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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153 views

Scale ellipsoid maximally within polyhedron

Given an ellipsoid around the origin with scaling parameter $e$ in the form $x^T E x \leq e$ and a polyhedron $P$ given by $A x \leq b$, how can we define an optimization problem that maximizes e such ...
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26 views

How to interpolate a function with a reproducing kernel

I am trying to interpolate a function that is noisy, but I know with a high amount of certainty about a third of the points in the series. I am trying to estimate the smooth mean of the signal via a ...
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33 views

Solving an inverse squared sum

How would I go about solving this sum for $x$? $$\sum_i\frac{a_i}{(x+b_i)^2}=C$$ Where $\mathbf{a}$ and $\mathbf{b}$ are vectors and $C$ is a constant, and $x$ is a single number. It's for an ...
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226 views

Gauss-Newton vs Gradient descent

I would like to ask first if the second order gradient descent method is the same as the Gauss-Newton method. There is something I didn't understand. I read that with the Newton's method the step we ...
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1answer
34 views

Finding sparsest solution of a linear system

I want to find the solution $x$ with most zeros in its components, to: $Ax=b$ for $A\in \mathbb{R}^{k \times n}, b \in \mathbb{R}^k$ ($k < n$), where $x \in \mathbb{R}^n$ has no additional ...
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117 views

Strong duality for nonconvex quadratic program (with multiple constraints)

Consider the following optimization \begin{eqnarray} P_1: \quad &\underset{x\in\mathbb{C}^N}{\mathrm{minimize}}&\; f_0(x) \\ &\mathrm{subject\;to}&\; f_i(x) \leq 0, i=1,\ldots,m \\ ...
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42 views

Structural / design / meta optimization - is there mathematical theory. Optimization over categories?

There is huge branch of mathematical optimization theory, but it mostly considers the finding optimal parameter values for the predefined structures. There are variational calculus and optimal control ...
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97 views

From constrained to unconstrained maximization problem

I have the following constrained maximization problem $$ \max_{X_1,X_2,...,X_i,...,X_N} \sum_{i=1}^{N}X_i f_i(X_1,...,X_N) \hspace{0.2 cm} \text{subject to} \sum_{i=1}^{N}X_i-B\leq 0 \text{ and } ...
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54 views

short-sale constraint with nonpositive-definite matrix in portfolio optimization

This question is about portfolio optimization in R. I have a nonpositive-definite matrix. I have handled with the singularity. Unfortunately, quadprog etc. optimization packages fail to solve the ...
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1answer
49 views

Minimizing a function in Mathematica

Edit: I simplified the function using $\textbf{Simplify[...]}$ How can I minimize this function of $x$, where $l$ is a positive constant? $$\frac{1}{2} \sqrt{\frac{x}{l}+\frac{l}{x}+4 x^2-2}$$ ...
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26 views

Solving nonlinear system of ODEs

I have the following system of differential equations: $$ \begin{cases} \frac{dx}{dt} = (1 - y) x - 0.4 xu \\ \frac{dy}{dt} = (x - 1)y - 0.2yu \\ \psi_1' = - \frac{dH}{dx} = (-1 + 0.4u)\psi_1 + y ...
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28 views

Constrained nonlinear optimizacion

I have encountered this optimization problem while trying to implement the method proposed in this very interesting paper: http://www.mae.cuhk.edu.hk/~cwang/pubs/JCISERealTimeSkeleton.pdf the ...
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38 views

What does coordinate descent actually do?

We've done a bunch of theoretical stuff in my optimization class, but basically no time for the actual implementation details. I'm trying to get an understanding of coordinate descent, which if I'm ...
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51 views

Linear optimization w/ linear and non-linear inequality constraints

Given dependent variables $Q_i$ and independent variables $x_i$, $y_i$, $z_i$ where $i=1,⋯, N $ which are related via the following system of N linear equations with parameters $P_1$, $P_2$ and ...
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4answers
96 views

If $2000 m^{2}$ of material is used to to construct a box…,then what is the largest possible volume of the box?

If $2000 m^{2}$ of material is used to to construct a rectangular box with a square base and an open top,then what is the largest possible volume of the box? I put an equation for the volume : $V = ...
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1answer
53 views

Removing a max function in the constraints

Can the following problem be transformed into a linear programming problem: Find $x_1,..,x_N$ which maximizes the objective function $$\sum_{i=1}^{N}x_{i}\sum_{j=1}^{n_{i}}c_{ij}$$ subject to the ...
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51 views

