Convex Optimization Boyd & Vandenberghe

4. Convex optimization problems

optimization problem in standard form
convex optimization problems
quasiconvex optimization
linear optimization
quadratic optimization
geometric programming
generalized inequality constraints
semidenite programming
vector optimization
41
Optimization problem in standard form
minimize f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
h
i
(x) = 0, i = 1, . . . , p
x R
n
is the optimization variable
f
0
: R
n
R is the objective or cost function
f
i
: R
n
R, i = 1, . . . , m, are the inequality constraint functions
h
i
: R
n
R are the equality constraint functions
optimal value:
p

= inff
0
(x) [ f
i
(x) 0, i = 1, . . . , m, h
i
(x) = 0, i = 1, . . . , p
p

= if problem is infeasible (no x satises the constraints)

p

= if problem is unbounded below

Convex optimization problems 42
Optimal and locally optimal points
x is feasible if x domf
0
and it satises the constraints
a feasible x is optimal if f
0
(x) = p

; X
opt
is the set of optimal points
x is locally optimal if there is an R > 0 such that x is optimal for
minimize (over z) f
0
(z)
subject to f
i
(z) 0, i = 1, . . . , m, h
i
(z) = 0, i = 1, . . . , p
|z x|
2
R
examples (with n = 1, m = p = 0)
f
0
(x) = 1/x, domf
0
= R
++
: p

= 0, no optimal point
f
0
(x) = log x, domf
0
= R
++
: p

=
f
0
(x) = xlog x, domf
0
= R
++
: p

= 1/e, x = 1/e is optimal

f
0
(x) = x
3
3x, p

= , local optimum at x = 1
Convex optimization problems 43
Implicit constraints
the standard form optimization problem has an implicit constraint
x T =
m

i=0
domf
i

p

i=1
domh
i
,
we call T the domain of the problem
the constraints f
i
(x) 0, h
i
(x) = 0 are the explicit constraints
a problem is unconstrained if it has no explicit constraints (m = p = 0)
example:
minimize f
0
(x) =

k
i=1
log(b
i
a
T
i
x)
is an unconstrained problem with implicit constraints a
T
i
x < b
i
Convex optimization problems 44
Feasibility problem
nd x
subject to f
i
(x) 0, i = 1, . . . , m
h
i
(x) = 0, i = 1, . . . , p
can be considered a special case of the general problem with f
0
(x) = 0:
minimize 0
subject to f
i
(x) 0, i = 1, . . . , m
h
i
(x) = 0, i = 1, . . . , p
p

