v2007.09.13 - Convex Optimization

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108 CHAPTER 2. CONVEX GEOMETRY2.9.2.4.1 Example. Positive semidefinite matrix from extreme directions.Diagonalizability (A.5) of symmetric matrices yields the following results:Any symmetric positive semidefinite matrix (1249) can be written in theformA = ∑ λ i z i zi T = ÂÂT = ∑ â i â T i ≽ 0, λ ≽ 0 (197)iia conic combination of linearly independent extreme directions (â i â T i or z i z T iwhere ‖z i ‖=1), where λ is a vector of eigenvalues.If we limit consideration to all symmetric positive semidefinite matricesbounded such that trA=1C ∆ = {A ≽ 0 | trA = 1} (198)then any matrix A from that set may be expressed as a convex combinationof linearly independent extreme directions;A = ∑ iλ i z i z T i ∈ C , 1 T λ = 1, λ ≽ 0 (199)Implications are:1. set C is convex, (it is an intersection of PSD cone with hyperplane)2. because the set of eigenvalues corresponding to a given square matrix Ais unique, no single eigenvalue can exceed 1 ; id est, I ≽ A .Set C is an instance of Fantope (80).2.9.2.5 Positive semidefinite cone is generally not circularExtreme angle equation (196) suggests that the positive semidefinite conemight be invariant to rotation about its axis of revolution; id est, a circularcone. We investigate this now:2.9.2.5.1 Definition. Circular cone: 2.33a pointed closed convex cone having hyperspherical sections orthogonal toits axis of revolution about which the cone is invariant to rotation. △2.33 A circular cone is assumed convex throughout, although not so by other authors. Wealso assume a right circular cone.
2.9. POSITIVE SEMIDEFINITE (PSD) CONE 109R0Figure 34: This circular cone continues upward infinitely. Axis of revolutionis illustrated as vertical line segment through origin. R is the radius, thedistance measured from any extreme direction to axis of revolution. Werethis a Lorentz cone, any plane slice containing the axis of revolution wouldmake a right angle.
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DATTORROCONVEXOPTIMIZATION&EUCLIDEA
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Convex Optimization&Euclidean Dista
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for Jennie Columba♦Antonio♦♦&
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PreludeThe constant demands of my d
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Convex Optimization&Euclidean Dista
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CONVEX OPTIMIZATION & EUCLIDEAN DIS
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List of Figures1 Overview 191 Orion
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LIST OF FIGURES 1559 Quadratic func
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LIST OF FIGURES 17E Projection 5791
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Chapter 1OverviewConvex Optimizatio
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ˇx 4ˇx 3ˇx 2Figure 2: Applicatio
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23Figure 4: This coarsely discretiz
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ases (biorthogonal expansion). We e
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27Figure 7: These bees construct a
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its membership to the EDM cone. The
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31appendicesProvided so as to be mo
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Chapter 2Convex geometryConvexity h
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2.1. CONVEX SET 35Figure 9: A slab
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2.1. CONVEX SET 372.1.6 empty set v
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2.1. CONVEX SET 392.1.7.1 Line inte
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2.1. CONVEX SET 41(a)R 2(b)R 3(c)(d
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2.1. CONVEX SET 43This theorem in c
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2.2. VECTORIZED-MATRIX INNER PRODUC
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2.3. HULLS 53Figure 12: Convex hull
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2.3. HULLS 55Aaffine hull (drawn tr
Page 57 and 58: 2.3. HULLS 57The union of relative
Page 59 and 60: 2.4. HALFSPACE, HYPERPLANE 59of dim
Page 61 and 62: 2.4. HALFSPACE, HYPERPLANE 61H +ay
Page 63 and 64: 2.4. HALFSPACE, HYPERPLANE 63Inters
Page 65 and 66: 2.4. HALFSPACE, HYPERPLANE 65Conver
Page 67 and 68: 2.4. HALFSPACE, HYPERPLANE 67A 1A 2
Page 69 and 70: 2.4. HALFSPACE, HYPERPLANE 69tradit
Page 71 and 72: 2.4. HALFSPACE, HYPERPLANE 71There
Page 73 and 74: 2.5. SUBSPACE REPRESENTATIONS 732.5
Page 75 and 76: 2.5. SUBSPACE REPRESENTATIONS 752.5
Page 77 and 78: 2.6. EXTREME, EXPOSED 77In other wo
Page 79 and 80: 2.6. EXTREME, EXPOSED 792.6.1 Expos
Page 81 and 82: 2.7. CONES 812.6.1.3.1 Definition.