MINLP optimization with matlab reaching different solutions every run

I have written a program for optimizing a set of generators. I have hourly price and cost data and need to figure out when a generator should run or just stay off. I describe the problem in more ...
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78 views

matlab MINLP optimization with ga

I have written a program for optimizing a set of generators. I have hourly price and cost data and need to figure out when a generator should run or just stay off. There are additional constraints but ...
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24 views

discrete nonlinear convex optimization relaxation over a dense set

Be a discrete nonlinear convex optimization problem $P$ \begin{align} \underset{x\in \mathrm{C}^n}{\mathrm{min}} \ \ \ f(x) \\ Ax=b \\ c \leq x \leq d \end{align} $C$ is a dense in $F$. Is solving ...
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24 views

Optimal value of decision variable leads to inconsistency

$\epsilon$ is a random variable with support in $(0.8,0.95)$ and pdf $f(\epsilon)$. The following equation arises out of a business problem: $ENP=800*A*E(\epsilon)+ 9000 - ...
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39 views

Minimization using logarithmic barrier function

I'm thinking of the quadratic problem(QP) \begin{align} &\underset{x\in \mathrm{R}^n}{\mathrm{Minimize}}\ \ \ \frac{1}{2}x^\top{}Qx + f^\top{}x\\ &\mathrm{subject\ to}\ \ \ \ a_ix \leq b_i\ ...
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31 views

Point spectrum of a nonlinear operator on finite dimensional space

Given a nonlinear operator $T$ mapping $\mathbb R^n$ into itself, are there any known conditions on $T$ ensuring that the number of points in its point spectrum is upper bounded by the dimension $n$?
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25 views

Optimal time control for the system of two non-linear ODE

I have the following system of two non-linear ODE with one control variable (modified model of Lotka-Volterra): Here is $\alpha, \beta, \gamma, \delta$ - some constants, $u$ - control variable. ...
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86 views

A binary min-max optimization problem

I encountered a very special optimization problem for a practical application. We have a variable $$\mathbf{s}=(s_1,s_2,s_3, s_4)^T$$, where $s_i$ can only take $1$ or $-1$, and we also have a ...
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16 views

Polar cones' property [duplicate]

I am trying to prove: $A \subseteq B \implies B^\circ \subseteq A^\circ$ where $A^\circ$ is polar cone of $A$ ($A$ convex cone) and $B^\circ$ is polar cone of $B$ ($B$ convex cone)
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1answer
59 views

What does 'the level set is bounded' exactly want to tell?

'The level set is bounded.' occurs in many theorems and other places. I think I can understand the definition of 'level set' but I don't know what does 'it's bounded' want to tell me exactly in ...
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12 views

Finding a Sparse Binary Vector Which Satisfies a Vector Ordering

I have a research problem that I have reduced to the following problem which seems to be hard: Find $\mathbf{x}\in \mathbb{B}^N$ $(\mbox{where }\mathbb{B}= \{0,1\})$ which is $K$-sparse and which ...
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1answer
26 views

How to convert non-PSD matrix to PSD matrix?

I have a mixed-integer optimization problem with the following constraint matrix $Q_1$: \begin{array}{cccccc} 0 & 0 & 0 & 0 & 0 & 1 \\ 0 & 0 & 0 & 0 & -1 & 0 ...
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2answers
106 views

Local optimality of a KKT point.

Consider the problem \begin{equation} \min_x f(x)~~~{\rm s.t.}~~~ g_i(x)\leq 0,~~i=1,\dots,I, \end{equation} where $x$ is the optimization parameter vector, $f(x)$ is the objective function and ...
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62 views

How to get the perfect square for the following equation

The problem is defined as follows: $$ \min_X tr(X^T A X)-\alpha tr(X^T B) $$ I want to get the equal perfect square equation as that above, that is $$ \min_X \| X-C\|_F^2 $$ where $C$ is related to ...
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194 views

fantasy basketball model

i'm creating a fantasy basketball model (could be used in other games too) where we can project how well a player will do against another team even when the player hasn't played against a certain team ...
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1answer
80 views

Solving a Non-linear Multivariable System of equations

How would I go about solving a system of nonlinear equations where the highest degree is two? For example: $$f_1(x) = f_1(x_1, x_2,\dots, x_n) = 0,$$ $$f_2(x) = f_2(x_1, x_2,\dots, x_n) = 0,$$ ...
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44 views

Quadratic Program reformulation

I have the quadratic program $$\max\quad \mu^Tx+r_fx_0-\gamma \sum\limits_{i=1}^n |x_i-y_i|-\frac{\lambda}{2}x^TVx$$ $$\text{s.t. }\quad \mathbb{1}^Tx+x_0=1$$ where $\mu$, $r_f$, $\gamma$, $\lambda$, ...
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29 views

Newton's method: Is the change of parameter values between consecutive steps always decreasing?

