1
vote
2answers
26 views

multi-objective optimization

I am currently encounterring a optimization problem. The goal is optimize an objective function A and B at the same time. But the problem is that optmizing A will almost always tradoff with B, such ...
2
votes
0answers
24 views

Finding optimal hyperplane

I have a set of vectors $\{V_i\}$ in $n$-dimensional space. There is a number corresponded to each vector $\alpha_i = f(V_i)$ ($\alpha_i$ can be negative). I want to find a hyperplane which would ...
0
votes
0answers
9 views

Non-convex maxmin optimization

I am dealing with the following maxmin optimization problem: $c^*, x^* = \arg\max\limits_{c \in C, x \in X} [f(c, x) + \min\limits_{\tilde{x} \in X} g(c, \tilde{x})] $ $f$ and $g$ are differentiable ...
0
votes
0answers
24 views

How to characterise this non-linear optimisation (linear objective function, non-linear constraints)

I was wondering if someone may be able to help me characterise this optimisation problem as I am struggling to find a numerical library that will solve it and I suspect it is because I am using the ...
1
vote
2answers
123 views

Trace minimization of a matrix

Suppose $S = \pmatrix{1&1\\ 1&0\\ 0&1}$, $W$ is a $3\times3$ covariance matrix, which could be regarded as fixed. I need to find a $2\times 3$ matrix $Q$ that minimizes $$ ...
0
votes
2answers
53 views

Regularization vs. Inequality Constraint

For what values of a regularization parameter $\alpha$, there is an equivalent inequality constraint in convex optimization? In particular, in the convex optimization problems below $$ \text{ Problem ...
0
votes
0answers
13 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 ...
0
votes
1answer
46 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 ...
0
votes
0answers
16 views

Find $\underset{\omega}{min}$ $\underset{\beta \in \sigma(A)}{max}$ $|\frac{\omega - \beta}{\omega + \beta}|$

as part of an algorithm for the solution of a linear system I'm trying to find $\omega > 0$, $\omega \in \mathbb{R}$ so that $\underset{\beta \in \sigma(A)}{max}$ $|\frac{\omega - \beta}{\omega ...
1
vote
0answers
38 views

Linear Programming, Optimal Solutions

I posted the whole question to give some context, but my problem lies with (iv). I think you're meant to use a formula for the generalization of the optimal solution, but I'm not really sure what ...
0
votes
1answer
38 views

Evaluate smartly a function on a multiplication grid

I am asking myself the following question: Suppose one has a grid $G \in \mathbb{N}^{n\times n}$ where $g_{ij} = i\cdot j$, $i,j \leq n$. I would like to evaluate a function $f: G \to \mathbb{N}$. ...
1
vote
1answer
49 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). ...
1
vote
0answers
37 views

Maximize minimum optimization using linear integer programming

I am trying to solve a maximize minimum optimization. I have four different items that each of them has 10 values of Rates and for each value it has a corresponding weight. Then I have a free table ...
0
votes
0answers
13 views

Linear Quadratic Bilevel Programming Problem

How to solve this type of linear-quadratic bilevel programming problem ? Please help.
1
vote
0answers
60 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 ...
0
votes
0answers
30 views

Linear least squares with sparse inequality constraints for support function estimation

The initial problem is the following: $$ ||h - h^{0}|| \to min \; \; s.t. Qh \leq 0 $$ where $h^{0} \in \mathbb{R}^{n}$ is known vector and $Q$ is a $m \times n$ matrix. The problem arises in specific ...
0
votes
2answers
138 views

Quadratic Function must be positive definite to have a unique minimum

I have attempted the following question multiple times and I am very confused about the proof please help me solve it. Let $V(x)=a+b^{T}x+\frac{1}{2}x^{T}Cx$ for some $a \in \mathbb{R}, b \in ...
1
vote
0answers
30 views

Effect of approximating a non-differentiable function on optimisation of minimisation

I am looking at a problem of constrained minimization, where the function to be minimized contains the Heaviside function, and as such is not twice continuously differentiable. My question is what ...
0
votes
0answers
33 views

constrained minimization in N dimensions

I am looking to create an algorithm to minimize an N dimensional problem. I am unsure how to write it in its generic form, so I will show it in 1, 2 and 3 dimensions Minimize $ \sum_{i} x_i\left [ ...
1
vote
1answer
114 views

Free software or algorithm for Second-Order Cone Program

I need to solve the following optimization problem: $$ \mathbf{x}^\ast = \operatorname{argmin}_{\mathbf{x}} \Vert \mathbf{Rx} \Vert_2^2 \;\;\; \mathrm{s.t.} \;\;\; \mathbf{s}^\mathrm{H} \mathbf{x} = ...
2
votes
0answers
86 views

Optimization - show that linearized feasible set is empty.

