A non-linear optimization problem includes an objective function (to be minimized or maximized) and some number of equality and/or inequality constraints where the objective or some of the constraints are non-linear. Use this tag for questions related to the theory of solving such problems or for ...

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Finding a solution using the principle of maximum entropy?

I have set of linear constraints and would like to find an answer to its unknown variables, $p_i$'s. One of my options to find a solution for $p_i$'s using maximum entropy problem, $\max(\sum - p_i ...
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130 views

Maximize the maximum Eigenvalue under a diagonally constrained matrix

Suppose we have $N\times N$ Hermitian matrix $\mathbf{A}$ I want to find the real $N\times N$ diagonal matrix $\mathbf{D}$ that maximizes the sum of the maximum Eigenvalues : $\mathbf{D}=\arg\max ...
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122 views

How to maximize an entropy function?

I'm very novice in optimization and have a convex optimization function of form $\sum_{i,k} p_{k,i}*\log{p_{k,i}} $ to minimize with the following constraints: $\forall i, a_i = \sum_{k=1}^{m} b_k. ...
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59 views

Can this multidimensional non-linear equation with constraints be minimized analytically?

I wish to find the vector of real numbers, $\mathbf{w}$, that minimizes the function: $$f(\mathbf{w}\mid\mathbf{p},\mathbf{q})=\sum_{t=0}^T \left[\left(\sum_{i=0}^I w_ip_{ti}\right)-q_t\right]^2,$$ ...
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83 views

Are all non-convex problems created equal?

The distinction between convex and non-convex problems is usually dubbed as the distinction between easy and hard problems. While in the convex case you are golden (local optima are global optima; ...
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46 views

Optimal String Shape Problem

So here is the problem I am working on, Given a curve of length L connecting the points (0,1) and (1,0) find an expression for the equation of the curve that minimizes the area underneath it. In ...
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29 views

Can $\min f'x$ s.t. $(a'x - b)^2 \le d $ be written as a SOCP?

It does not appear to be significantly different from the form listed here: http://en.wikipedia.org/wiki/Second-order_cone_programming with (in article notation) $i = {1}$, $ A = a$, and $b$, $d$ as ...
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31 views

Monotonic transformation in numerical optimization

Taking the logarithm of the Cobb-Douglass utility function ($u = x_1^a * x_2^b$) yields a utility function whose argmin is somewhat easier to derive. Since the logarithm is monotonic for $u>0$, we ...
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68 views

Least squares problem with orthonormality constraints

Given $y_1,\ldots,y_n\in \mathbb{R}$,$w\in \mathbb{R}^d$, and $x_1,\ldots x_n\in \mathbb{R}^D$, how do we solve the following optimization problem \begin{align} \min_A \sum_{i=1}^n (y_i-w^TA^Tx_i)^2\\ ...
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79 views

Scaling factor and weights in Unscented Transform (UKF)

I'm trying to implement the UKF for parameter estimation as described by Eric A. Wan and Rudolph van der Merwe in Chapter 7 of the Kalman Filtering and Neural Networks book: Free PDF I am confused by ...
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52 views

Optimization problem with a minimization sub-problem as a constraint

I have a problem, for predefined $x_0,z\in\mathbb{R}$, which looks like $$\min_{\alpha,x} \sum_{i=1}^n \alpha_i f_i(x_i,z) $$ subject to \begin{align} \sum_{i=1}^n \alpha_i &= 1 \\ \sum_{i=1}^n ...
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23 views

Constraint approximation in non-linear optimization

In given non-linear optimization problem \begin{equation*} \begin{aligned} & \underset{x \in\mathbb R^n}{\text{maximize}} & & f(x) = \alpha^2 \\ & \text{subject to} & c(p(x)) \le ...
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38 views

How to reformulate this Set covering problem?

I am trying to solve the following implementation of the set covering problem of a crew rostering problem. Here constraint (19), meant to create a 12-hour break between the different shifts taken by ...
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34 views

Implement $\max$ with a closed form expression?

