All Questions
563 questions with no upvoted or accepted answers
4
votes
0
answers
184
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 $$g(\mathbf{y}):=\max_{\mathbf{x}\in\...
- 41
4
votes
0
answers
168
views
Are there some numerical test to check if a map is a contraction?
Let's say I have a multivariate function
$$
f:D \to D, D \subset \mathbb R ^n, D \text{ compact},
$$
for which there is no closed form.
That is the only way to evaluate the function is to do it ...
user24451
4
votes
0
answers
115
views
Sufficiency of stationary policy for negative stochastic dynamic programming
Consider a Markov Decision Process with Borel state space $X$ and Borel action space $U$, like the one defined in the book "Stochastic Optimal Control: Discrete-time case" by Bertsekas and Shreve. All ...
- 1,655
4
votes
0
answers
163
views
Convexified threshold of a function
Upd. The question in a nutshell: find convex set on plane which is «closest» to a given non-convex set.
It is given integrable function $0\leq f(x,y)\leq 1$ with bounded support: $f(x,y)=0$ when $x^2+...
4
votes
0
answers
101
views
Applications of k-medians with moment constraints
Suppose I have a collection of points $p_1,\dots,p_N$ in the plane. In the Euclidean $k$-medians (or $k$-means) problems, our objective is to distribute a set of $k$ points $x_1,\dots,x_k$ in the ...
- 1,125
4
votes
0
answers
195
views
restricting "dances of minimal cost" (optimization on braids/permutations?)
Consider applying the permutation (1,3,0,5,2,7,4,6) to the integers (0,1,2,3,4,5,6,7) three times.
I call this a "dance of minimal cost" because all unordered pairs in {0..7} meet each other, and the
...
- 121
4
votes
0
answers
338
views
Can the Littlewood-Richardson cone be used for combinatorial optimization?
The Littlewood-Richardson cone $LR_{n, k}$ consists of all $k-$tuples $(a_1, a_2, \dots, a_k)$ of real $n-$vectors with monotonically decreasing entries such that there exist $k$ $n \times n-$...
- 313
4
votes
0
answers
790
views
Is it possible to use linear programming to solve this problem?
I am trying to write software to minimize pricing for cell phone subscription services, ie: choose the optimum plan for each customer in a large group.
Could someone comment on whether this is ...
- 41
4
votes
0
answers
696
views
Dynamic programming principle (DPP)
In stochastic control problem, one shall use the measurable selection theorem to prove DPP. It was discussed in discrete time case in [Bertsekas and Shreve 1978]. Is there unified framework in ...
- 1,399
3
votes
0
answers
107
views
Stability of a nonlinear dynamical system with non-elementary dynamics
I am trying to prove stability and get a non-asymptotic upper bound on the convergence rate of a nonlinear discrete-time dynamical system, whose dynamics are stated in terms of the (non-elementary) ...
- 31
3
votes
1
answer
208
views
Approximation of Poset
Let $(X,\leq)$ be a poset, $X=\{x_1,x_2,...,x_n\}$. Preference matrix $\textbf{P}=[p_{ij}]$ (which is known and fixed), satisfies $p_{ij}=1-p_{ji},p_{ii}=\frac{1}{2}$, and
$$\forall i \neq j, x_i \leq ...
- 61
3
votes
0
answers
182
views
Asymptotics for optimal survival time in a stochastic control problem
An individual, henceforth called the runner starts at the center of an open ball $\Omega_r \subset \mathbb R^2$ of radius $r > 1$.
At each turn, a vector $x \in S^1$ is chosen uniformly at random, ...
- 6,155
3
votes
0
answers
105
views
Techniques for solving linear inequalities
For $n$ real variables $x_1, \ldots, x_n$, I have a bunch of inequalities of form $2 x_i > x_j + x_k$ or $2 x_i < x_j + x_k$, where $i,j,k$ are distinct. My goal is to determine whether this set ...
- 231
3
votes
0
answers
93
views
Sum-of-guesses-minimization problem (also does this problem already exist in the literature)?
Inspired by some recent real-world situations, I thought of this problem:
An adversary has selected a positive real number $p \ge 1$ not known to you. You have to pick numbers $x_1, x_2, \dots$ in ...
