Optimization is the process of choosing the "best" value among possible values. They are often formulated as questions on the minimization/maximization of functions, with or without constraints.

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argmin as projection in the dual averaging algorithm

I am struggling to understand the dual averaging algorithm as presented in this paper. More precisely the update of the parameters given as $$\Pi^\psi_\chi (z,\alpha) := \operatorname{argmin}_{x \in \...
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Acyclic orientation of a mixed graph with minimization of the critical path

I already asked this question as a guest but I was not able to edit it or add comments after I registered with my e-mail address. A apologize for asking the same question again. A mixed graph is a ...
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maximize 3-variable linear function [version 2.0]

This problem came up when I was trying to solve a bigger, probabilistic problem. So at the end it boils down to this: how can we maximize the function $f(x_2,x_3,x_4) = \frac{18}{100}\frac{x_2}{6}...
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maximize 3-variable linear function [version 1.0]

This problem came up when I was trying to solve a bigger, probabilistic problem. So at the end it boils down to this: how can we maximize the function $f(x_2,x_3,x_4) = \frac{18}{100}x_2 + \frac{...
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27 views

Sum/product of two functions of two variables are to be minimized

I have two functions $f(x,y)$ and $g(x,y)$ whose sum/product (whichever is possible) is to be minimized. The values of $x,y$ can vary in the interval $0<x,y<1$ (hence none of them can have a ...
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Skew-Symmetric Parts of Stochastic Matrices

It's easy to see that the set $\{W - W^T : W \in \mathbb{R}^{n \times n}\}$ is precisely the set of real skew-symmetric matrices. This continues to be the case if we restrict to (entry-wise) non-...
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29 views

Multiplying quaternions vs multiplying rotation matrices

It's a trivial question, but one I'm not 100% clear about. Given two matrices $$P_{\{1,2\}} = \left[ \begin{array}{cc}R & t \\ \textbf{0} & 1 \end{array}\right]$$ where $R$ is a 3x3 ...
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Find minimum and maximum on range

$f(x,y)=x^{4}-x^{2}+y^{2}$ $B={(x,y)\in \mathbb R, x^{2}+y^{2}\leq 1 }$ I should find minimum and maximum of this function on the range B. I tried it with Lagrange Multiplier and I got these points ...
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1answer
29 views

Least Squares Sensitivity to data

Let ($x_1$,$y_1$),...,($x_n$,$y_n$) be my data set. I have a function $f(x,{\bf c})$ where ${\bf c}=(c_1,...,c_m)$ is a vector of $m$ parameters. I want to fit to the data using non-linear least ...
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Orient edges in a mixed graph to minimize the critical path

3 down vote favorite A mixed graph is a graph that has directed and undirected edges. Is there an efficient algorithm that allows the orientation of undirected edges in a mixed graph in such a way ...
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Solve $ \max U = [\sum\limits_{i = 1}^2 {a_i^{{1 \over \sigma }} } \cdot X_i^{{{\sigma - 1} \over \sigma }} ]^{{\sigma \over {\sigma - 1}}} $

The problem is $$ \eqalign{ & \max U = \left[\sum\limits_{i = 1}^2 {a_i^{{1 \over \sigma }} } \cdot X_i^{{{\sigma - 1} \over \sigma }} \right]^{{\sigma \over {\sigma - 1}}} \cr & \...
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3answers
85 views

A convex optimisation problem involving the Euclidean norm

Any ideas on how to approach the following optimisation problem? $$\begin{array}{ll} \text{maximize} & \|Ax\|_2^2+\|Bx\|_2^2+\|Cx\|_2^2 \\ \text{subject to} & \|x\|_2 = 1\end{array}$$
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1answer
92 views

Minimum of a function in $(0,1) \times (0,+\infty)$

I would like to minimize the function $$ (\alpha,\theta) \mapsto F(\alpha,\theta) := -\theta x^\alpha + \sum_{k=1}^N \ln(1+p_k(e^{\theta \ell_k^\alpha}-1)) $$ where $\theta \in (0,+\infty)$, $\alpha \...
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1answer
118 views

Largest rotated ellipse inscribed in a rectangle

Let's say I have a parametrized ellipse $$x (t) = a \cos(t) \cos(r) - b \sin(t) \sin(r)$$ $$y (t) = a \cos(t) \sin(r) + b \sin(t) \cos(r)$$ Where $r$ is the rotation around the axis and $t \in [0,2\...
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26 views

The gas cloud covering problem

I'm faced with problem described below. My goal in posting this here is having you guys lead me in the right direction. Maybe there is a scientific article that treats a similar problem? Maybe a ...
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16 views

Genetic algorithm optimize and minimize

I'm using a Genetic Algorithm to increase a certain value and decrease another. I'm trying to find the best parameters for a trading strategy. There are 2 values important for me. The netto profit ...
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48 views

Lagrange multipliers with trigonometric functions. Stucked figuring out x and y values.

