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Optimization with convex constraints and convex objectives; notions related to convex optimization such as sub-gradients, normal cones, separating hyperplanes
0
votes
Accepted
Solution to a quadratically constrained quadratic program with unit ball constraint
$\newcommand\R{\Bbb R}\newcommand\la{\lambda}$Remark 1:
Let
\begin{equation*}
g(s):=q^T(P+sI)^{-2}q
\end{equation*}
for real $s$ such that $P+sI$ is invertible. The function $g$ is nonnegative an …
1
vote
Accepted
Does approximately null gradient imply approximately global minimum for convex functions?
$\newcommand\Om\Omega\newcommand\R{\Bbb R}$The answer is no.
Indeed, for real $k>0$, let
$$G_k:=\{(x,y)\in\Bbb R^2\colon x>1,|y|<k\sqrt x\}. $$
For $(x,y)\in G_2$, let
$$f_0(x,y):=y^2/x-1.$$
For all $ …
1
vote
Accepted
Optimal transport for sum of two costs
$\newcommand\opt{\operatorname{opt}}\newcommand\de{\delta}\newcommand\si{\sigma}$The answer is no.
Indeed, take any $h\in(0,1)$. Let $X=\{1,2,3,4\}$. Suppose that
$$\si_0=\frac12\de_1+\frac12\de_4,\qu …
2
votes
Iterated optimal transport
we could greedily solve the first two transport problems separately and then compose the plans, but I suspect this not optimal.
Indeed, this is not optimal in general. Here is an example:
$X=Y=Z=\{ …
1
vote
Accepted
Equivalence of minimizing trace and determinant over matrix quadratic form in multivariate r...
$\newcommand\tr{\operatorname{tr}}$Let
$$Q(B):=(Y-XB)^T(Y-XB).$$
Since the column spaces of the matrices $X^TX$ and $X^T$ are the same, there is a matrix $B_*$ such that
$$X^TXB_*=X^T Y.$$
For each $z …
2
votes
Accepted
Clarification about this optimisation problem
Your question is
Find the minimum of $f(x,y)=(x-2)^2+y$ subject to $y-x^3\ge0$, $y+x^3\le0$ and $y\ge0$.
The restrictions $y-x^3\ge0$, $y+x^3\le0$, and $y\ge0$ can be rewritten as $0\le y\le-x^3$ or …
1
vote
Is there a closed-form solution for $\max_D \operatorname{Tr}(ADBD)$
For any of your diagonal matrices $D$, let $J:=J_D$ be the set such that $D_{i,j}=1(i=j\in J)$ for all $i,j$ in the set $[N]:=\{1,\dots,N\}$, where, for any matrix $M$, its $(i,j)$-entry is denoted by …
1
vote
Accepted
Convexity of a function
The answer is yes. Indeed, the cdf $F$ of the binomial distribution is log concave -- see e.g. Theorem 2 on p. 152, used with $\alpha=1$, $r=\infty$, and $q$ being the probability mass function of the …
5
votes
Is this constraint convex?
Rewrite the constraint as
$$x_n \le f_n(\rho_1,\dots,\rho_n):=\ln\Big(B\log_2\Big(1+\frac{e^{\rho_n} g_n^2}{\sum_{i=1}^{n-1} e^{\rho_i} g_i^2+\sigma^2}\Big)\Big).$$
The problem is then to prove the co …
1
vote
Accepted
On the additive property of the subdifferential of lower semicontinuous functions
In part (P3) of Definition 2.1 in the paper you linked, it is also required that $g$ be $\partial$-differentiable at $x$ (meaning that both $\partial g(x)$ and $\partial(-g)(x)$ are nonempty), which i …
2
votes
Maximization of $\ell^2$-norm
$\newcommand{\n}{\lfloor{r/c}\rfloor}$We have
\begin{equation*}
s_{r,c}=\sqrt{\n c^2+(r-\n c)^2}.
\end{equation*}
Indeed, by continuity and interchangeability of the coordinates,
\begin{equation*} …
4
votes
Accepted
Conic hull of a rectangle
A counterexample is given by $n=2$, $[a_1,b_1]=[-2,1]$, $[a_2,b_2]=[-1,2]$. (Make a picture.)
Even if the $n$-box $S$ is required to be a subset of $[0,\infty)^n$, the answer will still be no. E.g., …
0
votes
Accepted
If $|P|<\infty$ and $C=P\cap\partial(\textrm{Conv}(P))$, then $P\subset\textrm{Conv}(C)$?
$\newcommand\conv{\operatorname{conv}}\newcommand\ext{\operatorname{ext}}\newcommand\p{\partial}$The answer is yes. Indeed, let $K:=\conv P$ (the convex hull of $P$), let $\p K$ be the boundary of $K$ …
1
vote
Accepted
Boundedness of maximisers of parametric strictly concave functions
$\newcommand{\R}{\mathbb R}\newcommand{\la}{\lambda}\newcommand{\al}{\alpha}\newcommand{\be}{\beta}\newcommand{\tal}{\tilde\al}\newcommand{\ga}{\gamma}\newcommand{\K}{\mathfrak K}$The answer is yes -- …
4
votes
optimization over moving domains
$\newcommand\R{\mathbb R}$The answer is no.
E.g., let $A=B=\R$, $B_a=[1-a^2,2]$ for $a\in A$, and $\ell(b)=b^3-3b$ for $b\in B$. Then $\ell(b)$ and $B_a$ are perfectly smooth, but $L$ is not different …