Convex Optimization and System Theory

Kees Roos/A.A. Stoorvogel

e-mail: C.Roos@ewi.tudelft.nl
URL: http://www.isa.ewi.tudelft.nl/roos
WI 4218
February 8 - May 31, A.D. 2006
Optimization Group 1
Outline for week 4
Conic Duality Revisited
Summary on building the dual problem
Conic Quadratic Problems
Problem dual to a Conic Quadratic Problem
Application: Tschebyshev approximation with complex-valued data
What can be expressed via conic quadratic constraints?
Calculus of CQr functions and sets
Operations preserving CQ-representability of sets
Operations preserving CQ-representability of functions
More examples of CQr functions/sets
More applications: Tschebyshev approximation in relative scale
Optimization Group 2
Conic Duality Revisited (1)
Question: Whether the problem
x
1
+2x
2
max
x
1
+x
2
= 4
x
1
x
2
3
x
1
0
is an LP program?
Formal answer: No! It is not a problem of minimizing a linear objective over the intersection
of a plane and a nonnegative orthant!
Correct answer: The problem can be straightforwardly converted into an equivalent LP
program, e.g., as follows:
x
1
+2(x

2
x

2
) max
x
1
+(x

2
x

2
) = 4
x
1
(x

2
x

2
) +s = 3
x
1
, x

2
, x

2
, s 0
This is a problem in standard dual form, over the linear cone. We can apply a similar procedure
to transform any conic problem in the standard dual form. After this we can form the dual
problem.
Optimization Group 3
Conic Duality Revisited (2)
In applications, conic problems usually arise in the form
c
T
x min [ Px = p; A
i
x b
i

K
i
0, i = 1, . . . , m. (Ini)
(K
i
are dierent cones), which is not our usual form.
Problem (Ini) can be straightforwardly converted to our standard conic form, e.g., as follows:
Step 1. Passing to a problem where the design vector is restricted to belong to a cone:
(Ini)

_
c
T
(v u) max
Pu Pv = p
A
i
(u v) b
i

K
i
0, i = 1, . . . , m;
_
_
u
v
_
_
0
(Med)
Optimization Group 4
Conic Duality Revisited (3)
Step 2. Adding slack variables:
c
T
x min [ Px = p; A
i
x b
i

K
i 0, i = 1, . . . , m. (Ini)

_
c
T
(v u) max
Pu Pv = p
A
i
(u v) b
i

K
i 0, i = 1, . . . , m;
_
u
v
_
0
(Med)

_
c
T
(v u) max
Pu Pv = p
A
i
(u v) s
i
= b
i
, i = 1, . . . , m
_

_
u
v
s
1
. . .
s
m
_

K
0
(Fin)
where
K = R
n
+
..
u
R
n
+
..
v
K
1
..
s
1
. . . K
m
..
s
m
.
The resulting problem is in our dual conic form.
Optimization Group 5
Conic Duality Revisited (4)
Forming the dual problem of
_

_
c
T
(v u) max
Pu Pv = p
A
i
(u v) s
i
= b
i
, i = 1, . . . , m
_
u v s
1
. . . s
m

K
0,
_
_
K = R
n
+
..
u
R
n
+
..
v
K
1
..
s
1
. . . K
m
..
s
m
_
_
(Fin)
The dual cone (which contains the slacks of the primal problem) is
K

= R
n
+
..

R
n
+
..

K
1

..