Page 83 and 84: 2.7. CONES 830Figure 24: Boundary o
Page 85 and 86: 2.7. CONES 852.7.2 Convex coneWe ca
Page 87 and 88: 2.7. CONES 87Thus the simplest and
Page 89 and 90: 2.7. CONES 89nomenclature generaliz
Page 91 and 92: 2.8. CONE BOUNDARY 91Proper cone {0
Page 93 and 94: 2.8. CONE BOUNDARY 93the same extre
Page 96 and 97: 96 CHAPTER 2. CONVEX GEOMETRYBCADFi
Page 98 and 99: 98 CHAPTER 2. CONVEX GEOMETRYThe po
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Page 102 and 103: 102 CHAPTER 2. CONVEX GEOMETRYwhere
Page 104 and 105: 104 CHAPTER 2. CONVEX GEOMETRY√2
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Page 110: 110 CHAPTER 2. CONVEX GEOMETRYA con
Page 115 and 116: 2.9. POSITIVE SEMIDEFINITE (PSD) CO
Page 121 and 122: 2.10. CONIC INDEPENDENCE (C.I.) 121
Page 127 and 128: 2.12. CONVEX POLYHEDRA 127It follow
Page 129 and 130: 2.12. CONVEX POLYHEDRA 129Coefficie
Page 131 and 132: 2.12. CONVEX POLYHEDRA 1312.12.3 Un
Page 133 and 134: 2.12. CONVEX POLYHEDRA 133
Page 135 and 136: 2.13. DUAL CONE & GENERALIZED INEQU
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2.13. DUAL CONE & GENERALIZED INEQU
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Chapter 3Geometry of convex functio
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3.1. CONVEX FUNCTION 185f 1 (x)f 2
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3.1. CONVEX FUNCTION 1873.1.3 norm
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3.1. CONVEX FUNCTION 189where the n
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3.1. CONVEX FUNCTION 191where k ∈
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3.1. CONVEX FUNCTION 193f(z)Az 2z 1
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3.1. CONVEX FUNCTION 195{a T z 1 +
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3.1. CONVEX FUNCTION 197When an epi
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3.1. CONVEX FUNCTION 199orthonormal
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3.1. CONVEX FUNCTION 201[30,1.1] Ex
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3.1. CONVEX FUNCTION 20321.510.5Y 2
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3.1. CONVEX FUNCTION 2053.1.8.0.1 E
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3.1. CONVEX FUNCTION 207This equiva
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3.1. CONVEX FUNCTION 2093.1.8.1 mon
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3.1. CONVEX FUNCTION 211[ Yt]∈ ep
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3.1. CONVEX FUNCTION 213→Y −Xwh
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3.2. MATRIX-VALUED CONVEX FUNCTION
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3.3. QUASICONVEX 221A quasiconcave
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3.4. SALIENT PROPERTIES 2236.A nonn
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Chapter 4Semidefinite programmingPr
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4.1. CONIC PROBLEM 227where K is a
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4.1. CONIC PROBLEM 229C0PΓ 1Γ 2S+
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4.1. CONIC PROBLEM 231faces of S 3
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4.1. CONIC PROBLEM 2334.1.1.3 Previ
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4.2. FRAMEWORK 235Equivalently, pri
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4.2. FRAMEWORK 237is positive semid
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4.2. FRAMEWORK 239Optimal value of
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4.2. FRAMEWORK 2414.2.3.0.2 Example
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4.2. FRAMEWORK 243where δ is the m
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4.2. FRAMEWORK 2454.2.3.0.3 Example
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4.3. RANK REDUCTION 2474.3 Rank red
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4.3. RANK REDUCTION 249A rank-reduc
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4.3. RANK REDUCTION 251(t ⋆ i)
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4.3. RANK REDUCTION 2534.3.3.0.1 Ex
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4.3. RANK REDUCTION 2554.3.3.0.2 Ex
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4.4. RANK-CONSTRAINED SEMIDEFINITE
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Chapter 5Euclidean Distance MatrixT
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5.2. FIRST METRIC PROPERTIES 291cor
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5.3. ∃ FIFTH EUCLIDEAN METRIC PRO
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5.3. ∃ FIFTH EUCLIDEAN METRIC PRO
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5.4. EDM DEFINITION 297The collecti
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5.4. EDM DEFINITION 2995.4.2 Gram-f
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5.4. EDM DEFINITION 301D ∈ EDM N
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5.4. EDM DEFINITION 3035.4.2.2.1 Ex
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5.4. EDM DEFINITION 305ten affine e