I want to find the maximum of the function $f(x,y) = \cos^2(x) + \cos^2(y)$ with the constraint $x-y = \pi/4$. Here are my partial derivatives: $$f_x = -2\cos(x)\cdot\sin(x)$$ $$f_y = -2\cos(y)\cdot\...
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Confused about solution to the piecewise constant regression model

I am confused about the solution to the following solution to fitting piecewise constants: Specifically, are we minimising the sum of squares, that is, finding the vector $\beta = (\beta_1,\beta_2, ...
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22 views

Distance between a point and a conic curve

I have a point $r=(100,0)$ and want to find the closest point to it from this set: $$k = \{(a,b) : b^2=1+a/4\}$$ where $a$ belongs to $[-4,0]$. I thought about defining function $h(x)=|r-x|$, and ...
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1answer
38 views

Optimize wrt a partial matrix?

I have a common optimization problem $$\arg\min_A \text{tr}( A^TWA),$$ where $W$ is a positive semi-definite matrix, and $A$ is the matrix to be optimized. If $A$ is completely unknown, with some ...
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17 views

How write one optimization formula.

In this game I start with a Galleon with capacity 400. I can upgrade the harbor to get more Galleons, or upgrade the technolgy to increase the Galleon base cargo size by 10%. Right now have 8 ...
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147 views

A graph problem

Consider the following graph problem. We are given a set of vertices $A_i$, $B_i$, and $C_i$ where $i \in \{1,2,3 \}$. For each vertex, there is a corresponding weight where the weight of vertex $A_i$ ...
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35 views

What are spurious local optima?

I keep seeing that word "spurious" (when used in the context of optimization), but I'm having trouble finding a good reference on what the definition of the term is.
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Can't find minimum using Lagrange multipliers

I want to find the minimum of the function $f(x,y) = x + y^2$ with the constraint $2x^2 +y^2 = 1$. Here are my partial derivatives: $$f_x = 1$$ $$f_y = 2y$$ $$g_x = 4x$$ $$g_y = 2y$$ I have the ...
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28 views

Lasso with non-linear objective

I have a non-linear objective function that I want to minimize considering some constraints in order to obtain a sparse solution (lasso type). min f($\theta$) s.t. $\sum_i|\theta_i|\leq t$ $\theta_i ...
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1answer
45 views

Why does the “printing neatly” algorithm use cubes rather than squares?

In Introduction to Algorithms, 2nd ed. (Cormen, Leiserson, Rivest, and Stein), ch. 15, Dynamic Programming, problem 15-2 Printing neatly (a copy of which is here), the official solution given in ...
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1answer
18 views

floor/ceiling/round functions in the constraints of an optimization?

I have a constrained optimization problem in which I have to impose a "floor" or "ceiling" constraint to the solution. In fact I decided to use these nonlinear rounding functions because I needed to ...
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1answer
47 views

What is the name of this problem? linear Matrix equation optimization?!

I have almost no knowledge in linear algebra but I need to understand the process of solving a problem. In fact I'm looking for some keywords or hints to know what exactly should I be Googling! So any ...
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Logistic regression for football results - Estimating coefficient through maximum likelihood

Consider two football teams $V$ and $L$ with strengths $W_V$ and $W_L$, respectively. Let's assume that the draw probability $\mathbb{P}(Draw)$ is known. Then this model is supposed to give estimates ...
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Multi-objective optimization or single objective optimization?

I have this function: A(x)= P(x) / B(x) Firstly I thought about doing an multi-objective optimization, maximizing A(x) and minimizing B(x) because this two values are very important. But if I just ...
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4answers
82 views

Minimize the function $f(y_1,y_2)=3 y_1^2+8y_2^2$ [closed]

I would like to minimize $f(y_1,y_2)=3 y_1^2+8y_2^2$ with the constraints $g(y_1,y_2)=y_1^2+y_2^2=1$. I thought I could use the Lagrange multipliers, but it is not work. Is there anyone could show me ...
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2answers
90 views

Maximizing a linear function over an ellipsoid

Let $A \in \mathbb{R}^{n\times n}$ be a positive definite matrix, $x \in \mathbb{R}^n$ and $c \in \mathbb{R} \setminus \{0\}$. I got to determine the maximum $$\max\{c^Ty:y\in \mathcal{E} (A,x)\}$$ ...
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Change of variables in minimization

I have the following non linear programming to solve: $$\left\{\begin{matrix} \min & (x-y)^2 +e^z+e^{-z} \\ \text{s.t.} & xz=0 \\ & yz=0 \end{matrix}\right.$$ The book suggests to ...
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1answer
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Does projected gradint descent(pgd) results in the same minimizer as the one given by unconstrained gd and projected back on the constrained set?

For $f: \mathbb{R}^n \mapsto \mathbb{R}$ with $f(x) < \infty,\;\forall x \in \mathbb{R}^n$ and for convenience let's assume $f$ is continuously differentiable. Suppose we are trying to solve the ...
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50 views

How can I experiment with Lagrange multiplier in QCQP?

