All Questions
1,594 questions
3
votes
1
answer
168
views
Condition for 3×3 block matrix to be stable
Given a square symmetric matrix $H\in\mathbb{R}^{n\times n}$, design a symmetric positive definite matrix $M\in\mathbb{R}^{n\times n}$ and positive scalar $\alpha$ such that the following ${3n\times ...
- 33
2
votes
0
answers
120
views
How to solve $\min_{\mathbf{x}\in \{\pm 1\}^N} \lVert \operatorname{sign}(\mathbf{Wx}) - \mathbf{y} \rVert_2^2$ where $\mathbf{y}\in \{\pm 1\}^N$?
Given the matrix $\mathbf{W} \in \mathbb{R}^{N \times N}$ and the vector $\mathbf{y} \in \{\pm 1\}^N$, how to solve
$$\min_{\mathbf{x}\in \{\pm 1\}^N} \left\| \operatorname{sign}(\mathbf{Wx}) - \...
- 175
1
vote
2
answers
121
views
How to solve the optimization problem $\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$?
I am looking for an algorithm to solve the following optimization problem
$$\max_{\mathbf{w}}\sum_i\text{sign}(\mathbf{w}^T \mathbf{x}_i)$$
where $\mathbf{w}$ and each $\mathbf{x}_i\in\mathbb{R}^d$.
...
- 175
3
votes
0
answers
105
views
Techniques for solving linear inequalities
For $n$ real variables $x_1, \ldots, x_n$, I have a bunch of inequalities of form $2 x_i > x_j + x_k$ or $2 x_i < x_j + x_k$, where $i,j,k$ are distinct. My goal is to determine whether this set ...
- 231
1
vote
2
answers
213
views
How much "room" in inequality $\displaystyle \int_a^b \varphi' ov ~\mathrm{d}x \leq 0$
Let $[a, b]$ be a nonempty interval, $o \in C^1([a, b])$ be such that $o>0$ and $o'<0$ and assume we found some $v \in L^\infty(\mathbb{R})$ such that
\begin{equation}\tag{1}\label{1}
\int_a^b \...
29
votes
1
answer
1k
views
Can a real quartic polynomial in two variables have more than 4 isolated local minima?
This question: "Can a real quartic polynomial in two variables have at most 4 isolated local minima?" came up in this post on Math SE but with no answer so far.
Finding examples of 4 ...
- 431
0
votes
1
answer
84
views
Derivative in Sobolev space extended by zero
Let $u(x) \in H^1_0$ is a complex function in sobolev space extension by zero.
How to find $J'(u)$ for
$$
J(u)= \int\limits_0^l |u(x)|^2\operatorname{d\!}x\;??
$$
In $L_2$ it's easy:
$$
J'(u) = \left(\...
- 3
0
votes
1
answer
103
views
Constrained linear optimization problem on $C^1$
I am dealing with a problem of the form ($a<b$)
$$
\displaystyle \max_{v \in C^1([a, b])} \int_a^b v(x)~\mathrm{d}x, \quad \mathrm{s.t.} \int^b_a \big(-o'(x)v(x)-v'(x)o(x)\big)f(x)~\mathrm{d}x \...
1
vote
1
answer
474
views
Is non-convex optimisation really in NP class?
Crossposted on Mathematics SE
I've seen in many optimisation papers the statement that general non-convex optimisation problem is NP-hard. If we assume that non-convex optimisation is in NP class, it ...
2
votes
0
answers
81
views
Differential inequality with convex constraint
The following problem looks to be classical, but I fail to find a reference for it. If you know it, please help me.
Given a bounded measurable function $h:{\mathbb R}_+\to\mathbb R$ and a number $a\...
- 52.3k
1
vote
1
answer
116
views
Existence of minimal Steiner tree
I am looking for a reference proving the existence of the minimal Steiner tree in the Euclidean Steiner tree problem:
Given N points in the d-dimensional Euclidean space, the goal is to connect them ...
- 552
3
votes
1
answer
189
views
Sensitivity of the solution of QP with respect to parameters
Given a quadratic program,
$$\begin{array}{ll} \text{minimize} & \displaystyle \frac12 x^TAx + b^Tx \\ \text{subject to} & Cx \le d \end{array}$$
Suppose $A \succ 0$, so the program strongly ...