= 0 if constraints are feasible; any feasible x is optimal

p

= if constraints are infeasible

Convex optimization problems 45
Convex optimization problem
standard form convex optimization problem
minimize f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
a
T
i
x = b
i
, i = 1, . . . , p
f
0
, f
1
, . . . , f
m
are convex; equality constraints are ane
problem is quasiconvex if f
0
is quasiconvex (and f
1
, . . . , f
m
convex)
often written as
minimize f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
Ax = b
important property: feasible set of a convex optimization problem is convex
Convex optimization problems 46
example
minimize f
0
(x) = x
2
1
+ x
2
2
subject to f
1
(x) = x
1
/(1 + x
2
2
) 0
h
1
(x) = (x
1
+ x
2
)
2
= 0
f
0
is convex; feasible set (x
1
, x
2
) [ x
1
= x
2
0 is convex
not a convex problem (according to our denition): f
1
is not convex, h
1
is not ane
equivalent (but not identical) to the convex problem
minimize x
2
1
+ x
2
2
subject to x
1
0
x
1
+ x
2
= 0
Convex optimization problems 47
Local and global optima
any locally optimal point of a convex problem is (globally) optimal
proof: suppose x is locally optimal and y is optimal with f
0
(y) < f
0
(x)
x locally optimal means there is an R > 0 such that
z feasible, |z x|
2
R = f
0
(z) f
0
(x)
consider z = y + (1 )x with = R/(2|y x|
2
)
|y x|
2
> R, so 0 < < 1/2
z is a convex combination of two feasible points, hence also feasible
|z x|
2
= R/2 and
f
0
(z) f
0
(x) + (1 )f
0
(y) < f
0
(x)
which contradicts our assumption that x is locally optimal
Convex optimization problems 48
Optimality criterion for dierentiable f
0
x is optimal if and only if it is feasible and
f
0
(x)
T
(y x) 0 for all feasible y
f
0
(x)
X
x
if nonzero, f
0
(x) denes a supporting hyperplane to feasible set X at x
Convex optimization problems 49
unconstrained problem: x is optimal if and only if
x domf
0
, f
0
(x) = 0
equality constrained problem
minimize f
0
(x) subject to Ax = b
x is optimal if and only if there exists a such that
x domf
0
, Ax = b, f
0
(x) + A
T
= 0
minimization over nonnegative orthant
minimize f
0
(x) subject to x _ 0
x is optimal if and only if
x domf
0
, x _ 0,
_
f
0
(x)
i
0 x
i
= 0
f
0
(x)
i
= 0 x
i
> 0
Convex optimization problems 410
Equivalent convex problems
two problems are (informally) equivalent if the solution of one is readily
obtained from the solution of the other, and vice-versa
some common transformations that preserve convexity:
eliminating equality constraints
minimize f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
Ax = b
is equivalent to
minimize (over z) f
0
(Fz + x
0
)
subject to f
i
(Fz + x
0
) 0, i = 1, . . . , m
where F and x
0
are such that
Ax = b x = Fz + x
0
for some z
Convex optimization problems 411
introducing equality constraints
minimize f
0
(A
0
x + b
0
)
subject to f
i
(A
i
x + b
i
) 0, i = 1, . . . , m
is equivalent to
minimize (over x, y
i
) f
0
(y
0
)
subject to f
i
(y
i
) 0, i = 1, . . . , m
y
i
= A
i
x + b
i
, i = 0, 1, . . . , m
introducing slack variables for linear inequalities
minimize f
0
(x)
subject to a
T
i
x b
i
, i = 1, . . . , m
is equivalent to
minimize (over x, s) f
0
(x)
subject to a
T
i
x + s
i
= b
i
, i = 1, . . . , m
s
i
0, i = 1, . . . m
Convex optimization problems 412
epigraph form: standard form convex problem is equivalent to
minimize (over x, t) t
subject to f
0
(x) t 0
f
i
(x) 0, i = 1, . . . , m
Ax = b
minimizing over some variables
minimize f
0
(x
1
, x
2
)
subject to f
i
(x
1
) 0, i = 1, . . . , m
is equivalent to
minimize

f
0
(x
1
)
subject to f
i
(x
1
) 0, i = 1, . . . , m
where

f
0
(x
1
) = inf
x
2
f
0
(x
1
, x
2
)
Convex optimization problems 413
Quasiconvex optimization
minimize f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
Ax = b
with f
0
: R
n
R quasiconvex, f
1
, . . . , f
m
convex
can have locally optimal points that are not (globally) optimal
(x, f
0
(x))
Convex optimization problems 414
convex representation of sublevel sets of f
0
if f
0
is quasiconvex, there exists a family of functions
t
such that:

t
(x) is convex in x for xed t
t-sublevel set of f
0
is 0-sublevel set of
t
, i.e.,
f
0
(x) t
t
(x) 0
example
f
0
(x) =
p(x)
q(x)
with p convex, q concave, and p(x) 0, q(x) > 0 on domf
0
can take
t
(x) = p(x) tq(x):
for t 0,
t
convex in x
p(x)/q(x) t if and only if
t
(x) 0
Convex optimization problems 415
quasiconvex optimization via convex feasibility problems

t
(x) 0, f
i
(x) 0, i = 1, . . . , m, Ax = b (1)
for xed t, a convex feasibility problem in x
if feasible, we can conclude that t p