Suppose we want to solve following optimization problem (it is a PCA problem in this post) $$ \underset{\mathbf w}{\text{maximize}}~~ \mathbf w^\top \mathbf{Cw} \\ \text{s.t.}~~~~~~ \mathbf w^\top \...
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1answer
46 views

A question about Lagrange multiplier in optimization

I read @amoeba 's answer in this post, PCA optimization problem is $$ \underset{\mathbf w}{\text{maximize}}~~ \mathbf w^\top \mathbf{Cw} \\ \text{s.t.}~~~~~~ \|\mathbf w\|_2=1 $$ where $\mathbf C$ ...
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KKT conditions for different inputs.

So I have the following problem: I'm trying to get a demand function for a nonlinear 2 variable optimisation problem. There are 3 inequality constraints. Doing the usual thing I get the following ...
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Why the original MINLP and Linearized MILP are giving mismatched results?

I have an MINLP and its linearized formulation problem given below where the objective (nonconvex) and constraint C4 are nonlinear. We linearized them by applying some known techniques. However, when ...
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24 views

Optimal number of operations in the given scenario?

Suppose $$A_1=\{x_1+x_2+x_3,\quad x_2+x_3+x_4,\quad x_3+x_4+x_5\} \\ A_2=\{x_0+x_1+x_2, \quad x_0+x_1+x_8, \quad x_0+x_7+x_8\} \\ A_3=\{x_{10}+x_{11}+x_{12}, \quad x_{11}+x_{12}+x_7, \quad x_7+x_8+x_{...
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Extremas on multivariable functions

if the gradient Of a function f(x,y,z) has all its partial derivatives (fx, fy) at a point p equal to zero but the partial derivative z at that point is equal to a constant i.e fz= 12. In this case ...
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Distance from a set to a point

There is this exercise I cannot understand well. It asks me for the distance between this set in $\mathbb{R}^3$ $$U = \{(x, y, z)\ |\ ax + y - 2z = 0, z = 0 \}$$ and the point $(0, b, 1)$. Also it ...
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Book Recommendation for Infinite Dimensional Stochastic Optimization Problem in Discrete Time

Let $X(k)$ be i.i.d. discrete random variables and for all $k=0,1,2,...,N-1$, let $X:=(X(0),X(1)...,X(k))$ and $f := (f(0), f(1),...,f(k))$ with $f(k)$ be the decision function at time $k$, I want to ...
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31 views

Minimising a Loss Function requiring Matrix by Matrix Derivative

I am trying to minimise the following cost function with respect to $X$: $\mathbf{C}(X) = ||{M \cdot X \cdot \mathbf{1}_{N \times 1} - T}||_{2}^{2}$ Here, $M$, $X$, $T$ are matrices of dimensions $a \...
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1answer
85 views

Given a population of fish with exponential growth, what is the optimal strategy for fishing?

Suppose we have a population of fish, say $10000$, with an exponential growth each year of $30\%$. If we want to collect as many fish as possible in, say 10 years, a natural question to ask is: ...
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33 views

Minimizing trace with equality constraints

I would like to solve the following trace-minimization under equality constraints optimization problem: $$W^* =\arg\min \operatorname{Tr}[WCW^T] \text{ s.t. } A=B^TW^TWB$$ where $W,C\in\mathbb{R}^{...
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1answer
46 views

Minimizing a strictly convex function with inequality constraint

So we've been learning about the Kuhn Tucker conditions in my non-linear optimization course and I've been having trouble with this problem: QUestion: description here Question: a strictly convex ...
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34 views

Failure of second derivative test of two variable function where the all the partial derivatives are equal

Actually I am looking to find the local minimum of the following function : $$F(x,y)=\frac{\Gamma(x+y+1)\Gamma(n-x-y+1)}{\Gamma(n+1)}$$ The partial derivatives of this function are: $\begin{align} ...
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1answer
18 views

Individually checking constraints for convexity in Optimisation problem valid?

I have a quadratic minimisation problem where both the objective fn and constraints have some quadratic terms. (Such as a throttle variable (continous) * On/Off (integer variable)). My question is: ...
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2answers
43 views

Upper bound for $\gcd(a,b)$ if $\frac{a+1}{b}+\frac{b+1}{a}\in\Bbb{N}$

Suppose that $a,b$ are two positive integers so that $\frac{a+1}{b}+\frac{b+1}{a}$ is also a positive integer.Find the best upper bound for $\gcd(a,b)$. My work: $\frac{a+1}{b}+\frac{b+1}{a}=\frac{...
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1answer
96 views

Maximizing area of a pentagon

Suppose $a,b,c,d,e$ are pairwise distinct positive integers. Consider a pentagon with sides $a,b,c,d,e$ and with angles maximizing its area (we assume that a pentagon with such sides exists). It is ...