- 33
1
vote
0
answers
36
views
Does Hoffman constant keep the same after a very tiny perturbation on the polyhedron such that the bases are even unchanegd?
Suppose that $P$ is a polyhedron represented by
$$P:=\{x \in \mathbb{R}^n: A x \le b \} \text{ for }A \in \mathbb{R}^{m\times n},\ b \in \mathbb{R}^m,$$
and $P$ contains interior points. Moreover, the ...
- 33
0
votes
0
answers
97
views
On a stochastic control problem
Let $(\Omega,\mathcal F, \mathbb P)$ be a probability space on which a Brownian motion $W$ is defined, and $\mathcal U$ be the set of progressively measurable (w.r.t. the Brownian filtration) ...
- 1,389
0
votes
0
answers
145
views
Bound on solutions of $Ax \ge b$
Let $A \in \mathbb{Z}^{m \times n}, b \in \mathbb{Z}^{m \times 1}$.
One can show that if there is a solution of $Ax \ge b, x \in \mathbb{R}^n$ then there is one such that $\|x\|_{\infty} \le c (\|A\|_{...
- 439
0
votes
0
answers
84
views
1-degree SOS proof refutes Linear Programming
I am trying to understand Sums-of-Squares proof systems.
A degree $d$ Sums-of-Squares refutation for a set of polynomial equations $P = \{p_1(x) = 0, ..., p_m(x) = 0\}$ is defined as
$\sum_{i=1}^m g_i(...
1
vote
1
answer
119
views
Adding linear constraint to the domain
I don't know if it is a well-known problem, but I have been struggling to come up with an algorithm.
I have a set of linear constraints $Ax\le b$, $b\ge 0$ ($b$ and $A$ are given, $x$ is a variable). ...
1
vote
0
answers
93
views
Traveling Salesman: Optimization over cities, not distance
In the classical traveling salesman problem, we are given a graph of cities with distances between each city and are asked to find the shortest path that traverses all of the cities. Meaning that the ...
- 139
1
vote
0
answers
96
views
On optimizing a multivariate quadratic function subject to certain conditions
The problem is to maximize $f(x_1,x_2,\cdots,x_n)=\sum\limits_{i=1}^{n}\Big(x_i-k_i\Big)^2$ for $n\ge 3$ subject to the conditions (1) $\sum\limits_{i=1}^{n}x_i=\sum\limits_{i=1}^{n}k_i\le n(n-1)$ ...
- 61
1
vote
2
answers
70
views
Monotonicity of kernel matrices with respect to hyperparameters
Let $\mathcal{X}$ be some nice space, let $\Phi$ be some ordered space, and let $K :\mathcal{X} \times \mathcal{X} \times \Phi \to \mathbf{R}$ be a positive-semidefinite kernel indexed by a ...
- 801
1
vote
1
answer
93
views
An inequality relating $\ell_1$ distance of input and output of a Markov krnel
Let $K$ be a Markov kernel from $\mathcal{X}$ to $\mathcal{Y}$, i.e., $K(\cdot|x)$ is a probability measure on $\mathcal{Y}$ for all $x\in \mathcal{X}$.
Let $\mu$ and $\nu$ be two probability measures ...
- 1,109
1
vote
0
answers
336
views
Closed-form solution of a particular linear program
(Note: I asked a similar question at math.stackexchange but the present one is more precise.)
I have a linear program of the form:
$$\text{minimize} \space\space x_1 \space\space \text{subject to:}$$
$...
- 990
1
vote
1
answer
169
views
Best projection on non-convex discrete set with two constraints
I want to compute the projection of a vector $\left( x\right) _{1\leq
i,j\leq n}\in \lbrack 0,1]^{n\times n}$ on the following discrete set
$$
S=\left\{ x\in \{0,1\}^{n\times n}:x_{i,j}+x_{j,i}\leq 1;\...
- 47
1
vote
1
answer
386
views
Role of verification theorems in stochastic optimal control?
I am currently working on the optimal control of certain classes of stochastic processes and I have difficulties understanding the roles of verification theorems.
My problem is the following: I am not ...
- 23
2
votes
1
answer
61
views
Counting the number of pair of d-uplets with upper bounded distance
Consider two d-uplets $u = (u_1,...,u_d)$ and $v = (v_1, ..., v_d)$ both living in $\mathbb{N}^d$ with $d$ a positive integer. They both verify $$(*) \sum_{i=1}^d u_i = \sum_{i=1}^d v_i = k$$ with $k$ ...