- 7,320
3
votes
0
answers
91
views
What is the name for this type of optimization problem?
As we all know, a classic optimization problem can be represented in the following way:
Given a function $f: A \to \mathbb{R}$, find an element $x_0 \in A$ such that $f(x_0) \le f(x)$ for all $x \in ...
- 141
3
votes
0
answers
97
views
Projection onto level set of convex functional
Fix a probability space $(\Omega,\mathcal{F},\mathbb{P})$ and let $F:L^2_{\mathbb{P}}(\mathcal{F})\rightarrow (-\infty,\infty]$ be bounded-blow, convex, lower semi-continuous, and not identically ...
- 5,405
3
votes
0
answers
282
views
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
3
votes
0
answers
121
views
Matrix inequality $a X \succeq arcsin(X)$ for some $a > 0$
Let $X \in S^{n}_{+}$ be a positive semi-definite matrix with $X_{ii} = 1$ for all $i \leq n$ (thus $X$ is a correlation matrix).
Since $X$ is positive semi-definite, we have $|X_{ij}| \leq 1$ for any ...
- 205
3
votes
0
answers
87
views
Additional symmetries of the Traveling Salesman Polytope
Given the complete graph $K_n=(V,E)$, the Traveling Salesman Polytope is a convex polytope in $\Bbb R^E$ obtained as the convex hull of the indicator vectors of (edge-sets of) Hamiltonian cycles in $...
- 13.6k
3
votes
0
answers
87
views
Bounds on minimum solutions to empirical and theoretical objective functions
Let $P$ and $Q$ be two probability distributions and let
$$S_0 = \min_{f,g} \left[ \int f(x)\, dP(x) + \int g(y)\, dQ(y) \right]$$ such that $f(x)+g(y) \geq \langle{x,y\rangle}$ where $f,g$ are ...
- 383
3
votes
0
answers
122
views
Convex optimization upper bound for a non-linear optimization
Is there any good convex optimization problem based upper-bound for the following non-linear optimization problem?
\begin{align}
\max_{x_1,\ldots,x_N}&\quad \sum_{n=1}^{N} \log(1+\frac{x_n}{1+\...
- 287
3
votes
0
answers
130
views
Shape derivative of boundary integrals and differentiability of the integrand on a tubular neighborhood
Let $d\in\mathbb N$, $U\subseteq\mathbb R^d$ be open, $$\mathcal A:=\{\Omega\subseteq\mathbb R^d:\Omega\text{ is bounded and open},\overline\Omega\subseteq U\text{ and }\partial\Omega\text{ is of ...
- 167
3
votes
1
answer
269
views
Optimal rule for multiple stopping times for defect finding
Suppose a quality inspector is inspecting $b$ black amongst which $d_B$ are known to be defective and $w$ white gadgets amongst which $d_W$ are known to be defective. The gadgets come down along an ...
- 2,239
3
votes
0
answers
240
views
Optimization with parametric constraints: solution maps
For constrained optimization problems
$$ \begin{array}{ll} \min\limits_{x \in \mathbb R^n} & f(p, x) \\
\text{s.t.} & x \in C \end{array} $$
where $p \in \mathbb R$ is a parameter, we can ...
- 791
3
votes
0
answers
163
views
A new "adversarial" Wasserstein distance?
Let us consider $\mu_1, \mu_2$ and $\mu_3$ three probability measures living on $[0,1]^{k_1}, [0,1]^{k_2}$ and $[0,1]^k$respectively, with $k_1 +k_2=k$. Let us denote by $\Gamma(\mu,\nu)$ the set of ...
- 555
3
votes
0
answers
190
views
Necessary optimality condition for quadratic programming: a solution of a constrained QAP is a solution of a LP
I have a concern about a result given by Murty in [1] and also written by Floudas and Visweswaran in [2]
They consider a QP:
\begin{array}{ll}{\min _{x} Q(x)} & {=c^{T} x+\frac{1}{2} x^{T} D ...
- 407
3
votes
0
answers
255
views
How can we solve this kind of saddle point problem?
