All Questions
564 questions with no upvoted or accepted answers
2
votes
0
answers
172
views
Optimization with random matrix
Consider $J$ a random matrix of size $n\times n$ with i.i.d. Gaussian entries $J_{ij} \sim \mathcal{N}(0,\sigma^2/n)$. Let $f(x)=tanh(x)$, and for $x\in\mathbb{R}^n$, $f(x)$ denotes the vector where $...
- 840
2
votes
0
answers
405
views
LQR solution when there are linear terms in the cost function?
I am trying to solve the following Bellman Equation:
$V(s) =\max_u \left[a'u - (u-s)'Q(u-s) + V(u)\right]$
In the equation above, $s,u,a\in \mathbb R^n$, $Q\in \mathbb R^{n\times n}$ is positive ...
- 461
2
votes
0
answers
148
views
Derivation of gradient of SSE in Geodesic Regression
On page 79 (or page 5) of this this paper the gradient of the SSE of the Geodesic model is described explicitly. My question is how are these equitations derived in detail; where can I find the ...
- 5,405
2
votes
0
answers
136
views
Fixed area, largest mass -- is there a name?
Let $x\in \mathbb{R}^n$ and let $s_k(x)$ denote the sum of the $k$ largest entries of $x$. The function $s_k(x)$ is well-known to be convex and is often used in optimization, such as
https://inst....
2
votes
0
answers
71
views
Select n vectors from k vectors (in 3D) such that each component of the resultant vector >= each component of a given vector M
this was left unanswered for 1 week on MStackExchange, so I thought MOverflow would be more appropriate. Thanks :)
Let $R = (R_x, R_y, R_z)$ be the resultant vector of the n vectors and $M = (M_x, ...
- 21
2
votes
0
answers
189
views
numerical solver for stochastic optimal control problems
can any one recommend numerical solver (c/c++ library preferred) for stochastic optimal control problems? For deterministic optimal control I found something like that: http://abs-5.me.washington.edu/...
- 21
2
votes
0
answers
118
views
Containing a "fuzzy" ellipsoid within an ordinary ellipsoid
Consider the ellipsoid described by the inequality $(x - x_c)^T P^{-1} (x - x_c) \leq 1$, where the vector $x_c \in \mathbb{R}^n$ denotes the center of the ellipsoid and the symmetric positive ...
2
votes
0
answers
423
views
First Variation of Dyson Series/Magnus Expansion
Given the matrix differential equation $\frac{dU_t}{dt}=A_t U_t$ there are at least two ways to write a formal solution. Both the Dyson series: $U_t = \mathcal{T} e^{\int_{0}^{t} A_t dt}$ and the ...
- 2,099
2
votes
0
answers
52
views
Linear control systems
Are there some algorithms to compute the error bound of the difference between the original system and the balance system using the Balance truncation method?
- 29
2
votes
0
answers
91
views
Algorithms to find the solutions of a homogenous matrix equations for non-commutative rings
In one paper from 1980 I found a note that there are no known algorithms for solving
homogenous matrix equations $x \cdot M = 0$ for matrices which elements belong to a non-commutative ring.
(The non-...
2
votes
0
answers
111
views
Quickly checking an inequality on a convex region
I previously posted this question to math.sx at: https://math.stackexchange.com/questions/748015/quickly-checking-if-an-inequality-holds-on-a-convex-region but I'm thinking that MO may be more ...
- 21
2
votes
0
answers
120
views
integrality of a linear program -- binary equality constaints
Consider the following linear program:
$\left\{
\begin{array}{l}
\underset{x}{max} \;\;c^Tx\\
[I, \;B]x = \mathbf{1}\\
x\geq 0
\end{array}
\right.$
where $c$ is a vector ...
- 127
2
votes
0
answers
1k
views
Incoherence of the row/column span
Due to V.Chandrasekaran., et al (p.11) : In general for any $k$-dimensional subspace of $A_{n×n}$ we have that:
$$\sqrt{(k/n)} \leq incoherence(A)\leq 1$$
where the lower bound is achieved (for ...
- 21
2
votes
0
answers
162
views
An optimization in Markov Chain
We are given two correlated random variables $V$ and $X$ supported over a finite alphabets $\mathcal{V}$ and $\mathcal{X}$. Suppose the marginal $P_V$ and conditional distribution $P_{X|V}$ are ...
- 1,109
2
votes
0
answers
154
views
Maximizing an integral over a convex region
Let $C$ denote a compact, convex region in the plane containing the origin with unit area, and let $f$ be a probability distribution on $C$. Let $f^\ast$ denote the distribution that maximizes the ...
- 21
2
votes
0
answers
145
views
Continuity of minimizer of a function with respect to another variable
Suppose the real function $f(w,X)=wg(X)+h(X)$ ($g$ and $h$ are other functions) is differentiable with respect to scalar $w$ and vector $X \in \mathbf{R}^m$ everywhere and $f$ is bounded below. What ...
- 231
2
votes
0
answers
117
views
Maximum Principle with Banach Control Space
This is a problem that seems very natural to me, but I couldn't find any formal statement in the literature for some time now. I am basically considering an autonomous optimal control problem in which,...