I need help in the following problem: Consider the following optimization problem $$ \min_{x_1,x_2}-x_1-x_2\quad\text{s.t.}\quad x_1^2+x_ 2^2-1=0,\quad x_1,x_2\geqslant 0.$$ Show that the ...
2
votes
1answer
54 views

Initialization of Limited-memory BFGS (using libLBFGS)

I am using the package libLBFGS in order to minimize an objective function, for which the first derivative (with respect to the optimization variable) is known and computable. I use the default ...
0
votes
0answers
60 views

What numerical methods could I use for this argmin problem?

I wish to solve the following using Numerical Methods: $$ \bar{m} = \underset{m \geq 0}{\text{argmin}} \left( \int_a^b \left( \frac{1}{\left(\sum_{i=1}^M \left(c_i^\alpha \cdot n^2 y^{-m-1} \cdot ...
1
vote
0answers
76 views

Orthogonal Procrustes Problem

The classical orthogonal Procrustes problem concerns finding the matrix $\Omega$ which minimizes $||A\Omega-B||_{F}$ subject to $\Omega'\Omega=I$, with A and B known matrices. Let A be the identity. I ...
-1
votes
1answer
82 views

Lp optimal solution question

i have a general question. if there is a general LP problem $c^Tx$ s.t $A\cdot x \le b$, and $x \ge 0$ and assuming that the components of $c$ are non-zero entries then how can I prove that when $x$ ...
0
votes
0answers
56 views

DFP rank-two update formula

when I am studying the DFP rank-two update formula, described as: $$B_{k+1}=(I-\rho_{k}y_{k}s_{k}^{T})B_{k}(I-\rho_{k}s_{k}y_{k}^{T})+\rho_{k}y_{k}y_{k}^{T},$$ where $$\rho_{k} = ...
0
votes
0answers
76 views

Multi objective optimization into single objective.

I read that it is possible to convert a multi-objective optimization problem into single objective by using weighted sum method. I wanted to know if it is a good idea to convert a two objective ...
2
votes
2answers
180 views

Allocation optimization problem

Imagine that I have $1$ million dollars which I want to invest. I have a set of $N$ elements in which I can put the money and obtain a revenue. Each element has a function that determines how much ...
0
votes
1answer
45 views

How many methods could be used to solve this optimization problem with equality constraints?

I wonder whether there is a simplest method for this problem. The function to maximize is $F(x)$. $F(x)=\|Kx\|_2^2=x^TK^TKx$, where $K\in \mathbb{R}^{n\times d}$ and $x\in \mathbb{R}^d$. and $\nabla ...
0
votes
1answer
46 views

Solving an equation with multiple unknowns from different sets of natural numbers

Is it possible to solve an equation: a*x+b*y+....+c*z-n = 0 where {a, b,..,c, n} are natural numbers and {X, Y,...,Z} are different sets of natural numbers? Is it possible to find minima if there is ...
1
vote
0answers
31 views

Estimate the number of Local Minima

I am asking this question about local minima, but actually I started by trying to find the global maximum/minimum over a compact set, of a smooth function (the objective). The function has a random ...
1
vote
1answer
72 views

Linear System with constrained solutions

After a model my problem I found a rectangular linear system : $$Ax=b$$ I can easely solve it with a least square with QR/SVD... But the model include constrains for each solution $x_i$, the $\vec{x}$ ...
1
vote
1answer
149 views

Ideas on matrix factorizations and/or transformations for $\ell_1$ minimization

I am starting with a typical $\ell_1$ basis pursuit problem: $$ \min_{\mathbf{x}} \Vert \mathbf{x} \Vert_1 \quad \mathrm{s.t.} \quad \Vert \mathbf{ERx} - \mathbf{y} \Vert_2 \leq \epsilon, $$ where ...
4
votes
2answers
54 views

What is an approach for optimizing the values of a matrix?

