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Optimization with convex constraints and convex objectives; notions related to convex optimization such as sub-gradients, normal cones, separating hyperplanes

2 votes
1 answer
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How to Find a Matrix Closest to a Given One Under Certain Constraints

I was reading a paper about BFGS and met the following problem: $\min_B \|B-B_k\|$, s.t. $B=B^{\top}, Bs_k=y_k, s_k^{\top}y_k>0$ and $B$ is positive definite. Here $B_k$ is a symmetric positive defin …
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