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5.4. EDM DEFINITION 307spheres:Then
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5.4. EDM DEFINITION 309By eliminati
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5.4. EDM DEFINITION 311whereΦ ij =
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5.4. EDM DEFINITION 3135.4.2.2.5 De
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5.4. EDM DEFINITION 315105ˇx 4ˇx
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5.4. EDM DEFINITION 317corrected by
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5.4. EDM DEFINITION 319aptly be app
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5.4. EDM DEFINITION 321As before, a
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5.4. EDM DEFINITION 323where ([√t
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5.4. EDM DEFINITION 325because (A.3
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5.5. INVARIANCE 3275.5.1.0.1 Exampl
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5.6. INJECTIVITY OF D & UNIQUE RECO
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5.7. EMBEDDING IN AFFINE HULL 3355.
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5.7. EMBEDDING IN AFFINE HULL 337Fo
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5.7. EMBEDDING IN AFFINE HULL 3395.
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5.8. EUCLIDEAN METRIC VERSUS MATRIX
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5.9. BRIDGE: CONVEX POLYHEDRA TO ED
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5.10. EDM-ENTRY COMPOSITION 357(ii)
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5.11. EDM INDEFINITENESS 3595.11.1
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5.11. EDM INDEFINITENESS 361(confer
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5.11. EDM INDEFINITENESS 363we have
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5.11. EDM INDEFINITENESS 365For pre
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5.12. LIST RECONSTRUCTION 367where
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5.12. LIST RECONSTRUCTION 369(a)(c)
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5.13. RECONSTRUCTION EXAMPLES 371D
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5.13. RECONSTRUCTION EXAMPLES 373Th
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5.13. RECONSTRUCTION EXAMPLES 375wh
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5.14. FIFTH PROPERTY OF EUCLIDEAN M
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Chapter 6EDM coneFor N > 3, the con
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6.1. DEFINING EDM CONE 3896.1 Defin
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6.2. POLYHEDRAL BOUNDS 391This cone
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6.3.√EDM CONE IS NOT CONVEX 393N
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6.4. A GEOMETRY OF COMPLETION 3956.
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6.4. A GEOMETRY OF COMPLETION 397(a
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6.4. A GEOMETRY OF COMPLETION 399Fi
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6.5. EDM DEFINITION IN 11 T 401and
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6.5. EDM DEFINITION IN 11 T 403then
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6.5. EDM DEFINITION IN 11 T 4056.5.
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6.5. EDM DEFINITION IN 11 T 407D =
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6.6. CORRESPONDENCE TO PSD CONE S N
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6.7. VECTORIZATION & PROJECTION INT
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6.7. VECTORIZATION & PROJECTION INT
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6.8. DUAL EDM CONE 419When the Fins
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6.8. DUAL EDM CONE 421Proof. First,
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6.8. DUAL EDM CONE 423EDM 2 = S 2 h
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6.8. DUAL EDM CONE 425whose veracit
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6.8. DUAL EDM CONE 4276.8.1.3.1 Exe
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6.8. DUAL EDM CONE 429has dual affi
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6.8. DUAL EDM CONE 4316.8.1.7 Schoe
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6.9. THEOREM OF THE ALTERNATIVE 433
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6.10. POSTSCRIPT 435When D is an ED
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Chapter 7Proximity problemsIn summa
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In contrast, order of projection on
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441HS N h0EDM NK = S N h ∩ R N×N
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4437.0.3 Problem approachProblems t
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7.1. FIRST PREVALENT PROBLEM: 445fi
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7.1. FIRST PREVALENT PROBLEM: 4477.
