
vote
1
answer
877
views
Minimization problem involving the inverse of an affine matrix function
I want to minimize $v^T (A+I+UQU^*)^{-1} v$, subject to $Q$ and $A$ being positive semi-definite and ${\rm trace}(Q)<1$. Here, $v$ is a given vector with unit norm, that is, $\|v\|_2=1$.
- 377
1
vote
0
answers
138
views
Matrix completion in $2\times2$ case by nuclear norm minimization to guarantee rank $1$?
Does fixing diagonal entries and minimizing nuclear norm under weighted sum of entries conditions produce a rank $1$ matrix? I think the answer for this is no.
At least could it be true in $2\times2$ ...
- 13.9k
8
votes
1
answer
2k
views
Finding Toeplitz matrix nearest to a given matrix
For an arbitrary $N\times N$ Hermitian matrix $A$, I want to derive a Toeplitz matrix from $A$ such that the eigenvectors of both matrices have minimal change.
Specifically I want find the Toeplitz ...
CommunityBot
- 1
4
votes
2
answers
604
views
A certain type of quadratic constrained quadratic program (QCQP)
Let $P_1$, $P_2$ be two Hermitian matrices. Can anyone comment on the following QCQP?
$$\begin{array}{ll} \text{minimize} & z^{H} z\\ \text{subject to} & z^{H} P_1 z +1 \leq 0\\ & z^{H} ...
7
votes
1
answer
373
views
Is the solution of this optimization problem always positive semidefinite?
We are given a set of unit vectors $U \subset \mathbb{C}^n$ which spans the space $\mathbb{C}^n$. Given another unit vector $x$, consider then the following optimization problem:
$$ \sup_H \left\{ x^*...
2
votes
0
answers
156
views
Optimization of quadratic form with band matrices
Let $A_1$ be the $N \times N$-matrix for which $a_{i,j} = 1$ for $i=j$ and 0 otherwise. Let $A_2$ be the matrix for which $a_{i,j}=1$ for $|i-j| \leq 1$ and 0 otherwise. Similarly define $A_3$ (which ...
7
votes
2
answers
251
views
What methods do we have to understand the spectrum of matrices with restricted entries?
Consider questions of the form (or the "most probable value of" version of these questions rather than the "largest possible"),
What is the largest possible spectral radius of a $...
CommunityBot
- 1
7
votes
0
answers
217
views
Characterizing matrices with rank constraint
Given matrix $M\in\Bbb\{0,1\}^{n\times n}$, is there a nice method to characterize $$\mathscr{D}[M]=\{Q\in\Bbb\{0,1\}^{n\times n}:\mathsf{rank}(M-Q)= \mathsf{rank}(Q),\quad M-Q\in\Bbb\{0,1\}^{n\times ...
- 13.9k
5
votes
1
answer
955
views
Maximizing Frobenius Norm of Commutator (an opposite Procrustes problem)
I was wondering if anybody has any suggestions on the following problem:
Let $S$ be an $n\times n$ positive definite symmetric matrix. I wish to find an $n\times n$ orthogonal matrix $R$ which ...
- 28.6k
2
votes
1
answer
1k
views
Subgradient of Minimum Eigenvalue
Consider three $N \times N$ Hermitian matrices $A_0$, $A_1$, $A_2$. Consider the function
\begin{align}
f(t_1,t_2)=\lambda_{\text{min}}(A_0+t_1A_1+t_2A_2)
\end{align}
where $\lambda_{\text{min}}$ ...
- 6,210
-1
votes
1
answer
175
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 $\...
CommunityBot
- 1
0
votes
1
answer
203
views
Eigenvalues of a given parametrized matrix.
Let $\mathbf{A}$ and $\mathbf{B}$ be two complex rank-one $N\times N$ positive semi-definite matrices. Let the matrix $\mathbf{C}$ be defined as
\begin{align}
\mathbf{C}=\left(\mathbf{I}*\frac{1}{\...
2
votes
2
answers
2k
views
Hessian of function of covariance matrices
Suppose we have a typical logdet function $\mathcal{L}$ with respect to a covariance matrix $\mathbf{A}$,
$$
\mathcal{L}(\mathbf{A}) = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\...
CommunityBot
- 1
3
votes
1
answer
2k
views
Fast algorithm for maximizing smallest eigenvalue of linear combination of hermitian matrices
I have an engineering back ground. Due to work, I came across this problem
\begin{align}
&\max_{\lambda,y_i\in \mathbb{R}}~\lambda \\\
s.t.~&\left(\mathbf{A}_0+\sum_{i=1}^{K}y_i\mathbf{A}_i\...
- 1,590
1
vote
2
answers
229
views
Feasibility of a given set of homogenuous nonconvex quadratic inequality constraints
Let $C_1$,$C_2$,...$C_N$ be $M \times M$ indefinite hermitian matrices. What can we say about the following quadratic constriants
\begin{align}
w^{H}C_1w>0 \\\
w^{H}C_2w>0 \\\
...~~~~~~~~~~ \\\
....
CommunityBot
- 1
4
votes
2
answers
359
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} \\\
\mathbf{u}^H\mathbf{A}_2\...
- 27.5k
0
votes
0
answers
52
views
Dense Matrix Estimation
I have a matrix $X \in \mathbb{R}^{m\times n}$ and I want to estimate it with a dense matrix $Y^{m\times n}$ such that $Y$ is still close to $X$ in some distance measure. Is this doable in a ...
- 137