1
. . . K
m

..

m
The constraint matrix A, the right hand side vector and the vector of dual variables are given by
A
T
=
_

_
P P 0 . . . 0
A
1
A
1
I . . . 0
.
.
.
.
.
.
.
.
. . . .
.
.
.
A
m
A
m
0 . . . I
_

_
, c

=
_

_
p
b
1
.
.
.
b
m
_

_
, x =
_

_
q
x
1
.
.
.
x
m
_

_
Hence the dual problem is
_

_
p
T
q + b
T
1
x
1
+. . . +b
T
m
x
m
min
= P
T
q +A
T
1
x
1
+. . . +A
T
m
x
m
+c R
n
+
= P
T
q A
T
1
x
1
. . . A
T
m
x
m
c R
n
+

i
= x
i
K
i

, i = 1, . . . , m
(DualFin)
Optimization Group 6
Conic Duality Revisited (5)
The dual problem is
_

_
p
T
q + b
T
1
x
1
+. . . +b
T
m
x
m
min
= P
T
q +A
T
1
x
1
+. . . +A
T
m
x
m
+c R
n
+
= P
T
q A
T
1
x
1
. . . A
T
m
x
m
c R
n
+

i
= x
i
K
i

, i = 1, . . . , m.
(DualFin)
This can be simplied to
_

_
p
T
q +b
T
1
x
1
+. . . +b
T
m
x
m
min
P
T
q +A
T
1
x
1
+. . . +A
T
m
x
m
+c = 0
x
i
K
i

, i = 1, . . . , m.
(DualFin)
Finally, replacing q by , and x
i
by
i
, we arrive at
p
T
+

m
i=1
b
T
i

i
max
P
T
+

m
i=1
A
T
i

i
= c

i

K
i

0, i = 1, . . . , m.
Optimization Group 7
Alternative way to deal with equality constraints
Let P be an mn matrix. The ane constraint
Px = p
is equivalent to the conic quadratic constraint
_
_
Px p
0
_
_

L
m+1
0.
Using this the above analysis for forming the dual problem becomes much simpler, because
it gives in the primal just one more conic constraint, and there is no need to introduce slack
variables. Verify this!
Optimization Group 8
Summary on building the dual (1)
c
T
x min
Px = p , dim = dim p
A
1
x
K
1 b
1

1

K
1

0
. . . . . .
A
m
x
K
m b
m

m

K
m

0
Dual
p
T
+

m
i=1
b
T
i

i
max
P
T
+

m
i=1
A
T
i

i
= c x

, dim x

= dim c

1

K
1

0 s
1

K
1 0
. . . . . .

m

K
m

0 s
m

K
m 0
Dual to dual
c
T
x

+0
T
s
1
+. . . +0
T
s
m
max
P
T
x

= p
A
1
x

+s
1
= b
1
. . .
A
m
x

+s
m
= b
m
s
1

K
1 0
. . .
s
m

K
m 0
x=x

..
Primal
Optimization Group 9
Summary on building the dual (2)
(P): (D):
_

_
c
T
x min
Px = p
A
i
x
K
i
b
i
,
i = 1, . . . , m
_

_
p
T
+

m
i=1
b
T
i

i
max
P
T
+

m
i=1
A
T
i

i
= c

i

K
i

0,
i = 1, . . . , m
Well-posedness: rows of P are linearly independent, and there is no nonzero x such that
Px = 0, A
i
x = 0, i = 1, . . . , m;
Note: if (P) is well-posed, (D) also is so, and vice versa.
Strict feasibility: existence of a feasible solution satusfying all vector inequalities as strict
ones;
Weak Duality: Dual objective at every dual feasible solution is primal objective at every
primal feasible solution;
Strong duality: If one of the problems of a primal-dual pair is strictly feasible and bounded,
the other problem is solvable, and the optimal values are equal to each other.
If both problems of the pair are strictly feasible, both are solvable with equal optimal values.
Optimization Group 10
Summary on building the dual (3)
(P): (D):
_

_
c
T
x min
Px = p
A
i
x
K
i b
i
,
i = 1, . . . , m
_

_
p
T
+

m
i=1
b
T
i

i
max
P
T
+

m
i=1
A
T
i

i
= c

i

K
i

0,
i = 1, . . . , m
Optimality conditions. Let x be feasible for to (P), and y =
_
,
i

m
i=1
_
feasible for (D). Then
The duality gap
DualityGap(x, y) = c
T
x
_
p
T
+
m

i=1
b
T
i

i
_
is nonnegative and is equal to
m

i=1

T
i
[A
i
x b
i
].
The duality gap is equal to 0 if and only if the complementary slackness holds:

T
i
[A
i
x b
i
] = 0, i = 1, . . . , m.
If the duality gap at (x, y) is 0 (i.e., if the complementary slackness holds), then x is optimal for (P), and y
is optimal for (D).
If x is optimal for (P), y is optimal for (D) and the optimal values are equal (e.g., one of the problems is
strictly feasible and bounded), then at (x, y) the duality gap is zero and the complementary slackness holds.
Optimization Group 11
Conic Quadratic Problems (1)
The m-dimensional Lorentz cone is
L
m
= x = (x
1
, . . . , x
m
) R
m
[ x
m

_
x
2
1
+. . . +x
2
m1
;
In the extreme case of m = 1 we, as usual, interpret the empty sum

0
i=1
x
2
i
as 0, so that
L
1
= x R [ x 0 = R
+
.
A conic quadratic problem is a conic problem
c
T
x min [ Ax b
K
0 (CP)
for which the cone K is a direct product of Lorentz cones:
K = L
m
1
L
m
2
. . . L
m
k
=
_

_
y =
_
_
_
_
_
y[1]
y[2]
. . .
y[k]
_
_
_
_
_
[ y[i] L
m
i
, i = 1, . . . , k
_

_
.
Thus, a conic quadratic problem is an optimization problem with linear objective and nitely
many conic quadratic constraints:
c
T
x min [ A
i
x b
i

L
m
i
0, i = 1, . . . , k. ()
Optimization Group 12
Conic Quadratic Problems (2)
c
T
x min [ A
i
x b
i

L
m
i
0, i = 1, . . . , k. ()
Representing
[A
i
; b
i
] =
_
_
_
D
i
1
..
d
i
m1
p
T
i
q
i
1
_
_
_
we may rewrite (*) explicitly as
c
T
x min [ | D
i
x d
i
|
2
p
T
i
x q
i
. .

A
i
x b
i

L
m 0
, i = 1, . . . , k. (CQ
s
)
Sometimes there are also linear equations, thus coming to a more general form
c
T
x min
Rx = r,
| D
i
x d
i
|
2
p
T
i
x q
i
, i = 1, . . . , k.
(CQ)
We could eliminate the equations Rx = r by expressing part of the design variables, in a
linear fashion, via the remaining variables; thus, (CQ) can be written down in the form (CQ
s
)
A scalar linear inequality a
T
x b is the same as the conic quadratic inequality a
T
x
L
1
b,
so that adding to (CQ) nitely many scalar linear inequalities, we do not vary the structure
of the problem.
Optimization Group 13
Problem dual to a Conic Quadratic Problem (1)
Consider a conic quadratic program:
c
T
x min
Rx = r,
| D
i
x d
i
|
2
p
T
i
x q
i

_

_
A
i
x
L
m
i
b
i
,
A
i
=
_
D
i
; p
T
i
_
, i = 1, . . . , k.
b
i
=
_
d
i
; q
i
_
(CQp)
The Lorentz cone is self-dual, so that the dual to (CQp) is again a conic quadratic program:
_

_
r
T
+

k
i=1
b
T
i

i
max
R
T
+

k
i=1
A
T
i

i
= c

i

L
m
i
0, i = 1, . . . , k

_
r
T
+

k
i=1
_
d
T
i

i
+q
i

i
_
max
R
T
+

k
i=1
_
D
T
i

i
+
i
p
i
_
= c
|
i
|
2

i
, i = 1, . . . , m
(CQd)
with design variables
R
dim r
,
_

i
=
_

i
m
i
1

i
1
__
k
i=1
Optimization Group 14
Application: Tschebyshev approximation with complex-valued data
The discrete Tschebyshev approximation problem with complex-valued data and design
variables is
min
zC
n
max
i=1,...,m