I have 2 functions: $f(x)$ and $g(x)$. Both of them range in $[0,1]$. Is there some way to define a $h(x)$ that efficiently takes the greater one of $h(x)$ and $g(x)$, i.e. $h(x) = \max \{ f(x),g(x) ...
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63 views

Showing a function is concave

Given $F(\underline{x}) = Ax_1 + Bx_2 + \ln(a^2-(x_1^2+x^2_2))$ on $S=\{\underline{x}\in\mathbb{R}\mid x_1^2+x_2^2<a^2\}$ with $A,B,a\in\mathbb{R}$, show that $F$ is concave on $S$. Since we have ...
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52 views

Identifying saddle points of a constrained nonlinear function with three variables

I know that if the Hessian matrix of a multivariable function at a given stationary point has both positive and negative eigenvalues then that stationary point must be a saddle point. Does the same ...
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18 views

Comparing the hardness of optimizing two similar, but different expressions

Suppose we have binary variables $y_1, ..., y_n$. To make the representation simple, we show the concatenated vector as $\mathbf{y} = (y_1, ..., y_n)$. Consider the two following functions: $$ ...
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62 views

Solving nonlinear matrix inequality - transformation to LMI

I have a nonlinear matrix inequality problem where $A,B,C$ and $M$ are known and T is unknown and I would like to find $T$ that satisfies $\begin{bmatrix} T^T M T + A & B \\ B^T & ...
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74 views

Lagrange condition and second-order conditions

Given a function to minimize or maximize with equality and/or inequality constraints, I can use Lagrange multiplier and/or KKT to solve such problems. So I understand how it works. My problem is ...
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58 views

Linearization of multiple normal functions

I have noticed that it takes a very long time to perform non-linear least squares fitting on datasets similar to this: where there are multiple Gaussian distributions to be fit to experimental ...
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49 views

QR-Decomposition of matrix valued function

I already posted the following question on MO, but id did not raise much interest there. Maybe the title is too elementary to gain research interest. Suppose I have a matrix valued function $$ ...
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17 views

What is some prerequisite to study nonlinear programming?

What is some prerequisite to study nonlinear programming? I already know calculus and linear programming is two perquisite, what else?
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48 views

Gradient of Objective Function

I want to know how to calculate the gradient $\triangledown f\left ( \mathbf{x} \right )$ of this functions: $f\left ( \mathbf{x} \right )=\left | \mathbf{a}^{H}\mathbf{x} \right |^{2}$, ...
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85 views

Optimization of Product of Different Objective functions (Ex.: Maximize The Product of projections of a complex vector)

Suppose We have this optimization problem which is convex $\mathbf{x}={\arg}\: \underset{\mathbf{x}}\max f_{i}\left (\mathbf{x} \right )$ But the product of different objective function is ...
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32 views

minimizing sum of squares

Say i have the following optimization problem. min $\sum\limits_{i=1}^m \parallel r - (y_i - Rx_i) \parallel_2^2$. where we are optimizing over $r \in R^n$ and also $R \in R^{n, n}$ is given. Also, ...
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34 views

Inequality optimization, KKT condition.

So we have the problem: maximize $x^2+y^2$ subject to $x^2-y \leq3$ and $y\leq 1$. And I sorted out the KKT conditions for the problem (is here where the problem is?): $2x=\lambda _12x$, ...
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115 views

Find min of $\frac{\left( \sum kx_k \right) \left( \sum x^2_k \right)}{\left( \sum x_k \right)^3}$

With $n \ge 2$ and $x_1,\ x_2,\ \dots,\ x_n > 0$. Find the minimum of: $$ M = \frac{(x_1 + 2 x_2 + ...+ nx_n)( x^2_1 + x^2_2 +...+x^2_n)} {\left( x_1 + x_2 +...+ x_n \right)^3}$$ For specific ...
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195 views

Minimizing sum of squared distances from point to spheres

Given some spheres with known radius and known origin in three dimensional space, I want to find the point P that lies "closest" to all these spheres. The meassure of closeness, I guess, will be the ...
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18 views

Sets of feasible directions

I'm not exactly sure how the different points matter. I believe $p=[1,1,-1]^T, [2,-1,0]^T, [3,0,-1]^T, [0,3,-2]^T$ are all feasible directions.
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48 views

Maximizing the product of projections of a vector on another vectors

I want to get the $N\times1$ complex vector $\mathbf{x}$ which maximizes this real valued function $f=\mathbf{x}^{H}\left (\mathbf{a}_{1} \mathbf{a}_{1}^{H}\mathbf{x}\mathbf{x}^{H}\mathbf{a}_{2} ...
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1answer
36 views

Impact of constraints on convex optimization

Let me start by saying I know almost nothing about optimization so please bear with me. Basically, I am wondering whether it is possible to solve a problem with two constraints by solving the problem ...
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31 views

Hessian of a non-linear Matrix function

Apologies if this is a silly question, but I am really confused. I am trying to find the Hessian of a non-linear function $f$. I understand that the Hessian of $f$ with respect to $A$ is the Jacobian ...
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General 2D taylor surfaces from axial behaviour and discrete points

