Lecture 6

Convex Problems

September 15, 2008

• Chapters 4.1-4.2 (except for 4.2.5) of Boyd and Vandenberghe’s book

 Lecture 6

Introducing Slack Variables for Linear Inequalities

minimize f (x)
subject to Ax  b

with A ∈ Rm×n and b ∈ Rm, is equivalent to

minimize f (x)
subject to Ax + s = b
s0

• The minimization is over x ∈ Rn and s ∈ Rm

• Convexity preserved

Convex Optimization 1
 Lecture 6

Convex Problem with Inequalities and Equalities

minimize f (x)
subject to g(x) ≤ 0, Ax = b

• Eliminating equality constraints:

For a particular solution x0 of Ax = b, and a matrix D whose range is
NA, we have
Ax = b ⇐⇒ x = Dz + x0 for some z
• The problem is equivalent to

minimize f (Dz + x0)

subject to g(Dz + x0) ≤ 0

• The minimization is over z

• Convexity preserved

Convex Optimization 2
 Lecture 6

Introducing Equality Constraints

minimize f (A0x + b0)
subject to gj (Aj x + bj ) ≤ 0, j = 1, . . . , m

is equivalent to

minimize f (y0)
subject to gj (yj ) ≤ 0, j = 1, . . . , m
yj = Aj x + bj , j = 0, 1, . . . , m

• The minimization is over x and yj , j = 0, 1, . . . , m

• Convexity preserved

Convex Optimization 3
 Lecture 6

Epigraph Form
minimize f (x)
subject to g(x) ≤ 0, Ax = b
is equivalent to

minimize w
subject to f (x) ≤ w
g(x) ≤ 0, Ax = b

• The minimization is over x ∈ Rn and w ∈ R

• Is convexity preserved?

Convex Optimization 4
 Lecture 6

Polyhedral Objective Example

minimize max{aT1 x + b1, . . . , aTmx + bm}

subject to B T x ≤ d

• Using the epigraph form of f , the problem is equivalent to an LP

minimize w
subject to aTj x + bj ≤ w, j = 1, . . . , m
BT x ≤ d

Convex Optimization 5
 Lecture 6

Minimizing over some Variables

minimize f (x1, x2)
subject to gj (x1) ≤ 0, j = 1, . . . , m̃
gj (x2) ≤ 0, j = m̃ + 1, . . . , m

is equivalent to

minimize F (x2)
subject to gj (x2) ≤ 0, j = m̃ + 1, . . . , m

where
F (x2) = inf f (x1, x2)
x1 : g1 (x1 )≤0,...,gm̃ (x1 )≤0

Convex Optimization 6