j=1
a
ij
z
j
b
i

with 2n real design variables z

j
, z
j
, j = 1, . . . , n.
Putting a
ij
=
ij
+i
ij
, z
j
= x
j
+iy
j
and b
i
= d
i
+ic
i
, we have
a
ij
z
j
b
i
=
_

ij
+i
ij
_ _
x
j
+iy
j
_
(d
i
+ic
i
)
=
ij
x
j

ij
y
j
d
i
+i
_

ij
y
j
+
ij
x
j
c
i
_
.
Hence

j=1
a
ij
z
j
b
i

_

n
j=1

ij
x
j

ij
y
j
d
i

n
j=1

ij
y
j
+
ij
x
j
c
i
_

2
.
Thus the complex valued Tschebyshev approximation problem is equivalent to the following
conic quadratic problem:
min

_

n
j=1

ij
x
j

ij
y
j
d
i

n
j=1

ij
y
j
+
ij
x
j
c
i
_

2
, i = 1, . . . , m.
There are 2n real design variables: x
j
= z
j
, y
j
= z
j
, j = 1, . . . , n.
Optimization Group 15
What can be expressed via conic quadratic constraints? (1)
Normally, the initial form of an optimization model is
minf(x) [ x X
X =
m

i=1
X
i
[often X
i
= x [ g
i
(x) 0]
We always may make the objective linear:
minf(x) [ x X
_
_
X =
m

i=1
X
i
_
_

t min [ (t, x) X
+
, X
+
=
m

i=0
X
+
i
_
X
+
0
= (t, x) [ t f(x); X
+
i
= (t, x) [ x X
i

_
From now on, assume that the objective is linear, so that the original problem is
c
T
x min [ x X
_
_
X =
m

i=1
X
i
_
_
(Ini)
Question: When (Ini) can be reformulated as a conic quadratic problem?
Optimization Group 16
What can be expressed via conic quadratic constraints? (2)
c
T
x min [ x X
_
X =
m

i=1
X
i
_
(Ini)
Question: When (Ini) can be reformulated as a conic quadratic problem?
Answer: This is the case when X is a CQr set in other words, if X is Conic Quadratic representable.
Denition. Let X R
n
. We say that X is CQr, if there exist
a vector u R

of additional variables, and

an ane mapping
A(x, u) =
_

_
A
1
(x, u)
A
2
(x, u)
. . .
A
k
(x, u)
_

_
: R
n
x
R

u
R
m
1
. . . R
m
k
such that
X = x R
n
[u : A
j
(x, u)
L
m
j 0, j = 1, . . . , k .
The collection (, k, A(, ), m
1
, . . . , m
k
) is called a CQR (Conic Quadratic Representation) of X.
Given a CQR of X, we can pose (Ini) as a conic quadratic program, namely, as
c
T
x min [ A
j
(x, u)
L
m
j 0
with design variables x, u.
Optimization Group 17
Example:
Consider the program
x min [ x X = x
2
+2x
4
1
A CQR for X can be obtained as follows:
x
2
+2x
4
1 t
1
, t
2
:
_
_
_
x
2
t
1
t
2
1
t
2
t
1
+2t
2
1
and
s
2
r 4s
2
+(r 1)
2
(r +1)
2

_
2s
r 1
r +1
_

_

L
3 0,
so that
X =
_

_
x[ t
1
, t
2
:
_

_
2x
t
1
1
t
1
+1
_

_

L
3 0
. .
says that x
2
t
1
,
_

_
2t
1
t
2
1
t
2
+1
_

_

L
3 0
. .
says that t
2
1
t
2
, t
1
+2t
2
1
_

_
,
and (Ini) is the conic quadratic program
x min [
_

_
2x
t
1
1
t
1
+1
_

_

L
3 0,
_

_
2t
1
t
2
1
t
2
+1
_

_

L
3 0, t
1
+2t
2
1.
Optimization Group 18
What can be expressed via conic quadratic constraints? (3)
Denition. Let f : R
n
R+ be a function. We say that f is CQr (Conic Quadratic
representable), if its epigraph
Epif = (t, x) RR
n
[ f(x) t
is a CQr set.
Every CQR of Epif is called a CQR (Conic Quadratic Representation) of f.
Optimization Group 19
Example
The function f(x) = x
2
+2x
4
: R R is CQr:
t x
2
+2x
4
t
1
, t
2
:
_

