All Questions
Tagged with global-optimization linear-programming
24 questions
0
votes
2
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530
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Any idea of solving an optimization problem with cubic constraints?
I have the following optimization problem with cubic constraints, which is hard to solve. Are there any ideas, or related references, of solving such a problem?
$$ \begin{array}{ll} \underset {y, z} {\...
CommunityBot
- 1
0
votes
0
answers
55
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Relationship of optimal solutions between the total function and the sub function
This is an unconstrained convex optimization problem. Let $\mathcal{N}=\left\{1,\ldots,n\right\}$, $2\leq n<\infty$. Suppose there are many strongly convex functions $f_i(x)$, where $x\in\mathbb{R}^...
- 5,429
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0
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85
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Show that $\max_{P_X : X\in (0,1) } \left| \frac{\mathbb{E} [ f'(X) ]}{ \mathbb{E} [ f(X) ] } \right|$ is maximized by at most two mass points
Let $f$ be some given well-behaved function. Consider the following optimization problem overall probability distribution on $[0,1]$
\begin{align}
\max_{P_X : X\in [0,1] } \left| \frac{\mathbb{E} [ ...
- 671
1
vote
1
answer
119
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Optimization on non-convex set
Let $\Omega$ be an open bounded subset of $\mathbb{R}^2$ and $f\in L^2(\Omega)$ be a given function. Consider the optimization problem
$$\mathrm{min} \int_\Omega u(x) f(x) \,dx\,,$$
where a minimum is ...
- 128k
1
vote
2
answers
121
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How to solve the optimization problem $\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$?
I am looking for an algorithm to solve the following optimization problem
$$\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$$
where $\mathbf{w}$ and each $\mathbf{x}_i\in\mathbb{R}^d$.
...
3
votes
0
answers
282
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Continuum of Lagrange multipliers, duality gap, and minimax theorem
Suppose I have a linear optimization problem involving random variables on some (infinite) probability space $\Omega$. For example, need to maximize expectation $E[Q]$ of random variable $Q$ subject ...
- 781
0
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1
answer
213
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How do you call a linear programming problem when the solution should be "constrained" to a norm?
(apologies for the n00b question)
Let's say we have a vector of length $n$, with to-be-determined values: $a_1, a_2, ...,a_n$.
And we have information that partial sums of these elements are equal to ...
- 1,714
1
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0
answers
162
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Optimization problem on trace of complex matrix product
Given a complex rectangular matrix $A$ $(k \times n)$, I am interested in solving the following optimization problem over $(k\times n)$ complex matrices $x$:
$$
\mathrm{arg}\max_X \,\mathrm{trace}(X^...
- 377
0
votes
0
answers
43
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Minimizing along independent directions, nonlinear programming
Good afternoon, I am studying the book Nonlinear Programming: Theory and Algorithms (by Mokhtar S. Bazaraa, Hanif D. Sherali, C. M.) particularly the Theorem $7.3.5$. I'm not sure I understand this ...
- 63.9k
0
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0
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101
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How can we analytically solve this max-sum-min problem?
Let $I$ be a finite set, and $A_{ij},B_{ij},x_i,y_j\ge0$. I want to find the choice of $x_i,y_j$ maximizing $$\sum_{i\in I}\sum_{j\in J}A_{ij}\min\left(x_i,B_{ij}y_j\right)\tag1$$ subject to $$\sum_{i\...
- 167
1
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0
answers
66
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On number of solutions by simplex and number of solutions in total in a linear optimization problem?
This is more of a clarification query.
Mizuno http://www2.ims.nus.edu.sg/Programs/012opti/files/talk_mizuno1.pdf says if we give a linear optimization problem
$$\max c'x$$
$$Ax\leq b$$
where $A\in\...
CommunityBot
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1
vote
0
answers
81
views
Maximizing sum of homogeneous functions of order one over a polytope
Let $f_i: \mathbb{R}^n\rightarrow \mathbb{R}$ be
concave, increasing (i.e., if $x\geq y$ where the inequality is entry wise, we have $f_i(x)\geq f_i(y)$), and a
homogeneous function of order one for ...