I'm trying to solve a saddle point problem of the following form: Let
$(E,\mathcal E,\lambda)$ be a measure space;
$p$ be a probability density on $(E,\mathcal E,\lambda)$ and $\mu:=p\lambda$
$W$ be ...
- 167
3
votes
0
answers
73
views
Spectrum of a symmetric saddle point matrix
Let $C=\left[ {\begin{array}{cc}
A & B^{T} \\
B & O \\
\end{array} } \right]$, where $A\in \mathbb{R}^{n\times n}$ is SPD, $B\in \mathbb{R}^{m\times n}$ and $m\leq n$. The matrix $B$ ...
- 31
3
votes
2
answers
287
views
Probability that the solution to a combinatorial optimization problem changes after random modifications
Given a combinatorial optimization problem, say the Traveling Salesman Problem, the optimal solution is a set of elements (edges in this case) that satisfy certain constraints (constituting to a ...
- 13.2k
3
votes
0
answers
202
views
Maximize an $L^p$-functional subject to a set of constraints
Let
$(E,\mathcal E,\lambda)$ and $(E',\mathcal E',\lambda')$ be measure spaces
$f\in L^2(\lambda)$
$I$ be a finite nonempty set
$\varphi_i:E'\to E$ be bijective $(\mathcal E',\mathcal E)$-measurable ...
- 167
3
votes
0
answers
111
views
Approximate inverse of large sparse matrix
Given a large sparse matrix $M$, how to determine the existence of a good preconditioner? In other words, does there exist a sparse matrix $X$ such that $X M$ is close to the identity with respect to ...
- 31
3
votes
1
answer
283
views
Latent Dirichlet allocation and properties of digamma function
In the paper Blei, D. M., Ng, A. Y., & Jordan, M. I. (2003). Latent Dirichlet Allocation. Journal of Machine Learning Research, 3(4–5), 993–1022. http://www.jmlr.org/papers/volume3/blei03a/blei03a....
- 191
3
votes
0
answers
178
views
Uniqueness of projection under spectral norm
I am considering
$$
\min_{M\in \mathcal{M}} \|X - M\|:=x \neq 0,
$$
where $X$, $M$ are $m\times n$ matrices, $\|\cdot\|$ is spectral norm and $\mathcal{M}$ is a matrix subspace. I wonder to what ...
- 131
3
votes
0
answers
265
views
Equal principal minors of matrix plus rank-1 and inverse
Given an invertible real matrix $A$ and real column vectors $b$ and $c$.
For which $A$, $b$ and $c$ are all corresponding principal minors of $B = A-bc^T$ and
$A^{-1}$ equal?
According to a ...
- 909
3
votes
0
answers
244
views
An inequality concerning the solution of a Lyapunov equation
Let $A$ be an Hurwitz stable matrix (i.e. the real part of the eigenvalues of $A$ lie in the left-half plane) and $Q$ be a positive semidefinite matrix ($Q\ge 0$, for short). Let $P>0$ be the ...
- 2,712
3
votes
0
answers
373
views
How to promote a blog?
Math behind might be interesting.
Quite recent bloggingg activity might have interesting math model.
The point is that bloggers compete for subscribers and at the same time
cooperate gaining ...
- 24.9k
3
votes
0
answers
248
views
Solve Huber's M-Estimation using quadratic programming
The Huber's M-estimate is to solve the problem
$$\underset{\mathbf x}{\rm{minimize}} \rho(\mathbf b-\mathbf A\mathbf x) + \alpha|\mathbf x|$$
where
$$ \rho(t) = \left\{\begin{array}{c}\frac{t^2}{2\...
- 149
3
votes
0
answers
105
views
Are there scenarios under which feasibility bilinear programming is easy?
Given $c\in\Bbb R^{n_1},d\in\Bbb R^{n_2}$, $E\in\Bbb R^{n_1\times n_2}$, $A\in\Bbb R^{m_1\times n_1}$, $B\in\Bbb R^{m_2\times n_2}$ $a\in\Bbb R^{m_1}$, $b\in\Bbb R^{m_2}$ and $t\in\Bbb R$ we know ...