- 55
1
vote
1
answer
312
views
Strict convexity of the cost function is enough to ensure the existence and uniqueness of the optimal transport map
Let $X=Y = \mathbb R^d$ and $c:X \times Y \to [0, \infty)$ be Borel measurable. Let $\mu, \nu$ be Borel probability measures on $X,Y$ respectively. Let $\mathcal T$ be the set of all Borel measurable ...
- 835
0
votes
1
answer
147
views
Is there a redundant constraint in linear programming? [closed]
From wikipedia:
But... Why do we need the $x\ge 0$ part? We can instead do $-x\le 0$, and thus saving a line in the definition (which is not a big deal but nevertheless nice).
(In order to do that, ...
- 3
1
vote
1
answer
132
views
Some calculations with polynomials in the proof of the Routh-Hurwitz test
In an article on the Routh-Hurwitz test, I couldn't see why the following result is true:
Let $$p(s)=a_ns^n+a_{n-1}s^{n-1}+\dots+a_{1}s+a_0$$ and $$ \eta_{*} = \frac{a_n}{a_{n-1}}$$ $$g_{\eta}(s):=p(...
- 11
0
votes
0
answers
272
views
Finding the eigenvectors of a submatrix
Let $A=(a_{kl})$ be a matrix in $M_n(\mathbb{R})$ when $n$ is even. Let $B=(b_{kl})$ be the symmetric $2n$ by $2n$ matrix whose entries are given by,
$b_{k,l}=a_{kl}$ if $1\leq k,l\leq n$.
$b_{n+k,l}=...
- 4,058
15
votes
2
answers
779
views
How to characterize the regularity of a polygon?
In my research, I've recently started to play with Voronoi tessellations. I currently have a Python code that creates the tessellation and I am trying to color the polygonal regions according to their ...
- 161
1
vote
0
answers
47
views
Nash Equilibria change linearly in (some) game parameters. Already known / follows from a more general result?
EDIT: The key thing that I am wondering about is the linearity of the P2 strategy, not the constancy of P1. (The latter is straightforward.)
Question: Is the following result already known? Or is it a ...
1
vote
0
answers
49
views
Bounds on Eigenvalues After Skew-Symmetric Perturbation
Consider two matrices $\mathbf{J} \in \mathbb{R}^{n \times n}$ and $\mathbf{L} = -\mathbf{L}^T \in \mathbb{R}^{n \times n}$. I am trying to upper bound the eigenvalues of their sum:
$$\mathbf{A} = \...
- 11
2
votes
1
answer
196
views
Nash equilibrium at another level
This is a variant of the Nash equilibrium. Let's say that there are 3 prizes: A Ferrari, a diamond watch, and a new boat. There are 6 players. 3 players with a motive while 3 players with another ...
- 39
6
votes
3
answers
938
views
Proof of a matrix implication
If $A = \begin{bmatrix} x & 1\\ y & 0\end{bmatrix}, B = \begin{bmatrix} z & 1\\ w & 0\end{bmatrix}$, for $x,y,z,w \in \Bbb{R}$.
I have observed by considering many examples of $x,y,z,...
- 51
0
votes
1
answer
83
views
Combining Dantzig-Wolfe and Benders decomposition
I'm now solving an LP that has a few coupling rows (as in Dantzig-Wolfe decomposition) and a few coupling columns (as in Benders decomposition) simultaneously; other rows and columns are block-angular....
- 3
2
votes
2
answers
293
views
Optimal transport: the existence of an optimal pair of $c$-conjugate functions
$\newcommand{\diff}{ \, \mathrm d}$
Let
$X,Y$ be Polish spaces,
$\mathcal C_b(X)$ the space of all real-valued bounded continuous functions on $X$,
$\mathcal P(X)$ the space of Borel probability ...
- 835
1
vote
3
answers
345
views
How to optimize for the best fit nonuniform-scale-rotation to a given 3×3 matrix?
Given a matrix $L\in \mathbb{R}^{3 \times 3}$, I'm looking for a method to find the closest (in a least squares sense) product of a non-uniform scaling matrix and a rotation matrix:
$$
\min_{s\in\...