Assume that I have a twice differentiable function $f(x)$ which I try to maximize with respect to $x$ (let's say $x$ is $k$-dimensional vector). When performing optimization via Newton algorithm, ...
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28 views

Are there any algorithms for simultaneous optimization of multiple objective functions?

I would like to minimize a set of similar objective functions $$f_\boldsymbol{s}(\boldsymbol{x}),$$ where $\boldsymbol{x} \in A \subseteq \mathbb{R}^M$ and the parameterization $\boldsymbol{s} \in S ...
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63 views

Roots of an equation using Maple

I am using Maple to find the roots of a non-linear equation in one variable. When I solve the equation, I get only 2 negative roots whereas if I plot the graph of the function, it also shows that the ...
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203 views

Direct multiple shooting (numerical optimal control)

please, Iam currently implementing direct multiple shooting method* and I need one simple but fundamental concept answered: When I want to provide not only objective funtion value (result of ODE ...
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72 views

SOCP or SDP optimization problem

I am studying an optimization problem \begin{equation} \mathbf{w}^* = \text{argmax} \sum_{d=1}^D \log \bigg( \frac{|\mathbf{f}_d^H\mathbf{w}|^2+c_1}{|\mathbf{f}_d^H\mathbf{w}|^2+c_2} \bigg)\\ \\ ...
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2answers
45 views

Sensitivity of polynomial global minimizers with respect to perturbations in the coefficients.

I'm trying to find the value of a global minimizers of a multivariate polynomial (4 variables) of high order numerically. The numerical values of the coefficients are coming from noisy measurements ...
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51 views

Newton's method for unconstrained optimization applied to a quartic function in R2

I am faced with the task of applying Newton's method to the following problem: $$ \text{min} ~~~~~ 8x_1x_2+\frac{1}{4}(x_1-x_2)^4 $$ where $x \in \mathbb{R}^2$. For clarification, the Newton method ...
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1answer
18 views

About constrained optimization

I've the following optimization problem:$$\min f(\theta_1,\theta_2)=\frac{a}{\cos\theta_1\cdot v_1}+\frac{b}{\cos\theta_2\cdot v_2}$$$$\operatorname{sub}\quad a\cdot\tan\theta_1+b\cdot\tan\theta_2=c$$ ...
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107 views

Why is the conjugate direction better than the negative of gradient, when minimizing a function

In gradient descent we minimize a function $f(\textbf{x})$, by using the update rule: $$\textbf{x}_{t+1} = \textbf{x}_t-\alpha\nabla f(\textbf{x}_t).$$ We also know, that at each iteration we have ...
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22 views

A weird optimization problem

I've the following optimization problem:$$\max f(R,z)=R^2(a+z)$$$$\operatorname{sub}\begin{cases}R^2+z^2=a^2\\0\le z \le a\end{cases}$$ Once solved it gives $z=a/3$, ... Consider now the ...
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52 views

Can a positive definite kernel produce a kernel matrix which has negative eigenvalues?

(1) I've read that a symmetric matrix is positive definite when its associated eigenvalues are all positive. I am learning SVM lately, and have come to know a $d$th-degree polynomial kernel ...
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109 views

What is the correct change of variables to yield convexity in this nonlinear optimization problem?

$$ \text{min. } x/y \\ \text{s.t. } 2\leq x \leq 3 \\ x^2+y/z\leq \sqrt{y} \\ x/y=z^2 \\ x,y,z\geq 0 $$ To transform this problem into a nonlinear convex optimization problem, both the objective ...
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1answer
50 views

Why test problems in convex optimization are mostly random?

Very often people who compare performance of different algorithms in convex optimization use randomly generated data. For instance, this often happens in compressed sensing and signal processing. Is ...
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54 views

Solve: tanh(x) = a*x + b - most efficient way

I work on DSP code, where some equations are of form: tanh(x) = a*x + b (tanh or other hyperbolic functions) Currently I use Newton-Raphson method. Is there a better/faster method of finding ...
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1answer
49 views

How to linearize this mixed-integer nonlinear constraint

Can someone please help me to linearize the following nonlinear/nonconvex constraint: $\sum\limits_{n=1}^Na_n\rm{log_2}(1+x_ny_n)\le M\delta$ Here $a_n \in\{0,1\}$, binary integer variable $0\le ...
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1answer
48 views

How to linearise this nonlinear constraint

I want to linearize or convexify this following constraint. Here $c_t$ is binary integer variables, $p_t$ are continuous variable which are bounded. $\gamma$ is a continuous variable. $h_t$ and $V$ ...
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31 views

What is a good optimization algorithm/tool for otimization on Partially Ordered set?

Actually I'm interested to minimize following kind of functions: $f: U \rightarrow V$ where: $U$ is a vector space and $V$ is a Ordered vector space, i mean Partially Ordered Vector space. ...