- 197
2
votes
0
answers
39
views
In what paper was the shrinkage parameter introduced to the nelder-mead simplex direct search algorithm?
I have read lots of papers referencing a 4th shrinkage parameter when talking about the Nelder Mead Simplex method. However, I cannot see any shrinkage parameter in the flow chart of the original ...
- 21
2
votes
0
answers
163
views
existence of lattice point in polytope
This question was probably asked before but here goes. I have a convex polytope given by $Ax\leq b$ for a specific integer matrix $A$ and integer vector $b$. I need a simple method/result on how to ...
- 501
2
votes
0
answers
218
views
Tools for "infinite-dimensional linear programming"
I was wondering, whether you could point me to some tools with which I could tackle the following "infinite-dimensional linear programming" problem:
Notation:
$a=1,2,\ldots, A$, $x\in\Omega:=\left\{...
- 21
2
votes
0
answers
1k
views
Incremental minimum spanning tree
Given a connected graph $G=(V,E)$ with a weight function $w:E\to\mathbb{R}$ and a subset $E_0\subseteq E$ such that the subgraph $(V,E_0)$ is connected, I am looking for a sequence $E_0\subseteq E_1\...
- 2,966
2
votes
0
answers
109
views
A Conjecture related to minimization of product of determinants over permutations
Hi
I have the following problem (and a conjecture which holds in Matlab).
Given an $N\times N$ matrix $H$, represent it by its $2N\times 2N$ real-valued representation (which I will also denote by $H$...
2
votes
0
answers
242
views
Quadratic optimization with parameter in constraint
Disclaimer: I posted the same question on math.stackexchange. However, the FAQ suggests to post research-level questions in this forum.
Question: Given a function $q: \mathbb R^{N\times N}\mapsto \...
2
votes
0
answers
94
views
Approximating solutions to minima of the discrete Lagrangian
I have been stuck on this problem for a week and I'm not sure whether or not it is hard or I'm just missing something obvious.
General gist of the problem
I have a variational problem on a Riemannian ...
- 121
2
votes
0
answers
63
views
Put positive polynomial in finite intersection of half-spaces
This is a cross-posting of a MSE question (which did not attract any attention there so far).
Denote by $V={\mathcal P}_{n,d}$ the space of polynomials in $n$ variables with degree at most $d$, ...
- 621
2
votes
0
answers
240
views
Honeycomb-type properties of the Delaunay triangulation and Voronoi diagram
Suppose I'd like to distribute a set of points $P=\lbrace p_1 ,\dots, p_n \rbrace$ in the unit square $S=[0,1]\times[0,1]$ to minimize a weighted sum of two things:
1) The average distance between a ...
- 1,125
2
votes
0
answers
230
views
Consistency of a system of linear equations
I have a system of linear equations in form of $AX=b$ where $A_{m\times n}$, $X_{n\times 1}$ and $b_{m\times 1}$. Coefficient matrix $A$ is quite sparse. However, using a practical LP solver like ...
- 221
2
votes
0
answers
240
views
Copositive matrix?
I want to check under what conditions a matrix of the form $\alpha J -Q$ is copositive, where $J$ is the all-ones matrix and $Q$ is doubly nonegative (i.e. entrywise nonnegative and positive ...
- 6,962
2
votes
0
answers
91
views
Minimum time planar paths under a bound on magnitude of acceleration
On a plane, given initial position (x1,y1), initial velocity (u1,v1), final position (x2,y2), and final velocity (u2,v2), compute the solution to x''= cos(z), y''=sin(z) that has these endpoint ...
2
votes
0
answers
917
views
Guessing game with guess cost
This is a question about Problem 328 on the website Project Euler. A description of the problem is provided in the previous link. I was wondering if there has been any research done on this question. ...
- 4,952
2
votes
0
answers
215
views
Number of breakpoints in parametric maximum flow problems
The parametric maximum flow problem can be formulated as
$$f(\lambda) = \min_{x\in\{0,1\}^n} \left( \sum_{i}(a_i + b_i\lambda)x_i + \sum_{i,j}c_{ij}x_ix_j \right),
$$
where all $c_{ij}<0$ (so that ...
- 567
2
votes
0
answers
514
views
The marriage problem on NBC's "The Voice"
I'm a long time lurker here just never got around to registering so excuse the lack of reputation points.
So most people here are aware of the marriage problem: You're given a known number of ...
- 129
2
votes
0
answers
200
views
Projecting the unit cube onto subspaces of dimension at least $2$
This is an updated revision of a recent question where I asked:
Given a set $S$ of non-zero vectors in $\mathbb{R}^n,$ and a subspace $L,$ consider $f(S,L)=\max_{s \in S}\frac{\|Ps\|_2}{\|s\|_2}$ ...
- 30.1k
2
votes
0
answers
291
views
Stochastic Optimal Control - Maximizing convex terminal costs
The theory of stochastic optimal control deals with the following problem:
Find $\quad\sup\limits_{u} \; \mathrm E[g(X^{(u,x)}_T)]$
where $X^{(u,x)}_t$ solves the following controlled SDE:
$dX_t=\...