; if infeasible, t p

Bisection method for quasiconvex optimization

given l p

, u p

, tolerance > 0.
repeat
1. t := (l + u)/2.
2. Solve the convex feasibility problem (1).
3. if (1) is feasible, u := t; else l := t.
until u l .
requires exactly log
2
((u l)/) iterations (where u, l are initial values)
Convex optimization problems 416
Linear program (LP)
minimize c
T
x + d
subject to Gx _ h
Ax = b
convex problem with ane objective and constraint functions
feasible set is a polyhedron
P
x

c
Convex optimization problems 417
Examples
diet problem: choose quantities x
1
, . . . , x
n
of n foods
one unit of food j costs c
j
, contains amount a
ij
of nutrient i
healthy diet requires nutrient i in quantity at least b
i
to nd cheapest healthy diet,
minimize c
T
x
subject to Ax _ b, x _ 0
piecewise-linear minimization
minimize max
i=1,...,m
(a
T
i
x + b
i
)
equivalent to an LP
minimize t
subject to a
T
i
x + b
i
t, i = 1, . . . , m
Convex optimization problems 418
Chebyshev center of a polyhedron
Chebyshev center of
T = x [ a
T
i
x b
i
, i = 1, . . . , m
is center of largest inscribed ball
B = x
c
+ u [ |u|
2
r
x
cheb
x
cheb
a
T
i
x b
i
for all x B if and only if
supa
T
i
(x
c
+ u) [ |u|
2
r = a
T
i
x
c
+ r|a
i
|
2
b
i
hence, x
c
, r can be determined by solving the LP
maximize r
subject to a
T
i
x
c
+ r|a
i
|
2
b
i
, i = 1, . . . , m
Convex optimization problems 419
(Generalized) linear-fractional program
minimize f
0
(x)
subject to Gx _ h
Ax = b
linear-fractional program
f
0
(x) =
c
T
x + d
e
T
x + f
, domf
0
(x) = x [ e
T
x + f > 0
a quasiconvex optimization problem; can be solved by bisection
also equivalent to the LP (variables y, z)
minimize c
T
y + dz
subject to Gy _ hz
Ay = bz
e
T
y + fz = 1
z 0
Convex optimization problems 420
generalized linear-fractional program
f
0
(x) = max
i=1,...,r
c
T
i
x + d
i
e
T
i
x + f
i
, domf
0
(x) = x [ e
T
i
x+f
i
> 0, i = 1, . . . , r
a quasiconvex optimization problem; can be solved by bisection
example: Von Neumann model of a growing economy
maximize (over x, x
+
) min
i=1,...,n
x
+
i
/x
i
subject to x
+
_ 0, Bx
+
_ Ax
x, x
+
R
n
: activity levels of n sectors, in current and next period
(Ax)
i
, (Bx
+
)
i
: produced, resp. consumed, amounts of good i
x
+
i
/x
i
: growth rate of sector i
allocate activity to maximize growth rate of slowest growing sector
Convex optimization problems 421
Quadratic program (QP)
minimize (1/2)x
T
Px + q
T
x + r
subject to Gx _ h
Ax = b
P S
n
+
, so objective is convex quadratic
minimize a convex quadratic function over a polyhedron
P
x

f
0
(x

)
Convex optimization problems 422
Examples
least-squares
minimize |Ax b|
2
2
analytical solution x

= A

b (A

is pseudo-inverse)
can add linear constraints, e.g., l _ x _ u
linear program with random cost
minimize c
T
x + x
T
x = Ec
T
x + var(c
T
x)
subject to Gx _ h, Ax = b
c is random vector with mean c and covariance
hence, c
T
x is random variable with mean c
T
x and variance x
T
x
> 0 is risk aversion parameter; controls the trade-o between
expected cost and variance (risk)
Convex optimization problems 423
Quadratically constrained quadratic program (QCQP)
minimize (1/2)x
T
P
0
x + q
T
0
x + r
0
subject to (1/2)x
T
P
i
x + q
T
i
x + r
i
0, i = 1, . . . , m
Ax = b
P
i
S
n
+
; objective and constraints are convex quadratic
if P
1
, . . . , P
m
S
n
++
, feasible region is intersection of m ellipsoids and
an ane set
Convex optimization problems 424
Second-order cone programming
minimize f
T
x
subject to |A
i
x + b
i
|
2
c
T
i
x + d
i
, i = 1, . . . , m
Fx = g
(A
i
R
n
i
n
, F R
pn
)
inequalities are called second-order cone (SOC) constraints:
(A
i
x + b
i
, c
T
i
x + d
i
) second-order cone in R
n
i
+1
for n
i
= 0, reduces to an LP; if c
i
= 0, reduces to a QCQP
more general than QCQP and LP
Convex optimization problems 425
Robust linear programming
the parameters in optimization problems are often uncertain, e.g., in an LP
minimize c
T
x
subject to a
T
i
x b
i
, i = 1, . . . , m,
there can be uncertainty in c, a
i
, b
i
two common approaches to handling uncertainty (in a
i
, for simplicity)
deterministic model: constraints must hold for all a
i
c
i
minimize c
T
x
subject to a
T
i
x b
i
for all a
i
c
i
, i = 1, . . . , m,
stochastic model: a
i
is random variable; constraints must hold with
probability
minimize c
T
x
subject to prob(a
T
i
x b
i
) , i = 1, . . . , m
Convex optimization problems 426
deterministic approach via SOCP
choose an ellipsoid as c
i
:
c
i
= a
i
+ P
i
u [ |u|
2
1 ( a
i
R
n
, P
i
R
nn
)
center is a
i
, semi-axes determined by singular values/vectors of P
i
robust LP
minimize c
T
x
subject to a
T
i
x b
i
a
i
c
i
, i = 1, . . . , m
is equivalent to the SOCP
minimize c
T
x
subject to a
T
i
x +|P
T
i
x|
2
b
i
, i = 1, . . . , m
(follows from sup
u
2
1
( a
i
+ P
i
u)
T
x = a
T
i
x +|P
T
i
x|
2
)
Convex optimization problems 427
stochastic approach via SOCP
assume a
i
is Gaussian with mean a
i
, covariance
i
(a
i
^( a
i
,
i
))
a
T
i
x is Gaussian r.v. with mean a
T
i
x, variance x
T