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7.1. FIRST PREVALENT PROBLEM: 449di
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7.1. FIRST PREVALENT PROBLEM: 4517.
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7.1. FIRST PREVALENT PROBLEM: 453wh
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7.1. FIRST PREVALENT PROBLEM: 455Th
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7.2. SECOND PREVALENT PROBLEM: 457O
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7.2. SECOND PREVALENT PROBLEM: 459S
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7.2. SECOND PREVALENT PROBLEM: 461r
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7.2. SECOND PREVALENT PROBLEM: 463c
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7.2. SECOND PREVALENT PROBLEM: 4657
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7.3. THIRD PREVALENT PROBLEM: 467fo
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7.3. THIRD PREVALENT PROBLEM: 469a
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7.3. THIRD PREVALENT PROBLEM: 4717.
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7.3. THIRD PREVALENT PROBLEM: 4737.
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7.3. THIRD PREVALENT PROBLEM: 475Ou
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478 CHAPTER 7. PROXIMITY PROBLEMSth
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480 APPENDIX A. LINEAR ALGEBRAA.1.1
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484 APPENDIX A. LINEAR ALGEBRAonly
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486 APPENDIX A. LINEAR ALGEBRA(AB)
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490 APPENDIX A. LINEAR ALGEBRAFor A
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492 APPENDIX A. LINEAR ALGEBRADiago
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494 APPENDIX A. LINEAR ALGEBRAFor A
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498 APPENDIX A. LINEAR ALGEBRAA.4 S
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502 APPENDIX A. LINEAR ALGEBRAA.5 e
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504 APPENDIX A. LINEAR ALGEBRAs i w
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508 APPENDIX A. LINEAR ALGEBRAΣq 2
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510 APPENDIX A. LINEAR ALGEBRAA.7 Z
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512 APPENDIX A. LINEAR ALGEBRAThere
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516 APPENDIX A. LINEAR ALGEBRA
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518 APPENDIX B. SIMPLE MATRICESB.1
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520 APPENDIX B. SIMPLE MATRICESProo
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522 APPENDIX B. SIMPLE MATRICESB.1.
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524 APPENDIX B. SIMPLE MATRICESN(u
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526 APPENDIX B. SIMPLE MATRICESDue
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530 APPENDIX B. SIMPLE MATRICEShas
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532 APPENDIX B. SIMPLE MATRICESFigu
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536 APPENDIX C. SOME ANALYTICAL OPT
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550 APPENDIX D. MATRIX CALCULUSThe
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552 APPENDIX D. MATRIX CALCULUSGrad
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554 APPENDIX D. MATRIX CALCULUSBeca
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556 APPENDIX D. MATRIX CALCULUSwhic
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558 APPENDIX D. MATRIX CALCULUS⎡
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560 APPENDIX D. MATRIX CALCULUS→Y
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562 APPENDIX D. MATRIX CALCULUSD.1.
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564 APPENDIX D. MATRIX CALCULUSwhic
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566 APPENDIX D. MATRIX CALCULUSIn t
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570 APPENDIX D. MATRIX CALCULUSD.2
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572 APPENDIX D. MATRIX CALCULUSalge
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574 APPENDIX D. MATRIX CALCULUStrac
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578 APPENDIX D. MATRIX CALCULUS
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580 APPENDIX E. PROJECTIONThe follo
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582 APPENDIX E. PROJECTIONFor matri
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584 APPENDIX E. PROJECTION(⇐) To
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586 APPENDIX E. PROJECTIONNonorthog
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588 APPENDIX E. PROJECTIONE.2.0.0.1
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590 APPENDIX E. PROJECTIONE.3.2Orth
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592 APPENDIX E. PROJECTIONE.3.5Unif
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594 APPENDIX E. PROJECTIONE.4 Algeb
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596 APPENDIX E. PROJECTIONa ∗ 2K
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598 APPENDIX E. PROJECTIONwhere Y =
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600 APPENDIX E. PROJECTION(B.4.2).
