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General form:
minimize
n
cT x + d
x∈R
subject to Gx h
Ax = b
Standard form:
minimize
n
cT x
x∈R
subject to Ax = b
x0
where P 0.
minimize
n
(1/2)xT P0 x + q0T x + r0
x∈R
subject to (1/2)xT Pi x + qiT x + ri ≤ 0 i = 1, . . . , m
Ax = b
where Pi 0 for i = 0 . . . m.
minimize
n
xT Bx
x∈R
subject to xT Ax ≤ 1
minimize
n
fT x
x∈R
subject to kAi x + bi k2 ≤ cTi x + di , i = 1, . . . , m
minimize
n
kAx − bk2 + λkxk1 + εkxk2
x∈R
aT x + b > 0 for x ∈ E1 , . . . EK ,
aT x + b < 0 for x ∈ EK+1 , . . . EK+L
P := {x ∈ Rn : ∀i = 1, . . . , m, kx − p0 k2 ≤ kx − pi k2 }
minimize
n
cT x
x∈R
subject to Ax b
minimize
n
(1/2)xT P x + q T x + r
x∈R
subject to Gx h
where (q, r, G, h) are exactly known while the matrix P is subject to error.
minimize
n
(1/2)xT P x + q T x + r
x∈R
subject to Gx h
where (q, r, G, h) are exactly known while the matrix P is subject to error.
supP ∈E (1/2)xT P x + q T x + r
minimize
n
x∈R
subject to Gx h
supP ∈E (1/2)xT P x + q T x + r
minimize
n
x∈R
subject to Gx h
supP ∈E (1/2)xT P x + q T x + r
minimize
n
x∈R
subject to Gx h
E = {P symmetric | − γI P − P0 γI}
minimize
n
cT x
x∈R
subject to x1 F1 + . . . + xn Fn + G 0
Ax = b
minimize hC, Xi
X
subject to hAi , Xi = bi
X0
minimize
n
cT x + d
x∈R
subject to Gx h
Ax = b
minimize
n
cT x
x∈R
(i) (i)
subject to L(i) (x) := x1 F1 + . . . + xn Fn + G(i) 0, i = 1, . . . , K
Ax = b
Gx 0
minimize
n
xT P x + q T x + r
x∈R
subject to Gx h
Ax = b
minimize
n
fT x
x∈R
subject to kAi x + bi k2 ≤ cTi x + di , i = 1, . . . , m
A(x) := A0 + x1 A1 + + . . . + xn An .
minimize
n
kA0 + x1 A1 + + . . . + xn An k2
x∈R
Quiz. Give closed form expression for the optimal variable x∗ and optimal
value p∗ :
1 T
minimize
n 2
x P x + qT x + r
x∈R
given P 0.
Quiz. Given A 0 and v is fixed, give a closed form expression for the
optimal variable and optimal value:
T
u A B u
minimize
u∈Rn v BT C v
Facts.
• X 0 ⇐⇒ A 0, S(A) 0
• If already know A 0, then X 0 ⇐⇒ S(A) 0
A11 A12
Quiz. Given X = and A11 nonsingular. Prove that
A21 A22
minimize
n
f0 (x)
x∈R
subject to fi (x) ≤ 0, i = 1, . . . , m
hj (x) = 0, j = 1, . . . p
Lagrangian (most of the case we want λ 0):
m p
X X
L(x, λ, µ) = f0 (x) + λi fi (x) + µj hj (x)
i=1 j=1
λ 0 =⇒ g(λ, µ) ≤ p∗
minimize
n
xT x
x∈R
subject to Ax = b
maximize g(λ, µ)
λ∈Rn ,µ∈Rm
subject to λ0
maximize
m
−bT µ
µ∈R
subject to AT µ + c 0
minimize
n
cT x
x∈R
subject to x1 F1 + . . . xn Fn − G 0
The solution to the above problem is the analytic center, used in barrier
methods.