Questions tagged [non-convex-optimization]

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32 views

(Iterative?) Solutions to a certain quadratic program with non-convex constraints

Let $y\in\mathbb{R}^m$, $\tau\in\mathbb{R}$ and $X\in\mathbb{R}^{m\times n}$, with $\tau>0$ I would like to efficiently solve the following problem: Problem 1 Choose $\alpha,z\in\mathbb{R}^m,\beta\...
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0answers
68 views

Convergence of heavy-ball method for non-convex optimization

The heavy-ball method (also called gradient descent with momentum) is commonly used in optimization. The update rule can be written as: $$x_{t+1}=x_t-\eta\nabla f(x_t)-\beta (x_t-x_{t-1})$$ Suppose $\...
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0answers
45 views

Recovering sparsity from $\ell^1$ relaxation

I've read that $\ell^1$ norm on $\mathbb{R}^n$ is the convex relaxation of the $\ell^0$ "norm": $$\|x\|_0 \triangleq \sum_{i=1}^n I_{x_i \neq 0}.$$ In the regression setting, under what ...
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21 views

Approaches and approximations for specific non-convex low-rank optimization problem

I have recently begun looking at an optimization problem in the context of Wiener filtering and lower-dimensional representations. Assume $ X $ is a random vector of length $ n $ and $ Y $ is a random ...
2
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1answer
101 views

Hardness of concave minimization problem

I have an optimization problem $\underset{x}{\min} ~ c(x) - k \cdot x$ where $c(x)$ is a non-decreasing concave function with $c(0) = 0$, $x \in C \subseteq \mathbb{R}^d_{\geq 0}$. By non-decreasing, ...
2
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0answers
48 views

Variational forms of non-convex functions

I am trying to understand what kind of variational forms exist for non-convex functions. Alternatively, are there conjugate forms which attain strong duality? For a non-convex function $f$, I am ...
2
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0answers
102 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 ...
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1answer
127 views

A quadratic program with non-negativity constraints

Is there any closed form solution for the optimal value of the folowing optimization problem? $$\begin{array}{ll} \text{minimize} & (\mathbf{x} - \mathbf{y})^{\mathrm{T}}\mathbf{B}(\mathbf{x} - \...
5
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1answer
184 views

If $\ell_0$ regularization can be done via the proximal operator, why are people still using LASSO?

I have just learned that a general framework in constrained optimization is called "proximal gradient optimization". It is interesting that the $\ell_0$ "norm" is also associated with a proximal ...
5
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1answer
257 views

Solving a linear program, but over the unit sphere

I want to solve a linear program but with a subset of the variables taken from a unit sphere. That is, given fixed $\textbf{c} \in \mathbb{R}^{n}$, $\textbf{A} \in \mathbb{R}^{m \times (n+k)}$, I want ...
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137 views

Quartic optimization problem over the unit Euclidean sphere

I want to solve following optimization problem in $x \in \mathbb R^n$. $$\begin{array}{ll} \text{maximize} & \displaystyle\sum_i(x M_i x^T)^2\\ \text{subject to} & \|x\|_2 = 1\end{array}$$ ...
2
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0answers
51 views

Solving Mixed-Integer Non-Linear Optimization Problem

I would like to solve the following optimization problem: \begin{array}{ll} \underset{x_{i}\geq0,\, \pi_{i}\in\{0,1\}}{\text{minimize}} & \displaystyle\sum_{i=1}^n x_i\\ \text{subject to} & ...
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2answers
117 views

Program to solve Optimization Problem

I have an optimization problem, this problem has linear constraints and nonlinear constraints. I solved the linear part by MATLAB but the nonlinear constraints I could not solve it. I downloaded ...
7
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2answers
317 views

Proving an infinite norm minimization problem has finite support (non-convex p-norms)

Consider an optimization problem over infinite variables: $$ \begin{align} \min_{x}~& {\left\lVert{x}\right\rVert }_p \\ \text{s.t}~& \left\langle x, a_n\right\rangle \ge 1~,~\forall n=1,\...
4
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1answer
121 views

Optimizing a multivariate symmetric (permutation-invariant) function

Let $\ell$ and $d$ be two integers such that $\ell \le d$. I would like to find the global maxima of the following symmetric function $f\colon (0,1]^n \to \mathbb{R}$, $$f(x_1, \ldots, x_n) := \sum_{\...
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2answers
1k views

Maximizing a convex function with a convex constraint

Given a convex function $f : \mathbb{R}^n \to [0,\infty)$, the objective is to find the farthest point in the level set $\left\lbrace x \in \mathbb{R}^n \mid f(x) \leq 1\right\rbrace$ (Assuming that ...
2
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1answer
79 views

Linear optimization with one positive definite quadratic equality condition in P?

I have the following minimization problem in $z \in \mathbb R^n$, which contains $x_1, \dots, x_t, y \in \mathbb R$. $$\begin{array}{ll} \text{minimize} & y\\ \text{subject to} & xQx'= y\\ &...
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0answers
135 views

non-convex optimization with constraint

I have a special non-convex optimization problem: $\min / \max \ f(x) + g(x) + h(x)$, subject to $| g(x) - h(x)| < \varepsilon$, where $f(x)$ is non-convex, but both $g(x)$ and $h(x)$ are ...
1
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1answer
259 views

Maximizing quadratic form subject to inequality constraints [closed]

Given a $n \times n$ symmetric matrix $\rm S$, solve the optimization problem in $n \times k$ (where $n \geq k$) matrix $\rm X$ $$\begin{array}{ll} \text{maximize} & \mbox{tr} \left( \mathrm X^\...
7
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2answers
314 views

Eigenvalue problem with two quadratic constraints

I would like to solve the following problem: $$\begin{array}{ll} \text{minimize} & \mathbf{x}^T \mathbf{A} \mathbf{x}\\ \text{subject to} & \mathbf{x}^T\mathbf{B}\mathbf{x} = 0\\ & \...
3
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1answer
77 views

Why to multiply the penalty by $n$ in the penalized least squares and likelihood?