_
_

_
2x
t
1
1
t
1
+1
_

_

L
3
0
_
x
2
t
1
_
_

_
2t
1
t
2
1
t
2
+1
_

_

L
3
0
_
t
2
1
t
2
_
,
t
1
+2t
2
t
Theorem. If f : R
n
R is a CQr function, then its level sets
X
a
= x [ f(x) a
are CQr, and CQR for X
a
is given by a CQR for f:
t f(x) u : A
j
(t, x, u)
L
m
j
0, j = 1, . . . , k
. .

x : f(x) a =
_
x [ u : A
j
(a, x, u)
L
m
j
0, j = 1, . . . , k
_
Optimization Group 20
Calculus of CQr functions and sets (1)
Elementary CQr functions/sets
1. An ane function f(x) = a
T
x +b is CQr:
Epif = (t, x) [ t a
T
x b 0
. .
c.q.i.

2. The Euclidean norm f(x) =| x |

2
: R
n
R is CQr:
Epif = (t, x) [ | x |
2
t
. .
c.q.i.

3. The squared Euclidean norm f(x) = x

T
x : R
n
R is CQr:
t x
T
x (t +1)
2
(t 1)
2
+4x
T
x

_
_
2x
t 1
_
_

2
t +1
. .
c.q.i.
.
Optimization Group 21
Calculus of CQr functions and sets (2)
4. The fractional-quadratic function
f(x, s) =
_

_
x
T
x
s
, s > 0
0, x = 0, s = 0
+, all remaining cases
, x R
n
, s R
is CQr:
Epif =
_
(t, x, s) [ t
x
T
x
s
, s 0
_
=
_
(t, x, s) [ x
T
x ts, t 0, s 0
_
=
_
(t, x, s) [ 4x
T
x +(t s)
2
(t +s)
2
, t +s 0
_
=
_
_
_
(t, x, s) [

_
_
2x
t s
_
_

2
t +s
_
_
_
5. The (branch of) hyperbola
(t, s) R
2
[ ts 1, t 0, s 0
is a CQr set:
(t, s) [ ts 1, t, s 0 =
_
_
_
(t, s) [

_
_
2
t s
_
_

2
t +s
_
_
_
Optimization Group 22
Operations preserving CQ-representability of sets (1)
A. Intersection: If sets X
i
R
n
, i = 1, . . . , N, are CQr, then so is their intersection:
X
i
=
_
x R
n
[ A
ij
(x, u
i
)
L
m
ij
0, j = 1, . . . , k
i
_

1
X
i
=
_
x R
n
[
ij
(x, u)
L
m
ij
0,
j = 1, . . . , k
i
i = 1, . . . , N
_
_
u = (u
1
, . . . , u
N
),
ij
(x, u) = A
ij
(x, u
i
)
_
B. Direct product: If sets X
i
R
n
i
, i = 1, . . . , N, are CQr, so is their direct product
X = X
1
X
2
. . . X
N
R
n
1
. . . R
n
N
Indeed,
X
i
=
_
x
i
R
n
i
[ A
ij
(x
i
, u
i
)
L
m
ij
0, j = 1, . . . , k
i
_

X =
_
(x
1
, . . . , x
N
) R
n
1
+...+n
N
[
ij
(x, u)
L
m
ij
0,
j=1,...,k
i
i=1,...,N
_
_
u = (u
1
, . . . , u
N
),
ij
(x, u) = A
ij
(x
i
, u
i
)
_
Optimization Group 23
Operations preserving CQ-representability of sets (2)
C. Ane image (Projection): If the set X R
n
is CQr and x Ax + b is an ane
mapping of R
n
onto R
k
, then the set
X