i
x; hence
prob(a
T
i
x b
i
) =
_
b
i
a
T
i
x
|
1/2
i
x|
2
_
where (x) = (1/

2)
_
x

e
t
2
/2
dt is CDF of ^(0, 1)
robust LP
minimize c
T
x
subject to prob(a
T
i
x b
i
) , i = 1, . . . , m,
with 1/2, is equivalent to the SOCP
minimize c
T
x
subject to a
T
i
x +
1
()|
1/2
i
x|
2
b
i
, i = 1, . . . , m
Convex optimization problems 428
Geometric programming
monomial function
f(x) = cx
a
1
1
x
a
2
2
x
a
n
n
, domf = R
n
++
with c > 0; exponent
i
can be any real number
posynomial function: sum of monomials
f(x) =
K

k=1
c
k
x
a
1k
1
x
a
2k
2
x
a
nk
n
, domf = R
n
++
geometric program (GP)
minimize f
0
(x)
subject to f
i
(x) 1, i = 1, . . . , m
h
i
(x) = 1, i = 1, . . . , p
with f
i
posynomial, h
i
monomial
Convex optimization problems 429
Geometric program in convex form
change variables to y
i
= log x
i
, and take logarithm of cost, constraints
monomial f(x) = cx
a
1
1
x
a
n
n
transforms to
log f(e
y
1
, . . . , e
y
n
) = a
T
y + b (b = log c)
posynomial f(x) =

K
k=1
c
k
x
a
1k
1
x
a
2k
2
x
a
nk
n
transforms to
log f(e
y
1
, . . . , e
y
n
) = log
_
K

k=1
e
a
T
k
y+b
k
_
(b
k
= log c
k
)
geometric program transforms to convex problem
minimize log
_