My apologies if I get some terminology wrong, I don't have a formal math background; half my problem is articulating what I'm trying to do and identifying the domain of math that deals with this kind ...
1
vote
1answer
161 views

Minimize the sum of distance under maximum norm

Given a set of points (Xi, Yi). I need to find a point (doesn't have to be in the given set) that minimize the sum of distance to the other points. The tricky part is the distance is measured by ...
4
votes
2answers
82 views

What numerical optimization method to use for this function?

In order to solve this over-determined system of equations numerically: $$ f_l(\mathbf x) = \displaystyle \left \lvert \sum_{k=1}^Kx_k^2e^{-j\frac{2\pi}Np_kl} \right \rvert , \qquad P = ...
0
votes
1answer
57 views

Numerical Optimization methods?

What kind of functions are suitable for numerical optimization methods such as Newton, Gradient Descent, ... ? Any conditions?
2
votes
0answers
70 views

Steepest Descent/Newton

Suppose these over-determined system of equations: $$ |\mathbf{x}^T\mathbf{v_n}| = A, \qquad n = 1,2,\cdots,N-1 $$ $$ \mathbf{v_n}= [1 \quad w^n \quad w^{2n} \quad \cdots \quad w^{(N-1)n}]^T , ...
6
votes
2answers
302 views

How can I, as a future mathematician, contribute most to Smart Grid research?

After I've finished my Master's degree in mathematics, I too want to use my powers for good. One endeavour I consider good is the pursuit of the design and implementation of a Smart Grid which will, ...
1
vote
2answers
63 views

When $\min_{x \in X,y \in Y} f(x,y) = \min_{x \in X} \min_{y \in Y} f(x,y)$?

When $$ \min_{x \in X,y \in Y} f(x,y) = \min_{x \in X} \min_{y \in Y} f(x,y) \qquad? $$ I mean when we are minimizing a function with respect to two variables, under what conditions we are allowed to ...
2
votes
1answer
85 views

Multiobjective optimization with two real functions over two real vector spaces

Question: Does anyone know about a book, a paper or an algorithm for the following optimization problem? What are the sufficient conditions for the existence of the joint optimum, and how to find it?: ...
3
votes
1answer
57 views

Rewrite constrained optimization objective

I wanted to ask, under which conditions can one rewrite the optimization objective $\min_x f(x)\;\;\;s.t.\;\;\;g(x) \leq s$ as $\min_x g(x)\;\;\;s.t.\;\;\;f(x) \leq t$ I have particular interest ...
0
votes
0answers
92 views

How to optimize a function with several variables

I need to develop code to optimize a set or variables based on the following conditions. I don't have the source of function. The function gets a point (x,y) and generate a mapped point (x',y') ...
5
votes
1answer
300 views

Levenberg-Marquardt - Is forcing Hessian to be positive definite OK?

I am often doing parameter estimation using Levenberg-Marquard method which involves solving the following linear system at each step: $$(H+\lambda I)\delta=r_{i}$$ where $H$ is a square Hessian ...
2
votes
1answer
116 views

Circle Packing: Unsolved Problem in Geometry?

Graham and Sloane minimize the second moment of the centres of a number discs in order to maximize their compactness. They use computational geometry techniques to find the optimal packings for ...
1
vote
0answers
82 views

Divergence of Gradient Method

Is there any example of a continuous differentiable function out there, in which the gradient method with Armijo's stepsize-rule doesn't converge? I found it pretty hard to create one myself because ...
0
votes
1answer
45 views

surface approximation using least squares

I am studying the following problem. Soppose you have two Bezièr patches with a common curve; suppose that the control points of the two patches are given by some initial guess (they are all known). ...
3
votes
0answers
98 views

Does convexity of a function guarantee tractability of finding its minimum?

Formulating a problem as a convex optimization problem usually implicitly considered to imply being able to find global minimizer of the objective. My question is that if it is true or not. ...
2
votes
1answer
98 views

Formulate optimization problem

My research area has "nothing to do with mathematics" but I still find it full of optimization problems. Therefore, I would like to learn to formulate and solve such problems, even though I am not ...
0
votes
1answer
149 views

Solving a Minimization Problem With a Limited Set of Vector Inputs

My numerical analysis skills are a bit rusty on this, I plan to use scipy/numpy or octave to approach the solution but I need a pointer on how I should transform the problem in a way that it can be ...