- 305
2
votes
0
answers
281
views
Recovering a piecewise affine function
Lets say I have an piecewise affine convex function $f(x_1,x_2)$, on which the following operations are possible:
Computing $f(x_1,x_2)$.
Computing a subgradient to $f$ at $(x_1,x_2)$
Computing all ...
- 567
2
votes
0
answers
5k
views
A system of linear equations with linear constraints
Mathematical problem.
Suppose we have $2n$ indeterminates $x_1,\dots,x_n$ and $y_1,\dots,y_n$ (which are denoted by $q$ with indices and called abundances below) and $m$ subsets $P_1,\dots,P_m$ of $\...
2
votes
0
answers
169
views
modification of singlestart in global optimization
When minimizing a nonconvex function $f : \Omega \rightarrow \mathbb{R}$ that may have multiple minima, there are some very simple strategies to improve the odds of finding the global minimum point. ...
- 4,485
1
vote
0
answers
29
views
Integral hull of a polyhedron Q is polyhedron
Let $Q \subseteq R^n$ be a rational polyhedron and let $Q_I=Convexhull(Q \cap Z^n)$. By finite basis theorem, we have $Q=P+C$ for some rational polytope $P$ and finitely generated cone $C$ where $C=R_+...
- 21
1
vote
0
answers
29
views
Change in active constraints when perturbing the objective of a QP
Suppose I have a quadratic program (with positive semidefinite cost matrix) with affine (polytopic) constraints. It is known that the solution to this is piecewise affine, with the ``pieces'' defined ...
- 11
1
vote
0
answers
91
views
How to optimize parametric information-theoretic bounds?
I am faced with an information-theoretic upper bound, such as
\begin{align}
\sqrt{\alpha'}2^{I_\alpha(X;Y)},
\end{align}
where $I_\alpha(X;Y)$ is the Rényi mutual information with parameter $\alpha>...
- 287
1
vote
0
answers
46
views
Intuition for proximal point method using L2 regularization
To minimize a function $f$, the proximal point method is defined as
$$x_{k+1} := \operatorname*{argmin}_x f(x) + \frac{1}{2\eta}\|x - x_k\|^2.$$
What's the intuition for why we want to use L2 ...
1
vote
0
answers
45
views
Conditions on LR in Gradient Descent
In Introductory Lectures in Convex Optimization by Yurii Nesterov, Section 1.2.3 shows that gradient descent is guaranteed to converge if the step size is chosen either with a fixed step size or ...
- 51
1
vote
0
answers
68
views
Uniqueness of a canonical homography decomposition
Consider a multi-camera system with $n \geq 3$ calibrated cameras, each represented by a projection matrix $P_i \in \mathbb{R}^{3 \times 4}$ for $i=1, \dots, n$. We first want to detect and track ...
1
vote
0
answers
66
views
Sum of k vectors with largest possible norm
Suppose I have a family of $n$ vectors in $\mathbb{R}^d$:
$v_1,\dots,v_n.$ Is there a poly-time algorithm that computes a subset $S\subset [n]:=\{1,\dots,n\}$ of size $1\leq k\leq n$ for which the (...
1
vote
0
answers
63
views
The rank of a matrix expression
I'm studying discrete-time LTI systems and state estimators for them. Recently, I studied this paper. I am facing a matrix rank calculation problem and having trouble solving it. I will provide more ...
- 4,484
1
vote
0
answers
99
views
Minimum of the maximum element frequency given the family size and the universe size
[Crossposted at math.stackexchange].
Consider families of sets $\mathcal{F}$ with size $n = |\mathcal{F}|$ and universe $U(\mathcal{F})$ with size $q = |U(\mathcal{F})|$.
I have written and solved ...
- 990
1
vote
1
answer
67
views
Low rank matrices which preserve maximizers of quadratic form
Suppose $x, y \in \{0,1\}^d$ are binary vectors. For a matrix $M$ consider the quadratic form,
\begin{align}
x^T M y + (\mathbb{1} - x)^T M (\mathbb{1} - y)
\end{align}
Does there exist an $M$ such ...
- 297
1
vote
0
answers
95
views
A stochastic optimal control problem with filtering-like dynamics
I want to extend the following stochastic optimal control problem with randomized feedback control to the continuous time case
\begin{align}
\text{minimize}\quad \mathbb{E}_{\mathbb{H}}&\bigg[\...
- 303
1
vote
0
answers
37
views
When does an optimal input sequence for a discrete-time system exist?
Suppose an LTI discrete-time system is given by the equations
$$
x_{k+1} = Ax_k + Bu_k,\\
y_{k} = Cx_k + Du_k
$$
with $x_k\in\mathbb{R}^{m}$, $y_k\in\mathbb{R}^{n}$ and $u_k\in\mathbb{R}^{p}$ and $\...
1
vote
0
answers
32
views
Variants of cutting plane method for convex optimization
The cutting plane approach in convex optimization is a general recipe for minimizing a convex function. The argument relies on the fact that using the gradient vector, we can cut the feasible set into ...
- 139