K
k=1
exp(a
T
0k
y + b
0k
)
_
subject to log
_

K
k=1
exp(a
T
ik
y + b
ik
)
_
0, i = 1, . . . , m
Gy + d = 0
Convex optimization problems 430
Design of cantilever beam
F
segment 4 segment 3 segment 2 segment 1
N segments with unit lengths, rectangular cross-sections of size w
i
h
i
given vertical force F applied at the right end
design problem
minimize total weight
subject to upper & lower bounds on w
i
, h
i
upper bound & lower bounds on aspect ratios h
i
/w
i
upper bound on stress in each segment
upper bound on vertical deection at the end of the beam
variables: w
i
, h
i
for i = 1, . . . , N
Convex optimization problems 431
objective and constraint functions
total weight w
1
h
1
+ + w
N
h
N
is posynomial
aspect ratio h
i
/w
i
and inverse aspect ratio w
i
/h
i
are monomials
maximum stress in segment i is given by 6iF/(w
i
h
2
i
), a monomial
the vertical deection y
i
and slope v
i
of central axis at the right end of
segment i are dened recursively as
v
i
= 12(i 1/2)
F
Ew
i
h
3
i
+ v
i+1
y
i
= 6(i 1/3)
F
Ew
i
h
3
i
+ v
i+1
+ y
i+1
for i = N, N 1, . . . , 1, with v
N+1
= y
N+1
= 0 (E is Youngs modulus)
v
i
and y
i
are posynomial functions of w, h
Convex optimization problems 432
formulation as a GP
minimize w
1
h
1
+ + w
N
h
N
subject to w
1
max
w
i
1, w
min
w
1
i
1, i = 1, . . . , N
h
1
max
h
i
1, h
min
h
1
i
1, i = 1, . . . , N
S
1
max
w
1
i
h
i
1, S
min
w
i
h
1
i
1, i = 1, . . . , N
6iF
1
max
w
1
i
h
2
i
1, i = 1, . . . , N
y
1
max
y
1
1
note
we write w
min
w
i
w
max
and h
min
h
i
h
max
w
min
/w
i
1, w
i
/w
max
1, h
min
/h
i
1, h
i
/h
max
1
we write S
min
h
i
/w
i
S
max
as
S
min
w
i
/h
i
1, h
i
/(w
i
S
max
) 1
Convex optimization problems 433
Minimizing spectral radius of nonnegative matrix
Perron-Frobenius eigenvalue
pf
(A)
exists for (elementwise) positive A R
nn
a real, positive eigenvalue of A, equal to spectral radius max
i
[
i
(A)[
determines asymptotic growth (decay) rate of A
k
: A
k

k
pf
as k
alternative characterization:
pf
(A) = inf [ Av _ v for some v 0
minimizing spectral radius of matrix of posynomials
minimize
pf
(A(x)), where the elements A(x)
ij
are posynomials of x
equivalent geometric program:
minimize
subject to

n
j=1
A(x)
ij
v
j
/(v
i
) 1, i = 1, . . . , n
variables , v, x
Convex optimization problems 434
Generalized inequality constraints
convex problem with generalized inequality constraints
minimize f
0
(x)
subject to f
i
(x) _
K
i
0, i = 1, . . . , m
Ax = b
f
0
: R
n
R convex; f
i
: R
n
R
k
i
K
i
-convex w.r.t. proper cone K
i
same properties as standard convex problem (convex feasible set, local
optimum is global, etc.)
conic form problem: special case with ane objective and constraints
minimize c
T
x
subject to Fx + g _
K
0
Ax = b
extends linear programming (K = R
m
+
) to nonpolyhedral cones
Convex optimization problems 435
Semidenite program (SDP)
minimize c
T
x
subject to x
1
F
1
+ x
2
F
2
+ + x
n
F
n
+ G _ 0
Ax = b
with F
i
, G S
k
inequality constraint is called linear matrix inequality (LMI)
includes problems with multiple LMI constraints: for example,
x
1

F
1
+ + x
n

F
n
+

G _ 0, x
1

F
1
+ + x
n

F
n
+

G _ 0
is equivalent to single LMI
x
1
_

F
1
0
0

F
1
_
+x
2
_

F
2
0
0

F
2
_
+ +x
n
_

F
n
0
0

F
n
_
+
_

G 0
0

G
_
_ 0
Convex optimization problems 436
LP and SOCP as SDP
LP and equivalent SDP
LP: minimize c
T
x
subject to Ax _ b
SDP: minimize c
T
x
subject to diag(Ax b) _ 0
(note dierent interpretation of generalized inequality _)
SOCP and equivalent SDP
SOCP: minimize f
T
x
subject to |A
i
x + b
i
|
2
c
T
i
x + d
i
, i = 1, . . . , m
SDP: minimize f
T
x
subject to
_
(c
T
i
x + d
i
)I A
i
x + b
i
(A
i
x + b
i
)
T
c
T
i
x + d
i
_
_ 0, i = 1, . . . , m
Convex optimization problems 437
Eigenvalue minimization
minimize
max
(A(x))
where A(x) = A
0
+ x
1
A
1
+ + x
n
A
n
(with given A
i
S
k
)
equivalent SDP
minimize t
subject to A(x) _ tI
variables x R
n
, t R
follows from

max
(A) t A _ tI
Convex optimization problems 438
Matrix norm minimization
minimize |A(x)|
2
=
_

max
(A(x)
T
A(x))
_
1/2
where A(x) = A
0
+ x
1
A
1
+ + x
n
A
n
(with given A
i
R
pq
)
equivalent SDP
minimize t
subject to
_
tI A(x)
A(x)
T
tI
_
_ 0
variables x R
n
, t R
constraint follows from
|A|
2
t A
T
A _ t
2
I, t 0