- 13.9k
3
votes
0
answers
51
views
Maximizing a function on $SU(4)$ similar to Von Neumann Trace Inequality
Given arbitrary $X,Y \in \mathfrak{su}(4)$, I want to maximize either of the following functions:
$\max_{U,V \in SU(2)} \Re(\text{Tr}(X^\dagger (U^{\dagger} \otimes V^{\dagger})Y (U \otimes V)))$
...
- 2,099
3
votes
1
answer
368
views
Lot sizing problem: how to add these cuts efficiently
Consider the set of constraints of the uncapacitated lot sizing problem:
$$
\{(x,s,y)\in \mathbb{R}^n_+ \times \mathbb{R}^n_+ \times \mathbb{B}^n \;|\;s_{t-1}+x_t = d_t+s_t,\; x_t \le My_t,\; t=1,\...
- 225
3
votes
0
answers
100
views
Optimally placing rectangles with obstacles
I am struggling with a fairly simple and natural geometric optimization problem, but I have not been able to find an obvious canonical method for solving it:
I am given a collection of $m$ axis-...
- 4,049
3
votes
0
answers
298
views
Singular value decomposition of a low rank weak diagonally dominant M-matrix. When is the unitary polar matrix positive semi-definite?
Let $A$ be an $n \times n$, non-symmetric, real, weak diagonally dominant M-Matrix. Its diagonal is strictly positive, its off-diagonal is negative or zero and all its columns sum to zero. $A$ has ...
- 323
3
votes
0
answers
239
views
Constrained optimization with a Proportional-Integral-Derivative (PID) controller
My engineering colleagues have devised an interesting approach to equality-constrained optimization. I.e. they wish to solve the problem $\min_x f(x)$ subject to the constraint $g(x) = 0$ where $f, g ...
- 163
3
votes
0
answers
71
views
Dependence of optimization problem on the linear constraints
Let $I=\{x_1,\cdots, x_n\}\subset \mathbb R$ be fixed. Given two probability distributions $\alpha=(\alpha_i)_{1\le i\le n}$ and $\beta=(\beta_i)_{1\le i\le n}$ on $I$, and a matrix $c=(c_{i,j})_{1\le ...
- 1,835
3
votes
0
answers
148
views
The complexity of an optimization problem involving sum of binomial coefficients
I'm just new to this community. So please forgive me if the question is not properly asked.
I would like to get the natural number e such that the following function can be minimized:
$f(e)=\frac{b}{...
- 31
3
votes
0
answers
189
views
Non-invariant Lagrangian on SU(n)
I have a Lagrangian on $SU(n)$, which is not invariant.
Given the Lagrangian $\mathcal{L}[U_t, \dot{U}_t] = \langle \dot{U}_t, \nabla J \big|_{U_t} \rangle$
I need to find the curves of stationary ...
- 2,099
3
votes
0
answers
70
views
Attainability of Global Optima In Optimal Control
Given a manifold $M$ and a set of smooth functions of one real variable $\mathcal{A}$ and a 'control system' type first order differential equation:
$\frac{d x(t)}{dt} = F(x,u)$
one can consider the ...
- 2,099
3
votes
0
answers
970
views
Testing if a point is inside a convex polytope formed by halfspaces in n-dimension
Assume we have a convex polytope that is formed by the intersection of $k$-halfspaces in $\mathbb{R}^{n}$.
$$
a_{0,0}x^{n-1} + {a}_{0,1}x^{n-2} + ... a_{0,n-1} \leq 0
$$
$$
a_{1,0}x^{n-1} + {a}_{1,...
- 31
3
votes
0
answers
243
views
Polynomial-time algorithm solving approximately a generalization of the travelling salesman problem
Take a graph $G$ and a number of sets of nodes of $G$. The problem is to find the shortest path passing through at least one node in each node set. If each node set consists of only one node, the ...
- 367
3
votes
0
answers
214
views
existence of optimal control
I'm looking for an existential result in optimal control for the following class of problems:
Given $T > 0$, $\bar x, \hat x\in\mathbb R^d$, an instantaneous cost function $c:\mathbb R^d\times \...
- 251