- 723
1
vote
0
answers
27
views
Convergence of a sequence of minima of a family of optimal control problems
Let $(\lambda_k)$ be an unbounded and increasing sequence of real numbers, and $f:\mathbb{R}^n \ \times \mathbb{R}^m \rightarrow \mathbb{R}^n$ be sufficiently smooth such that $\dot{x}(t) = f(x(t),u(t)...
- 1,590
0
votes
1
answer
36
views
Benefit of adding a trivial constraint to ILPs
let ILP be an integer linear program with constraints-matrix $\boldsymbol{\mathrm{M}}\in\mathbb{Z}^{m\times n}$ and cost vector $\boldsymbol{\mathrm{c}}\in\mathbb{Z}^n$,
${\boldsymbol{\mathrm{x}}^*}\...
- 13.2k
0
votes
0
answers
94
views
Boolean operation on n dimensional polyhedron
A polyhedron in $R^n$ is defined by a set of half-planes: $P = \{x \in R^n \mid Ax - b \le 0\}$.
Given a set of polyhedra in $R^n$, $ P_1, P_2, \dotsc, P_k$, is there an algorithm/implementation that ...
- 21
0
votes
1
answer
93
views
How quickly can this IQP or its MILP relaxation be solved
Let $A\in\{0,1\}^{(n,n)}$ be a $n$ by $n$ boolean matrix (in particular think of an adjacency matrix of a graph), and consider the following optimization problem:
$$\begin{align*}&&\max_{P\in\{...
- 71
1
vote
0
answers
97
views
How to solve the following optimization problem?
Let $G=(V,E)$ be a connected network with $|V|=n$. Consider the following optimization problem
I'm trying to know under which conditions the following minimization problem has solution :
$${\sum _{i=1}...
- 47
16
votes
1
answer
928
views
A simple stochastic game
An individual, henceforth called the runner starts at the center of an open two dimensional square $\Omega$ of side length $r \geq 2$.
At each turn, a vector $x \in S^1$ is chosen uniformly at random, ...
- 6,155
0
votes
1
answer
539
views
Method for (binary) optimization under constraints
I would like to know if there is a method to solve the Problem.
Problem:
Maximize the following function: $$f(p_{1,i},p_{2,i},\dotsc,p_{m,i})=\sum_{i=1}^{n}\begin{bmatrix}p_{1,i} & p_{2,i} & \...
- 3
1
vote
0
answers
106
views
Can I minimize a mysterious function by running a gradient decent on her neural net approximations? [closed]
A cross post from on AI StackExchange.
So I have this function let call her $F:[0,1]^n \rightarrow \mathbb{R}$ and say $10 \le n \le 100$. I want to find some $x_0 \in [0,1]^n$ such that $F(x_0)$ is ...
- 1,048
3
votes
2
answers
246
views
$\min(\det(\mathbf{A}))$ for special matrix $\mathbf{A}$
(The construction of matrix $\mathbf{A}$ is not difficult to be understood. You can first jump to A Toy Example to take a glance. Any idea or suggestion would be appealing for me.)
The Original ...
- 133
1
vote
0
answers
59
views
How do I incorporate Ito's lemma into the solution for a finite-horizon stochastic cake-eating problem?
I'm interested in finite-horizon, continuous-time cake-eating problems in which the agent has a time-horizon $W$ over which to eat the cake, and then chooses an optimal consumption path $\{h_t\}_0^W$, ...
- 11
1
vote
1
answer
67
views
Given a set of vectors how to pick $M$ such that sum of maximums of coordinates is maximized?
I asked the same on math.Stackexchange.
I have $n$ (say $n = 300$) vectors $v_1,\dots,v_n$. Each of them has $K$ coordinates (say $K = 30$). For vector $v_j$ I denote it's coordinates as $v_{j1},\...
- 1,048
0
votes
1
answer
143
views
$\mathrm{ILP}$-formulation for Minimum Maximal Matching (MMM) Problem
Despite some online searching I couldn't find examples of dedicated Integer Linear Programs ($\mathrm{ILP}$s) for determining smallest matchings, that are not contained in a larger one.
It seems that ...
- 13.2k
11
votes
1
answer
998
views
How do people prove $\Gamma$-convergence in more complicated settings?
This is a soft question, I guess. $\Gamma$-convergence is a notion of convergence of functionals so that if $F_n$ $\Gamma$-converges to $F$, then cluster points of $\arg\inf F_n$ are minimizers of $F$....
- 1,904