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Problems
Problems
4–1
Optimization problem in standard form
minimize f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
hi(x) = 0, i = 1, . . . , p
optimal value:
examples (with n = 1, m = p = 0)
• f0(x) = 1/x, dom f0 = R++: p⋆ = 0, no optimal point
• f0(x) = − log x, dom f0 = R++: p⋆ = −∞
• f0(x) = x log x, dom f0 = R++: p⋆ = −1/e, x = 1/e is optimal
• f0(x) = x3 − 3x, p⋆ = −∞, local optimum at x = 1
m
\ p
\
x∈D= dom fi ∩ dom hi,
i=0 i=1
example:
Pk
minimize f0(x) = − i=1 log(bi − aTi x)
find x
subject to fi(x) ≤ 0, i = 1, . . . , m
hi(x) = 0, i = 1, . . . , p
minimize 0
subject to fi(x) ≤ 0, i = 1, . . . , m
hi(x) = 0, i = 1, . . . , p
minimize f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
aTi x = bi, i = 1, . . . , p
often written as
minimize f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
Ax = b
−∇f0(x)
x
X
minimize f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
Ax = b
is equivalent to
Ax = b ⇐⇒ x = F z + x0 for some z
is equivalent to
minimize f0(x)
subject to aTi x ≤ bi, i = 1, . . . , m
is equivalent to
minimize (over x, t) t
subject to f0(x) − t ≤ 0
fi(x) ≤ 0, i = 1, . . . , m
Ax = b
is equivalent to
minimize f˜0(x1)
subject to fi(x1) ≤ 0, i = 1, . . . , m
minimize f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
Ax = b
with f0 : Rn → R quasiconvex, f1, . . . , fm convex
can have locally optimal points that are not (globally) optimal
(x, f0(x))
f0(x) ≤ t ⇐⇒ φt(x) ≤ 0
example
p(x)
f0(x) =
q(x)
minimize cT x + d
subject to Gx h
Ax = b
−c
P x⋆
minimize cT x
subject to Ax b, x0
piecewise-linear minimization
equivalent to an LP
minimize t
subject to aTi x + bi ≤ t, i = 1, . . . , m
P = {x | aTi x ≤ bi, i = 1, . . . , m}
xcheb
is center of largest inscribed ball
B = {xc + u | kuk2 ≤ r}
maximize r
subject to aTi xc + rkaik2 ≤ bi, i = 1, . . . , m
minimize f0(x)
subject to Gx h
Ax = b
linear-fractional program
cT x + d
f0(x) = T , dom f0(x) = {x | eT x + f > 0}
e x+f
minimize cT y + dz
subject to Gy hz
Ay = bz
eT y + f z = 1
z≥0
cTi x + di
f0(x) = max T , dom f0(x) = {x | eTi x+fi > 0, i = 1, . . . , r}
i=1,...,r e x + fi
i
minimize (1/2)xT P x + q T x + r
subject to Gx h
Ax = b
−∇f0(x⋆)
x⋆
least-squares
minimize kAx − bk22
minimize f T x
subject to kAix + bik2 ≤ cTi x + di, i = 1, . . . , m
Fx = g
minimize cT x
subject to aTi x ≤ bi, i = 1, . . . , m,
minimize cT x
subject to aTi x ≤ bi for all ai ∈ Ei, i = 1, . . . , m,
minimize cT x
subject to prob(aTi x ≤ bi) ≥ η, i = 1, . . . , m
• robust LP
minimize cT x
subject to aTi x ≤ bi ∀ai ∈ Ei, i = 1, . . . , m
minimize cT x
subject to āTi x + kPiT xk2 ≤ bi, i = 1, . . . , m
• robust LP
minimize cT x
subject to prob(aTi x ≤ bi) ≥ η, i = 1, . . . , m,
minimize cT x
1/2
subject to āTi x + Φ−1(η)kΣi xk2 ≤ bi, i = 1, . . . , m
minimize f0(x)
subject to fi(x) ≤ 1, i = 1, . . . , m
hi(x) = 1, i = 1, . . . , p
PK a
1k 2k a nk a
• posynomial f (x) = k=1 ck x1 x2 · · · xn transforms to
K
!
X T
log f (ey1 , . . . , eyn ) = log eak y+bk (bk = log ck )
k=1
design problem
• aspect ratio hi/wi and inverse aspect ratio wi/hi are monomials
• the vertical deflection yi and slope vi of central axis at the right end of
segment i are defined recursively as
F
vi = 12(i − 1/2) 3 + vi+1
Ewihi
F
yi = 6(i − 1/3) 3 + vi+1 + yi+1
Ewihi
note
• we write wmin ≤ wi ≤ wmax and hmin ≤ hi ≤ hmax
Sminwi/hi ≤ 1, hi/(wiSmax) ≤ 1
minimize λ Pn
subject to j=1 A(x)ij vj /(λvi ) ≤ 1, i = 1, . . . , n
variables λ, v, x
minimize f0(x)
subject to fi(x) Ki 0, i = 1, . . . , m
Ax = b
conic form problem: special case with affine objective and constraints
minimize cT x
subject to F x + g K 0
Ax = b
minimize cT x
subject to x1F1 + x2F2 + · · · + xnFn + G 0
Ax = b
with Fi, G ∈ Sk
SOCP: minimize f T x
subject to kAix + bik2 ≤ cTi x + di, i = 1, . . . , m
SDP: minimize f T x
(cTi x + di)I
A i x + bi
subject to 0, i = 1, . . . , m
(Aix + bi)T cTi x + di
minimize λmax(A(x))
equivalent SDP
minimize t
subject to A(x) tI
• variables x ∈ Rn, t ∈ R
• follows from
λmax(A) ≤ t ⇐⇒ A tI
T
1/2
minimize kA(x)k2 = λmax(A(x) A(x))
minimize t
tI A(x)
subject to 0
A(x)T tI
• variables x ∈ Rn, t ∈ R
• constraint follows from
kAk2 ≤ t ⇐⇒ AT A t2I, t ≥ 0
tI A
⇐⇒ 0
AT tI
O = {f0(x) | x feasible}
O
O
f0(xpo)
f0(x⋆)
x⋆ is optimal xpo is Pareto optimal
25
20 O
F2(x) = kxk22
15
10
0
0 10 20 30 40 50
example
15% 1
allocation x
mean return
10%
0.5
x(1)
5%
0
0%
0% 10% 20% 0% 10% 20%
standard deviation of return standard deviation of return
Convex optimization problems 4–44
Scalarization
minimize λT f0(x)
subject to fi(x) ≤ 0, i = 1, . . . , m
hi(x) = 0, i = 1, . . . , p
O
if x is optimal for scalar problem,
then it is Pareto-optimal for vector f0(x1)
optimization problem
f0(x3)
λ1
f0(x2) λ2
for convex vector optimization problems, can find (almost) all Pareto
optimal points by varying λ ≻K ∗ 0
examples
kxk22
minimize kAx − bk22 + γkxk22
10
5
for fixed γ, a LS problem γ=1
0
0 5 10 15 20
kAx − bk22