= y = Ax +b [ x X
is CQr. Indeed, passing to an appropriate basis, we can assume that
R
n
= R
k

R
nk

; A
_
_

_
_
+b = +b.
Then
X =
_
(, ) [ u : A
j
(, , u)
L
m
j
0, j = 1, . . . , k
_

=
_
[ u, : A
j
( b, , u)
L
m
j
0, j = 1, . . . , k
_
D. Inverse ane image (Cross-section): If X R
n
is CQr and y Ay + b is an ane
mapping from R
k
to R
n
, then the set
X

= y [ Ay +b X
is CQr:
X =
_
x [ u : A
j
(x, u)
L
m
j
0, j = 1, . . . , k
_

=
_
y [ u : A
j
(Ay +b, u)
L
m
j
0, j = 1, . . . , k
_
Optimization Group 24
Operations preserving CQ-representability of functions (1)
E. Taking maximum: If f
i
: R
n
R +, i = 1, . . . , N, are CQr functions, then so
is their maximum
f(x) = max
i
f
i
(x).
Indeed,
Epif =
N

i=1
Epif
i

is CQr (as intersection of CQr sets).

Optimization Group 25
Operations preserving CQ-representability of functions (2)
F. Summation with nonnegative weights. If functions f
i
: R
n
R+, i = 1, . . . , N,
are CQr and
i
0, then the following function is CQr:
f(x) =
N

i=1

i
f
i
(x)
Indeed,
Epif = (t, x) [ t
1
, . . . , t
N
: t
i
f
i
(x), i = 1, . . . , N, t
N

i=1

i
t
i
0.
Since, for i = 1, . . . , N,
t
i
f
i
(x) u
i
: A
ij
(t
i
, x, u
i
)
L
m
ij
0, j = 1, . . . , k
i
,
we obtain
Epif = (t, x) [ t
1
, . . . , t
N
, u
1
, . . . , u
N
:
A
ij
(t
i
, x, u
i
)
L
m
ij
0,
j=1,...,k
i
i=1,...,N
, t
N

i=1

i
t
i
0
. .
c.q.i.

Optimization Group 26
Operations preserving CQ-representability of functions (3)
G. Direct summation: If f
i
: R
n
i
R , i = 1, . . . , N, are CQr, so is the function
f(x
1
, . . . , x
N
) =
N

i=1
f
i
(x
i
) : R
n
1
x
1
. . . R
n
N
x
N
R .
Indeed,
(t
i
, x
i
) [ t
i
f
i
(x
i
) = (t
i
, x
i
) [ u
i
:
A
ij
(t
i
, x
i
, u
i
)
L
m
ij
0, j = 1, . . . , k
i

Epif = (t, x
1
, . . . , x
N
) [ t
1
, . . . , t
N
, u
1
, . . . , u
N
:
A
ij
(t
i
, x
i
, u
i
)
L
m
ij
0,
j=1,...,k
i
i=1,...,N
, t
N

i=1
t
i
0
. .
c.q.i.

Optimization Group 27
Operations preserving CQ-representability of functions (4)
H. Ane substitution of argument: If
f : R
n
R
is CQr and y Ay +b is an ane mapping of R
k
into R
n
, then the superposition
f

(y) = f(Ay +b)

also is CQr.
Indeed, the epigraph of f

is the inverse image of the epigraph of f under the ane mapping

(t, y) (t, Ay +b) : RR
k
RR
n
.
Optimization Group 28
Operations preserving CQ-representability of functions (5)
I. Partial minimization: If f(, ) : R
n
1

