Beruflich Dokumente
Kultur Dokumente
El Ghaoui
9/3/2013
Homework Assignment #1
Due date: 9/17/2013, in class. Make sure to make a copy of your homework, as you will be asked to grade it (guidelines will be given later). The total number of points is 30.
1. (6 points ) Let A, B be two of symmetric positive semidenite n n matrices. Prove the following, or provide a counter-example. (a) 2A + 3B is positive semi-denite. (b) Tr AB 0. (c) Tr AB = 0 if and only if AB = 0. (d) The matrix C with elements given by Cij = Aij Bij , 1 i, j n, is positive semi-denite. (e) If A B is positive semi-denite, then max (A) max (B ), where max denotes the largest eigenvalue. (f) If A B is positive semi-denite, then for every k = 1, . . . , n, k (A) k (B ), where k denotes the k -th largest eigenvalue. Hint: you can use without proof the following variational (that is, optimization-based) characterization of the k -th largest eigenvalue of a symmetric matrix: k (A) = min
V xV, x
max
2 =1
xT Ax.
f (y, X ) = y T X 1 y,
n is convex. Hint: For y Rn and X S++ , compute
f (x) =
i=1
1j m
max
(a) Determine conditions on A, B, C that ensure that f is convex. Assume that these conditions are satised. (b) Find a sub-gradient of f at a given point x. (c) Formulate the problem min f (x) : xl x xu
x
with xl xu given, as a conic optimization problem. How many variables and constraints does the problem have? (d) Write a CVX code that solves the problem, given the input data. 4. (3 points ) For given n-vectors a1 , . . . , am , we consider the problem
m
p = min
x i=1
|aT i x| 1
(a) Is the problem convex? If so, can you formulate it as an ordinary least-squares problem? An LP? A QP? A QCQP? An SOCP? None of the above? Justify your answers precisely. (b) Show that the optimal value p depends only on the matrix K = AT A, where A = [a1 , . . . , am ] is the n m matrix of data points (that is, if two dierent T matrices A1 , A2 satisfy AT 1 A1 = A2 A2 , then the corresponding optimal values are the same).
m 5. (6 points ) Let X Rn be a matrix with non-negative entries, and p r 1. We + consider the problem
p,r (X ) = max Xv
u
1.
fX (u) =
is concave when p r. Hint: as ingredients, use the Hessian condition and the Schur complement lemma. (b) Use the previous result to formulate a convex problem that has p,r (X )r as optimal value. 6. (4 points ) Consider the linear programming problem p := min cT x : Ax b,
x
(a) The objective function p is a concave function of c. (b) The objective function p is a convex function of b (you may assume that the problem is feasible). (c) The objective function p is a concave function of A. 7. (4 points) Using linear algebra tools, nd a closed-form solution to the following optimization problems. Throughout, x Rn is the variable, and a, b, c are vectors, A is a matrix of appropriate sizes. (a) p = minx cT x subject to aT x = b. (b) p = minx cT x subject to aT x b. (c) p = minx cT x subject to |aT x| b. (d) p = minx cT x subject to Ax = b.