_
tI A
A
T
tI
_
_ 0
Convex optimization problems 439
Vector optimization
general vector optimization problem
minimize (w.r.t. K) f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
h
i
(x) 0, i = 1, . . . , p
vector objective f
0
: R
n
R
q
, minimized w.r.t. proper cone K R
q
convex vector optimization problem
minimize (w.r.t. K) f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
Ax = b
with f
0
K-convex, f
1
, . . . , f
m
convex
Convex optimization problems 440
Optimal and Pareto optimal points
set of achievable objective values
O = f
0
(x) [ x feasible
feasible x is optimal if f
0
(x) is a minimum value of O
feasible x is Pareto optimal if f
0
(x) is a minimal value of O
O
f
0
(x

)
x

is optimal
O
f
0
(x
po
)
x
po
is Pareto optimal
Convex optimization problems 441
Multicriterion optimization
vector optimization problem with K = R
q
+
f
0
(x) = (F
1
(x), . . . , F
q
(x))
q dierent objectives F
i
; roughly speaking we want all F
i
s to be small
feasible x

is optimal if
y feasible = f
0
(x

) _ f
0
(y)
if there exists an optimal point, the objectives are noncompeting
feasible x
po
is Pareto optimal if
y feasible, f
0
(y) _ f
0
(x
po
) = f
0
(x
po
) = f
0
(y)
if there are multiple Pareto optimal values, there is a trade-o between
the objectives
Convex optimization problems 442
Regularized least-squares
minimize (w.r.t. R
2
+
) (|Ax b|
2
2
, |x|
2
2
)
0 10 20 30 40 50
0
5
10
15
20
25
F
1
(x) = |Ax b|
2
2
F
2
(
x
)
=
|
x
|
22O
example for A R
10010
; heavy line is formed by Pareto optimal points
Convex optimization problems 443
Risk return trade-o in portfolio optimization
minimize (w.r.t. R
2
+
) ( p
T
x, x
T
x)
subject to 1
T
x = 1, x _ 0
x R
n
is investment portfolio; x
i
is fraction invested in asset i
p R
n
is vector of relative asset price changes; modeled as a random
variable with mean p, covariance
p
T
x = Er is expected return; x
T
x = var r is return variance
example
m
e
a
n
r
e
t
u
r
n
standard deviation of return
0% 10% 20%
0%
5%
10%
15%
standard deviation of return
a
l
l
o
c
a
t
i
o
n
x
x(1)
x(2) x(3) x(4)
0% 10% 20%
0
0.5
1
Convex optimization problems 444
Scalarization
to nd Pareto optimal points: choose
K

0 and solve scalar problem

minimize
T
f
0
(x)
subject to f
i
(x) 0, i = 1, . . . , m
h
i
(x) = 0, i = 1, . . . , p
if x is optimal for scalar problem,
then it is Pareto-optimal for vector
optimization problem
O
f
0
(x
1
)

1
f
0
(x
2
)

2
f
0
(x
3
)
for convex vector optimization problems, can nd (almost) all Pareto
optimal points by varying
K

0
Convex optimization problems 445
Scalarization for multicriterion problems
to nd Pareto optimal points, minimize positive weighted sum

T
f
0
(x) =
1
F
1
(x) + +
q
F
q
(x)
examples
regularized least-squares problem of page 143
take = (1, ) with > 0
minimize |Ax b|
2
2
+ |x|
2
2
for xed , a LS problem
0 5 10 15 20
0
5
10
15
20
|Ax b|
2
2
|
x
|
22
= 1
Convex optimization problems 446
risk-return trade-o of page 144
minimize p
T
x + x
T
x
subject to 1
T
x = 1, x _ 0
for xed > 0, a quadratic program
Convex optimization problems 447