All Questions
Tagged with convex-optimization linear-algebra
121 questions
1
vote
0
answers
100
views
Changing a nonlinear equality constraint into some conic inequality plus rank constraint
If we have a constraint optimization problem in which one of our constraint is $\prod\limits_{k = 1}^N {\left( {x - {a_k}} \right) = 0} $ . How could this nonlinear equality condition be changed into ...
- 33
2
votes
1
answer
135
views
Is first term of my cost function convex?
I have an optimization problem in the form of
[\begin{array}{l}
\mathop {{\rm{Minimize}}}\limits_{\bf{X}} \,\,\,2\left| \delta \right|\sqrt {{\rm{Tr}}\left( {{\bf{A}}{{\bf{X}}^2}} \right)} {\rm{ - ...
- 33
0
votes
0
answers
80
views
Finding gradient of an optimization
I am trying to find the gradient of the following optimization problem and then add to objective, but I got some trouble in computing. Could you please help me?
Assume that we have an optimization ...
- 161
1
vote
0
answers
1k
views
Diagonal entries of a Cholesky factorization
Let $I$ denote an identity matrix, $E$ denote the all-one matrix of dimension $k\times k$ and $c$ some positive real number. Define $X=B(I-cE)B^T$ where $B$ is given by
$B:=\begin{pmatrix}
1 &\...
- 29
3
votes
1
answer
704
views
Find the following transformation $G$
I asked this question 6 days ago on math.stackexchange.com (https://math.stackexchange.com/questions/656585/find-the-following-transformation-g). I didn't get any answers yet, so I'm posting here.
I'...
- 53
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}{\...
- 1,421
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\...
- 1,421
1
vote
1
answer
514
views
Semidefinite relaxation for a quadratic feasibility problem using CVX
The following decides the feasibility of a semidefinite program (SDP)
\begin{align}
\max_{\mathbf{Z}}~0 \\\
\mathrm{trace}(\mathbf{Z})\leq \rho \\\
\mathrm{trace}(\mathbf{S}_1\mathbf{Z}) \geq \alpha \...
- 1,421
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\...
- 1,421
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 $\mathbf{A}$,
$$
\mathcal{L}(\mathbf{A}) = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\...
- 125
-1
votes
1
answer
175
views
Regularized Gradient with respect to a matrix (with a specific structure)
Suppose we have a typical logdet function $\mathcal{L}$
$$
\mathcal{L} = \log\vert \mathbf{I} + \mathbf{A}\mathbf{S} \vert - \mathbf{q}^T(\mathbf{A}^{-1} + \mathbf{S})^{-1} \mathbf{q},
$$
where $\...
- 125
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
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 \\\
...~~~~~~~~~~ \\\
....
- 1,421
1
vote
1
answer
113
views
Expected rank - computable approximations
I'm interested in finding the expected rank of some random matrix $A$ (I don't want to specify its distribution right now, since my question makes sense in general).
Computing $\mathbb{E} \ \mathrm{...
- 3,323
4
votes
1
answer
2k
views
lipschitz constant of a multivariate function
I have a function $f:\mathbb{R}^{50} \rightarrow \mathbb{R}$ and I need to compute the Lipschitz constant of $f$ to solve an optimization problem using a specific algorithm. Does any one have ...
- 41
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}}$ ...
- 1,421
3
votes
1
answer
4k
views
Schur complement and negative definite matrices
Hello,
My question regards to the Schur complement lemma. Consider the matrix $M=\left( \begin{array}{cc}
A & B\\\
B^T & C \end{array}\right)
$.
According to the lemma $M\geq0$ iff $C>0$ ...
- 155
1
vote
1
answer
141
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 x}...
- 619
7
votes
0
answers
209
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 ...
- 619
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} ...
- 1,421
0
votes
1
answer
2k
views
Finding linearly independent columns of a large sparse rectangular matrix
I have a problem that necessitates solving a large non-negative least-squares
problem. My matrix A is large, sparse, highly rectangular (num rows >> num cols)
and nearly binary. However, A is not ...
- 103