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664 APPENDIX F. MATLAB PROGRAMSbreakendendif ~violy(:,k) = v(:,1);elseif isempty(j)disp(’Sturm procedure taking default j’), j = 2; returnend % debugalpha = (-2*(v(:,1)’*A*v(:,j)) + sqrt((2*v(:,1)’*A*v(:,j)).^2 ...-4*(v(:,j)’*A*v(:,j))*(v(:,1)’*A*v(:,1))))/(2*(v(:,j)’*A*v(:,j)));y(:,k) = (v(:,1) + alpha*v(:,j))/sqrt(1+alpha^2);if chop(y(:,k)’*A*y(:,k),tol) ~= 0alpha = (-2*(v(:,1)’*A*v(:,j)) - sqrt((2*v(:,1)’*A*v(:,j)).^2 ...-4*(v(:,j)’*A*v(:,j))*(v(:,1)’*A*v(:,1))))/(2*(v(:,j)’*A*v(:,j)));y(:,k) = (v(:,1) + alpha*v(:,j))/sqrt(1+alpha^2);if chop(y(:,k)’*A*y(:,k),tol) ~= 0disp(’Zero problem in Sturm!’), returnend % debugendendY = Y - y(:,k)*y(:,k)’;rho = rho - 1;endz = zeros(size(y));e = zeros(N,N);for i=1:rz(:,i) = y(:,i)/norm(y(:,i));e(i,i) = norm(y(:,i))^2;endlam = diag(e);[junk id] = sort(real(lam));id = id(length(id):-1:1);z = [z(:,id(1:r)) null(z’)] % Sturme = diag(lam(id))[v,d] = signeig(X) % eigenvalue decompositionX-z*e*z’traceAX = trace(A*X)
F.6. CONVEX ITERATION DEMONSTRATION 665F.6 Convex iteration demonstrationWe demonstrate implementation of a rank constraint in a semidefiniteBoolean feasibility problem from4.4.3.0.5. It requires CVX, [116] an intuitiveMatlab interface for interior-point method solvers.There are a finite number 2 N=50 ≈1E15 of binary vectors x . The feasibleset of semidefinite program (668) is the intersection of an elliptope withM =10 halfspaces in vectorized variable G . Size of the optimal rank-1solution set is proportional to the positive factor scaling vector b . Thesmaller that optimal Boolean solution set, the harder this problem is to solve.That scale factor and initial states of random number generators, makingmatrix A and vector b , are selected to demonstrate Boolean solution to oneinstance in about 7 iterations (about 6 seconds), whereas a sequential binarysearch tests 25.7 million vectors (in one hour) before finding one Booleansolution feasible to nonconvex problem (665). (Other parameters can beselected to reverse these timings.)% Discrete optimization problem demo.% -Jon Dattorro, June 4, 2007% Find x\in{-1,1}^N such that Ax
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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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2.2. VECTORIZED-MATRIX INNER PRODUC
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2.2. VECTORIZED-MATRIX INNER PRODUC
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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
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2.3. HULLS 57The union of relative
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2.4. HALFSPACE, HYPERPLANE 59of dim
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2.4. HALFSPACE, HYPERPLANE 61H +ay
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2.4. HALFSPACE, HYPERPLANE 63Inters
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2.4. HALFSPACE, HYPERPLANE 65Conver
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2.4. HALFSPACE, HYPERPLANE 67A 1A 2
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2.4. HALFSPACE, HYPERPLANE 69tradit
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2.4. HALFSPACE, HYPERPLANE 71There
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2.5. SUBSPACE REPRESENTATIONS 732.5
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2.5. SUBSPACE REPRESENTATIONS 752.5
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2.6. EXTREME, EXPOSED 77In other wo
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2.6. EXTREME, EXPOSED 792.6.1 Expos
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2.7. CONES 812.6.1.3.1 Definition.
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2.7. CONES 830Figure 24: Boundary o
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2.7. CONES 852.7.2 Convex coneWe ca
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2.7. CONES 87Thus the simplest and
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2.7. CONES 89nomenclature generaliz
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2.8. CONE BOUNDARY 91Proper cone {0
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2.8. CONE BOUNDARY 93the same extre
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96 CHAPTER 2. CONVEX GEOMETRYBCADFi
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98 CHAPTER 2. CONVEX GEOMETRYThe po
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100 CHAPTER 2. CONVEX GEOMETRY2.9.0
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102 CHAPTER 2. CONVEX GEOMETRYwhere
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104 CHAPTER 2. CONVEX GEOMETRY√2
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106 CHAPTER 2. CONVEX GEOMETRYwhich
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108 CHAPTER 2. CONVEX GEOMETRY2.9.2
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110 CHAPTER 2. CONVEX GEOMETRYA con
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2.9. POSITIVE SEMIDEFINITE (PSD) CO
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2.9. POSITIVE SEMIDEFINITE (PSD) CO
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2.9. POSITIVE SEMIDEFINITE (PSD) CO
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2.10. CONIC INDEPENDENCE (C.I.) 121
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2.10. CONIC INDEPENDENCE (C.I.) 123
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2.10. CONIC INDEPENDENCE (C.I.) 125
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2.12. CONVEX POLYHEDRA 127It follow
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2.12. CONVEX POLYHEDRA 129Coefficie
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2.12. CONVEX POLYHEDRA 1312.12.3 Un
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2.12. CONVEX POLYHEDRA 133
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2.13. DUAL CONE & GENERALIZED INEQU
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2.13. DUAL CONE & GENERALIZED INEQU
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2.13. DUAL CONE & GENERALIZED INEQU
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2.13. DUAL CONE & GENERALIZED INEQU
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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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3.2. MATRIX-VALUED CONVEX FUNCTION
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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 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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5.6. INJECTIVITY OF D & UNIQUE RECO
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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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6.5. EDM DEFINITION IN 11 T 401and
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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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6.6. CORRESPONDENCE TO PSD CONE S N
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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: 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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482 APPENDIX A. LINEAR ALGEBRAA.1.2
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484 APPENDIX A. LINEAR ALGEBRAonly
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486 APPENDIX A. LINEAR ALGEBRA(AB)
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488 APPENDIX A. LINEAR ALGEBRAA.3.1
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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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496 APPENDIX A. LINEAR ALGEBRAA.3.1
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498 APPENDIX A. LINEAR ALGEBRAA.4 S
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500 APPENDIX A. LINEAR ALGEBRAA.4.0
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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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506 APPENDIX A. LINEAR ALGEBRAA.6.2
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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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514 APPENDIX A. LINEAR ALGEBRAA.7.5
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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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528 APPENDIX B. SIMPLE MATRICESB.4.