I have a problem as follows: I have a nonlinear function, f(x,y), for which I (numerically) know the axial behaviours, f(x,y0) and f(x0,y), where x0 and y0 are constants. I can calculate discrete ...
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34 views

Finding the maximum/minimum of a homogeneous function on $R^n$

Suppose that $f:R^n\to R$ is homogeneous. Also, suppose that the $argmin_xf(x)$ is non-empty. Is it true that if there exist $x^*\in R^n$ such that $f(x^*)=0$, then $x^*=argmin_xf(x)$?
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37 views

Nonlinear optimization in exponents

$$ max \pi = 4x_1^\frac{1}4x_2^\frac{1}3 - x_1 - x_2 $$ It is not difficult to determine that this function is concave and yields a global maximum at some point for the quantities $ x_1, x_2 >= 0 ...
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80 views

KKT point of a constrained optimization problem

Min$_{x}~x$ Subject to $x \geq 0$ For this problem, is $(x^{*}, \lambda^{*})=$$(0,0)$ a KKT point ? My try : I formulated corresponding Lagrangian and tried to find out the KKT point(s). ...
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43 views

Convex functions -> quasi-convex functions -> … can we weaken the assumptions?

First of all let me say that I'm new to optimization. I realized that quasi-convex functions share with convex functions some nice properties, so I wonder if we can push the weakening a little ...
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46 views

Unconstrained Nonlinear Nonconvex Optimization: LBFGS vs. Interior Point Methods?

I'm finding the literature on interior point methods somewhat inaccessible but I've found papers benchmarking different interior point methods for unconstrained nonlinear Nonconvex optimization. I ...
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45 views

least-square optimization with linearly depend solution $x$

What is the exact solution $x_{n \times 1}$ of the following constrained optimization problem \begin{align*} &\min \|A x - b\|^2 \\ s.t.& C x = 0 \end{align*} where $A$ is full column rank $m ...
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2answers
69 views

Minimizing a convex cost function

I'm reviewing basic techniques in optimization and I'm stuck on the following. We aim to minimize the cost function $$f(x_1,x_2) = \frac{1}{2n} \sum_{k=1}^n \left(\cos\left(\frac{\pi k}{n}\right) x_1 ...
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90 views

Can SVD help to solve (inequality) constrained least squares problem?

Consider the following minimization problem: $$ ||Q u - h^{o} ||^{2} \to min \;\;\; s.t. \; u \geq 0 $$ where $Q$ is $m \times n$ matrix and $u$ is $n$-dimensional vector and $h^{0}$ is ...
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23 views

Non-linear estimate parameter

I have one non-linear function that define $$E_x(a,b)=\int K_\sigma(y-x) \cdot(b-b. e^{-a\cdot f(y)} \,) dy$$ where $y$ is neighboor points of $x$; $f(y)$ is a function of $y$; and $a$ is constant. ...
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23 views

Linear Quadratic Bilevel Programming Problem

How to solve this type of linear-quadratic bilevel programming problem ? Please help.
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32 views

Noncontinuous subadditive function

Is there any non-continuous additive function $f(x+y)= f(x)+f(y)$ from $\mathbb R$ to $\mathbb R$?
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56 views

Expressing rank condition of a matrix in terms of its elements

Let $x \in \mathbb{R}^{n}$, define $X = xx^{T}$. I have an optimization problem with some linear constraints and few quadratic constraints, and I have to solve for $x$. Using $X$ as the unknown ...
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79 views

using lsqcurvefit to fit piece-wise linear

I would like to use this function to fit piece-wise linearly to a set of data. Namely, I want to fit them with several linear segments. Including other requirements, I would not want the segments ...
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97 views

Maximize a function subject to the constraint $x^2+y^2=R^2$

Please help me how to deal with maximization of function $$f(x,y)=1-e^{-\pi x}+e^{\pi x}\left[1-\cos(\pi y)+\sin(\pi y)\right]$$ subject to the constraint $x^2+y^2=R^2$. Using Lagrange ...
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84 views

transforming nonlinear matrix inequality to LMI

I faced some nonlinearity in my problems. I need to check a matrix inequality condition in order to check the feasibility of designed controller through a continuous design problem. My problem is that ...
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75 views

Why is this a quadratic programming problem?

I am sorry if this is a stupid question, I'm very new. How would I minimize the following objective? $\sum_{k=1}^p\| I_{k} - M_{k}A \|^2$ Each I and M are known. I am told I can use a quadratic ...