R
n
2

R is CQr and the minimum in the

parametric problem
min

f(, )
is achieved for every , then the function

f() = min

f(, )
is CQr.
Indeed, under our assumption the epigraph of

f is the image of CQr set Epif under the
ane mapping
(t, , ) (t, ).
Optimization Group 29
More examples of CQr functions/sets (1)
6. Convex quadratic form f(x) = x
T
Qx +q
T
x +r is CQr.
Indeed, the matrix Q of a convex quadratic form is positive semidenite and can therefore be
decomposed as
Q = D
T
D.
It follows that
f(x) =| Dx |
2
2
+q
T
x +r
is obtained from the CQr functions the squared Euclidean norm and an ane function by
operations preserving CQ-representability by ane substitution of argument and addition.
Here is an explicit CQr for f:
Epif =
_
(t, x) [ x
T
D
T
Dx +q
T
x +r t
_
= (t, x) [
4 | Dx |
2
2
+(t [q
T
x +r] 1)
2
(t [q
T
x +r] +1)
2

=
_
_
_
(t, x) [

_
_
2Dx
t q
T
x r 1
_
_

2
t q
T
x r +1
_
_
_
Optimization Group 30
More examples of CQr functions/sets (2)
7. The cone
K = (x,
1
,
2
) R
n
x
R
2

1
,
2
[
1
,
2
0, x
T
x
1

is CQr.
Indeed,
K =
_
_
_
(x,
1
,
2
) R
n
x
R
2

1
,
2
[

_
_
2x

2
_
_

2

1
+
2
_
_
_
Note: K is the Lorentz cone L
n+2
it is obtained form L
n+2
by a one-to-one linear
transformation of R
n+2
.
Optimization Group 31
More examples of CQr functions/sets (3)
8. The half-cone
K
2
+
= (x
1
, x
2
, t) R
3
[ x
1
, x
2
0, 0 t

x
1
x
2

is CQr.
Indeed, K
2
+
is the intersection of the cone
_
(t, x
1
, x
2
) R
3
[ x
1
, x
2
0, t
2
x
1
x
2
_
from Example 7 and the half-space
_
(t, x
1
, x
2
) R
3
[ t 0
_
Optimization Group 32
More examples of CQr functions/sets (4)
9. The hypograph of the geometric mean
K
2
= (t, x
1
, x
2
) R
3
[ x
1
, x
2
0, t

x
1
x
2

is CQr.
Indeed,
K
2
=
_
_
_
(t, x
1
, x
2
) [ : t ,

_
_
2
x
1
x
2
_
_

2
x
1
+x
2
_
_
_
.
Optimization Group 33
More examples of CQr functions/sets (5)
10. The hypograph of the geometric mean of 2

variables
K
2

= (t, x
1
, . . . , x
2

) R
2

+1
[
x
i
0, i = 1, . . . , 2

, t (x
1
x
2
. . . x
2

)
1/2

is CQr. Indeed, let us look at the following tower of inequalities:

layer 1:
x
1,i


x
0,2i1
x
0,2i
, x
1,i
, x
0,2i1
, x
0,2i
0, i = 1, . . . , 2
1
layer 2:
x
2,i


x
1,2i1
x
1,2i
, x
2,i
, x
1,2i1
, x
1,2i
0, i = 1, . . . , 2
2
. . . . . . . . . . . . . . . ..
layer :
x
,1


x
1,1
x
1,2
, x
,1
, x
1,1
, x
1,2
0
t x
l,1
_
x
0i
= x
i
, i = 1, . . . , 2

_
(1)
The inequalities of layer j say that every of the variables x
j,...
is nonnegative and is the
geometric mean of the corresponding pair of its parents from the preceding layer.
Optimization Group 34
More examples of CQr functions/sets (6)
K
2

= (t, x
1
, . . . , x
2
) R
2

+1
[
x
i
0, i = 1, . . . , 2

, t (x
1
x
2
. . . x
2
)
1/2

x
1,i


x
0,2i1
x
0,2i
, x
1,i
, x
0,2i1
, x
0,2i
0, i = 1, . . . , 2
1
x
2,i


x
1,2i1
x
1,2i
, x
2,i
, x
1,2i1
, x
1,2i
0, i = 1, . . . , 2
2
. . . . . . . . . . . . . . . ..
x
,1


x
1,1
x
1,2
, x
,1
, x
1,1
, x
1,2
0
t x
l,1
_
x
0i
= x
i
, i = 1, . . . , 2

(1)
Altogether, inequalities (1) say that all variables x
ij
are nonnegative and that t is the geometric mean of
the 2

variables of the zero layer.