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530 APPENDIX B. SIMPLE MATRICEShas
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532 APPENDIX B. SIMPLE MATRICESFigu
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534 APPENDIX B. SIMPLE MATRICESB.5.
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536 APPENDIX C. SOME ANALYTICAL OPT
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538 APPENDIX C. SOME ANALYTICAL OPT
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540 APPENDIX C. SOME ANALYTICAL OPT
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542 APPENDIX C. SOME ANALYTICAL OPT
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544 APPENDIX C. SOME ANALYTICAL OPT
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546 APPENDIX C. SOME ANALYTICAL OPT
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548 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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568 APPENDIX D. MATRIX CALCULUSD.1.
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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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576 APPENDIX D. MATRIX CALCULUSD.2.
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578 APPENDIX D. MATRIX CALCULUS
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Page 580 and 581:
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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Page 648 and 649:
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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656 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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662 APPENDIX F. MATLAB PROGRAMSF.4.
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666 APPENDIX F. MATLAB PROGRAMSwhil
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668 APPENDIX F. MATLAB PROGRAMSF.7
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Page 670 and 671:
670 APPENDIX F. MATLAB PROGRAMS
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Page 672 and 673:
672 APPENDIX G. NOTATION AND A FEW
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Page 674 and 675:
674 APPENDIX G. NOTATION AND A FEW
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676 APPENDIX G. NOTATION AND A FEW
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678 APPENDIX G. NOTATION AND A FEW
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680 APPENDIX G. NOTATION AND A FEW
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682 APPENDIX G. NOTATION AND A FEW
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684 APPENDIX G. NOTATION AND A FEW
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Page 686 and 687:
686 APPENDIX G. NOTATION AND A FEW
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Page 688 and 689:
688 BIBLIOGRAPHY[7] Abdo Y. Alfakih
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Page 690 and 691:
690 BIBLIOGRAPHY[27] Aharon Ben-Tal
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Page 692 and 693:
692 BIBLIOGRAPHY[48] Lev M. Brègma
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Page 694 and 695:
694 BIBLIOGRAPHY[67] Joel Dawson, S
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Page 696 and 697:
696 BIBLIOGRAPHY[85] Alan Edelman,
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Page 698 and 699:
698 BIBLIOGRAPHY[102] Philip E. Gil
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Page 700 and 701:
700 BIBLIOGRAPHYWeiss, editors, Pol
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Page 702 and 703:
702 BIBLIOGRAPHY[146] Jean-Baptiste
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Page 704 and 705:
704 BIBLIOGRAPHY[168] Jean B. Lasse
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Page 706 and 707:
706 BIBLIOGRAPHY[189] Rudolf Mathar
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Page 708 and 709:
708 BIBLIOGRAPHY[211] M. L. Overton
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Page 710 and 711:
710 BIBLIOGRAPHY[229] C. K. Rushfor
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Page 712 and 713:
712 BIBLIOGRAPHY[252] Jos F. Sturm
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Page 714 and 715:
714 BIBLIOGRAPHY[274] È. B. Vinber
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Page 716 and 717:
[294] Yinyu Ye. Semidefinite progra
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Page 718 and 719:
718 INDEXobtuse, 62positive semidef
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Page 720 and 721:
720 INDEXelliptope, 642orthant, 177
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Page 722 and 723:
722 INDEXdistancegeometry, 20, 317m
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Page 724 and 725:
724 INDEX-dimensional, 37, 89rank,
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Page 726 and 727:
726 INDEXGram form, 331is, 674isedm
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Page 728 and 729:
728 INDEXdiscretized, 152, 431in su
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Page 730 and 731:
730 INDEXboundary, 115dimension, 10
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Page 732 and 733:
732 INDEXlinear operator, 587, 591,
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Page 734 and 735:
734 INDEXlargest entries, 188monoto
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Page 736:
736 INDEXsimilarity, 606translation
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