In the SCAD paper by Fan and Li (2001), there exist two forms of penalized least squares as follows: $$\frac{1}{2}\left \| y-X\beta \right \|^2+\lambda \sum_{j=1}^{d}p_j (\left | \beta _j \right |),$$ ...
1
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1answer
242 views

Are there any solvers to Chance Constrained Programming Problems

I'm trying to solve a chance constrained programming (CCP) problem $\min_x f_0(x, \xi), \text{ such that } \mathbb{P} ( f_i(x, \xi) \ge \alpha_i ) \le \epsilon_i, \text{ where } i = 1,2,\cdots, m$ ...
5
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1answer
284 views

Maximize the determinant of Boolean combinations of positive definite matrices

I have the following optimization problem. $$\begin{array}{ll} \text{maximize} & \det \left(\sum^n_{i=1}z_i W_i \right)\\ \text{subject to} & \sum_{i=1}^n z_i = N\\ & z_i \in \{0,1\}\end{...
4
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1answer
2k views

Can you give me good examples of non-convex functions that are problematic for optimization?

I want to test my extended gradient descent algorithm, whose aim is to handle non-convex problems better. Can you give me some examples of non-convex functions that are hard to minimize via gradient ...
1
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0answers
237 views

Is this QCQP convex or nonconvex?

\begin{equation} \begin{split} \min_{x\in \mathbb{R}^n}\:f(x)=(1/2)x^{T}Q_0x+c_0^T x \end{split} \end{equation} s.t. $$ g_i(x)=\frac{1}{2}x^T Q_ix-lmax_i\leq0,i\in\{1,...,m/2\} $$ $$ g_i(x)=\frac{...
5
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2answers
1k views

Quadratically constrained linear program (QCLP) over $x$ with the linear constraint $x = Az$

I have a problem that looks very much like a norm-constrained linear program, but with an extra constraint that is unusual for me. The problem is the following. Given a matrix $A$ and a vector $w$, $$...
11
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2answers
4k views

Linearly constrained eigenvalue problem

Suppose I'd like to: \begin{align} \mathop{\text{min}}_\mathbf{x} && \mathbf{x}^T\mathbf{A}\mathbf{x} \\ \text{subject to:} && \mathbf{x}^T \mathbf{M} \mathbf{x} = 1\\ && \...
5
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1answer
841 views

Maximizing quadratic form on the hypercube

I want to maximize a quadratic form $\mathbf x^T\mathbf Q\mathbf x$ and also want to find out which vector $\mathbf x$ maximizes the quadratic form when $\mathbf Q$ is an $n\times n$ positive ...
3
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1answer
652 views

Nonconvex optimization problem

I have a nonconvex optimization problem with a linear objective function, a set of linear constraints and a set of nonlinear, non-convex constraints. Is this problem NP-hard? If so, how can I prove ...
3
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1answer
382 views

Is the feasibility of a system of non-convex quadratic equations and inequations decidable?

I would like to know whether the following problem is decidable. Given the following system in $x \in [0,1]^n$ $$x^T Q_i x + r_i = 0 \mbox{ for } i = 1, ..., k$$ $$x^T Q_j x + r_j \neq 0 \mbox{ ...
2
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1answer
152 views

Non-convex quadratic optimization

I would like to optimize the following system: $$\min_{q,\|q\|=1} \sum_i^n |q^T M_i q|$$ More details: the size of the unknown vector $q$ is $4 \times 1$, $M_i$ is a matrix of size $4\times 4$. It ...
1
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1answer
604 views

A non-convex quadratically constrained quadratic program

$$\begin{array}{ll} \text{minimize} & \beta^{T} A \beta\\ \text{subject to} & \beta^{T} C \beta=1\\ & \beta \geqslant 0\end{array}$$ where $A, C\in \mathbb{R}^{M\times M}$ and $\beta \in ...
2
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1answer
968 views

Can one maximize the spectral norm of a matrix via semidefinite programming?

Consider the following optimization problem: Maximize $\|X\|_2$, subject to $X$ being Hermitian (or symmetric) and a bunch of semidefinite constraints on $X$. Here, $\|X\|_2$ is the spectral norm of ...
1
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3answers
2k views

Solving a non-convex quadratically-constrained quadratic program

I have the following quadratic optimization problem: $\min_{\vec{x}} |\vec{x}|^2$ subject to $\vec{x}^T G_j \vec{x} \geq 1$, $j = 1 \ldots m$, where the $G_j$ are positive semidefinite. $|\vec{x}|$ is ...
2
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2answers
2k views

Projected gradient descent for non-convex optimization problems

My question is in regards to the minimization of a convex function where the feasible set of solutions is non-convex. Can projected gradient descent (PGD) be used here to obtain a stationary solution? ...
47
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7answers
22k views

Is all non-convex optimization heuristic?

Convex Optimization is a mathematically rigorous and well-studied field. In linear programming a whole host of tractable methods give your global optimums in lightning fast times. Quadratic ...