Thus, the projection of the solution set S of (1) onto the space of variables t, x
1
, x
2
, . . . , x
2
is exactly the set
K
2

.
S is the intersection of sets given by linear inequalities and the geometric mean inequalities

_
, , , 0;
all these sets, as we know, are CQr, and therefore so is their intersection S.
Thus, K
2

is a projection of the CQr set S, so that K

2

itself is CQr.
Optimization Group 35
More examples of CQr functions/sets (7)
Question. Whether the convex function
f(x) = x
7/3
+
= [max(x, 0)]
7/3
is CQr?
As we know, the following set is CQr.
K
16
= (, x
1
, . . . , x
16
) RR
16
+
[ (x
1
. . . x
16
)
1/16

Consequently, the set

L = (t, ) R
2
+
[
_
. . .
. .
9
t . . . t
. .
3
1 . . . 1
. .
4
_
1/16

=
_
(t, ) R
2
+
[ t
3/16

7/16
_
is CQr (as inverse image of the CQr set K
16
under ane mapping).
Consequently, the set
L

=
_
(t, x, ) [ t, 0, t
7/3
_
is CQr (as the inverse image of CQr set under ane mapping)
Consequently, the set
M =
_
(t, x, ) [ t, 0, x , t
7/3
_
is CQr (as the intersection of the CQr set L

and a half-space)
Optimization Group 36
More examples of CQr functions/sets (8)
We found that the set
M =
_
(t, x, ) [ t, 0, x , t
7/3
_
is CQr.
Consequently, the set
Epix
7/3
+
=
_
(t, x) [ t x
7/3
+
_
is CQr (as the projection of the CQr set M onto the (t, x)-plane).
11. Convex increasing power function f(x) = x
p/q
+
of rational degree p q is CQr.
12. Convex even power function f(x) = [x[
p/q
of rational degree p q is CQr.
Indeed,
[x[
p/q
= max[x
p/q
+
, (x)
p/q
+
]
is the maximum of two CQr functions and is therefore CQr.
Optimization Group 37
More examples of CQr functions/sets (9)
13. Decreasing power function
f(x) =
_
x
p/q
, x > 0
+, x 0
of rational degree (p/q) < 0 is CQr.
Indeed, let be such that 2

p +q. The set

K
2

= (, x
1
, . . . , x
2

) R
2

+1
[
x
i
0, i = 1, . . . , 2

, (x
1
x
2
. . . x
2

)
1/2

is CQr; consequently, the set

L = (t, x) R
2
+
[
1
_
_
_x . . . x
. .
p
t . . . t
. .
q
1 . . . 1
. .
2

pq
_
_
_
1/2

=
_
(t, x) R
2
+
[ t x
p/q
_
= Epix
p/q

is CQr (as the inverse image of the CQr set K under ane mapping).
Optimization Group 38
More applications: Tschebyshev approximation in relative scale
In a discrete approximation problem
Find x such that Ax is as close as possible to a given b
with positive b it is natural to measure the closeness of Ax to b in the relative scale
as the smallest such that
1
1 +
b
i
(Ax)
i
(1 +)b
i
.
The associated Tschebyshev-type problem is
min [
b
i
1 +
(Ax)
i
(1 +)b
i
, i = 1, . . . , M (R)
This is the conic quadratic problem
min [
_

_
linear constraints
..
(Ax)
i
(1 +)b
i
, i = 1, . . . , M

_
_
2

b
i
1 + (Ax)
i
_
_

2
1 + +(Ax)
i
. .
b
i
(1+)(Ax)
i
i = 1, . . . , M
Optimization Group 39