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602 APPENDIX E. PROJECTIONis a nono
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604 APPENDIX E. PROJECTIONE.6.4.1Or
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606 APPENDIX E. PROJECTIONq i q T i
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608 APPENDIX E. PROJECTIONThe test
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610 APPENDIX E. PROJECTIONPerpendic
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612 APPENDIX E. PROJECTIONE.8 Range
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614 APPENDIX E. PROJECTIONAs for su
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616 APPENDIX E. PROJECTIONWith refe
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618 APPENDIX E. PROJECTIONProjectio
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620 APPENDIX E. PROJECTIONE.9.2.2.2
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622 APPENDIX E. PROJECTIONThe foreg
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624 APPENDIX E. PROJECTION❇❇❇
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626 APPENDIX E. PROJECTIONE.10 Alte
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628 APPENDIX E. PROJECTIONbH 1H 2P
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630 APPENDIX E. PROJECTIONa(a){y |
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632 APPENDIX E. PROJECTION(a feasib
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634 APPENDIX E. PROJECTIONwhile, th
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636 APPENDIX E. PROJECTIONE.10.2.1.
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638 APPENDIX E. PROJECTION10 0dist(
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640 APPENDIX E. PROJECTIONE.10.3.1D
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642 APPENDIX E. PROJECTIONE 3K ⊥
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644 APPENDIX E. PROJECTION
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646 APPENDIX F. MATLAB PROGRAMSif n
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648 APPENDIX F. MATLAB PROGRAMSend%
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650 APPENDIX F. MATLAB PROGRAMSF.1.
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652 APPENDIX F. MATLAB PROGRAMScoun
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654 APPENDIX F. MATLAB PROGRAMSF.3
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658 APPENDIX F. MATLAB PROGRAMS% so
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660 APPENDIX F. MATLAB PROGRAMS% tr
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664 APPENDIX F. MATLAB PROGRAMSbrea
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666 APPENDIX F. MATLAB PROGRAMSwhil
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668 APPENDIX F. MATLAB PROGRAMSF.7
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670 APPENDIX F. MATLAB PROGRAMS
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672 APPENDIX G. NOTATION AND A FEW
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688 BIBLIOGRAPHY[7] Abdo Y. Alfakih
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690 BIBLIOGRAPHY[27] Aharon Ben-Tal
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692 BIBLIOGRAPHY[48] Lev M. Brègma
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694 BIBLIOGRAPHY[67] Joel Dawson, S
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696 BIBLIOGRAPHY[85] Alan Edelman,
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698 BIBLIOGRAPHY[102] Philip E. Gil
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700 BIBLIOGRAPHYWeiss, editors, Pol
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702 BIBLIOGRAPHY[146] Jean-Baptiste
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704 BIBLIOGRAPHY[168] Jean B. Lasse
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706 BIBLIOGRAPHY[189] Rudolf Mathar
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708 BIBLIOGRAPHY[211] M. L. Overton
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710 BIBLIOGRAPHY[229] C. K. Rushfor
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712 BIBLIOGRAPHY[252] Jos F. Sturm
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714 BIBLIOGRAPHY[274] È. B. Vinber
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[294] Yinyu Ye. Semidefinite progra
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718 INDEXobtuse, 62positive semidef
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720 INDEXelliptope, 642orthant, 177
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722 INDEXdistancegeometry, 20, 317m
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724 INDEX-dimensional, 37, 89rank,
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726 INDEXGram form, 331is, 674isedm
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728 INDEXdiscretized, 152, 431in su
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730 INDEXboundary, 115dimension, 10
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732 INDEXlinear operator, 587, 591,
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734 INDEXlargest entries, 188monoto
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736 INDEXsimilarity, 606translation
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