- 393
0
votes
2
answers
120
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Reference request: dependence on linear constraints
Excuse me if my question is stupid. I'm seeking the references on the dependence of the (linear) optimization problem on (linear) constraints. Namely, consdier the following optimization problem:
$$P(...
- 1,835
0
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1
answer
543
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Convert general optimization problem to LP problem
I am trying to convert the following problem into a linear programming problem:
There are $M\times N$ matrix $T$ of real numbers between 0 and 1 and $N\times 1$ vector $w$ of real numbers between 0 ...
CommunityBot
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5
votes
0
answers
167
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A specific case of the $p$-center problem
Given a fixed positive integer $m$, let $\cal{S}$ be the subset from $\mathbb{R}^m$ defined as $\cal{S} = \{u \in \mathbb{R}^m \mid \forall i \in \{1, \dots, m\}, u(i) > 0$ and $\sum_{i=1}^m{u(i) = ...
- 125
3
votes
2
answers
5k
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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 ...
- 11
2
votes
4
answers
2k
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Efficient algorithm for finding the minima of a piecewise linear function
Consider real numbers $a_i$ and $b_i$ for $i=1\dots n$ and define a function by
$f(x) = \max_i ( a_i + b_i x )$
We desire to find $\min_x f(x)$. Obviously this occurs at an intersection of two lines:...
- 980
2
votes
2
answers
840
views
Finding the maximum of a multivariate polynomial of degree one
I need to find the global maximum of the function
\begin{align}
f\left(x\right) & = p_1 \max\left(\sum a_{1i} x_{1i}, \sum b_{1i} x_{1i}\right) - \sum c_{1i} x_{1i} \\
&+\ldots \\
&+ p_n ...
CommunityBot
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5
votes
1
answer
3k
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Maximizing supermodular functions
I have a real supermodular objective function which I want to maximize with constraint. The constraint is on the size, like |A|=k .
I am wondering if anyone can give me more information about a ...
1
vote
2
answers
242
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what method can I employ to solve this optimization problem which involves \min?
The optimization problem is:
maximize $$\min(\sum\limits_{i=1}^N \log\left(a_{1,i}+\frac{b_{1,i}}{c_{1,i}+d_{1,i}x_i}\right),\sum\limits_{i=1}^N \log\left(a_{2,i}+\frac{b_{2,i}}{c_{2,i}+d_{2,i}x_i}\...
- 101
4
votes
2
answers
4k
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Dual Norm For Sum of 2-Norms
What is the dual of a norm that is the sum of two-norms? Specifically, say we have the following norm for $\mathbf{x}\in \mathbb{R}^n$ and $\mathbf{A}_i \in \mathbb{R}^{m \times n}$
$\|\mathbf{x}\| = ...
- 9,486
2
votes
3
answers
2k
views
Efficient Algorithm For Projection Onto A Convex Set
Given $\mathbf{x} \in \mathbb{R}^n$ and $\tau$ a scalar, I would like to solve the following Euclidean projection problem:
$\underset{\mathbf{p}}{\mathrm{argmin}} \; \|\mathbf{p}-\mathbf{x}\|_2
\;\;
\...
- 3,934
3
votes
0
answers
220
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Could SVD be used to optimize the partial inner-products?
Suppose a set $N$ of $n$ distinct points in $m-$dimensional space is given in $X\in\mathbb{R}^{n\times m}$. Also, suppose a subset $L\subset N$, $|L|=l<m<n$, with
$m-$dimensional coordinates in ...
- 131
1
vote
1
answer
2k
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Can one efficiently optimize over the inverse of matrix?
Hello,
I have the following problem:
Find a non-negative matrix $L$ (i.e. $L_{i,j} \geq 0$ for all $i,j$), $L \neq I$ so that $A(I-L)^{-1}y \geq 0$ (the inequality must hold for each component), ...
- 54.2k