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Operations research, linear programming, control theory, systems theory, optimal control, game theory

22 votes

Is all non-convex optimization heuristic?

I think you will be interested in the work of Parrilo, Lasserre, Putinar, Sturmfels, Nie, Helton, etc., on sums-of-squares and moment methods for polynomial optimization. They look at principled ways …
Noah Stein's user avatar
  • 8,501
11 votes
Accepted

Non-negative quadratic maximization

First, note that the condition that $A$ be positive semidefinite (PSD) doesn't buy you anything. Replacing $A$ by $A+kI$ changes the objective value of any feasible solution by $k$, so if we could so …
Noah Stein's user avatar
  • 8,501
9 votes
Accepted

minimize the sum of absolute eigenvalues

The sum of the absolute value of the eigenvalues is the same (since the matrix is real and symmetric) as the sum of the singular values. This sum is called the nuclear norm of the matrix. So what yo …
Noah Stein's user avatar
  • 8,501
7 votes

SDP Feasibility

Alex gave a good answer, but I would just like to highlight a subtle problem with your claim about polynomial time solvability of SDPs. This depends on having inner and outer bounding balls to the fe …
Noah Stein's user avatar
  • 8,501
6 votes
Accepted

Analogue of PSD matrices for permanents?

The set $C$ is not convex, nor is its intersection with the symmetric matrices. To see this note that by linearly interpolating between each of the matrices below we maintain positive permanent and s …
Noah Stein's user avatar
  • 8,501
5 votes

Computational complexity of low rank SDP

Various NP-hard problems, such as MAX-CUT, can be formulated exactly as SDPs with rank constraints (just google e.g. "max cut sdp"). If you want to enforce such rank constraints anyway, a popular app …
Noah Stein's user avatar
  • 8,501
4 votes
Accepted

Maximizing linear objective function with absolute values

In general such a problem is NP-hard, so not expressible by a polynomially-sized linear program. A special case of the problem you mention is computing the $\lVert A\rVert_{\infty,1}$ norm of a matri …
Noah Stein's user avatar
  • 8,501
4 votes

a different algebra/representation for convex sets

Of course it's hard to say without any information, but linear matrix inequalities may be what you're looking for. They are to semidefinite programs what linear inequalities are to linear programs. …
Noah Stein's user avatar
  • 8,501
3 votes
Accepted

Maximize sum of largest eigenvalues

If I understand the question correctly, the answer is that no, optima need not occur at a unique point where some of the hyperplanes defined by tightness of the linear inequalities meet the boundary o …
Noah Stein's user avatar
  • 8,501
3 votes
Accepted

Lagrangian duality

At the level of generality you asked about, the answer is no, the claim is not correct. Of course, your case of interest may rule out counterexamples like the one below. It can happen that the prima …
Noah Stein's user avatar
  • 8,501
2 votes

What is the dual of an semidefinitely representable (SDR) cone?

Edited in response to Alex Monras's correction in the comments: The cone $\mathcal{K}^*$ is always SDR: this is just the conic / homogeneous version of Theorem 5.57 in the new book "Semidefinite Opti …
Noah Stein's user avatar
  • 8,501
1 vote

Finding an unfrustrated set of local linear constraints with given minimal value

As written it doesn't seem like this should happen very often. For example take $B$ to be a set with a smooth boundary, such as the $n$-disc and suppose that the sum $F$ is not the zero function. Th …
Noah Stein's user avatar
  • 8,501
1 vote

Convex optimization over vector space of varying dimension

You may be interested in some of the recent work of Bill Helton and his collaborators. The idea (very roughly) is to study convex problems which can be defined in some intrinsic way without reference …
Noah Stein's user avatar
  • 8,501
0 votes
Accepted

Best constant in a convex polynomial inequality.

This is just an answer to the new question added in the edit: no, $p\geq q$ need not hold everywhere. Let $p(x) = x^2 + (1+\alpha) x^6$ for some $\alpha\in (0,\frac{1}{4})$ and $q(x) = x^4 + x^6$. T …
Noah Stein's user avatar
  • 8,501