EE227BT L.

El Ghaoui

9/3/2013

Homework Assignment #1
Due date: 9/17/2013, in class. Make sure to make a copy of your homework, as you will be asked to grade it (guidelines will be given later). The total number of points is 30.

1. (6 points ) Let A, B be two of symmetric positive semidenite n n matrices. Prove the following, or provide a counter-example. (a) 2A + 3B is positive semi-denite. (b) Tr AB 0. (c) Tr AB = 0 if and only if AB = 0. (d) The matrix C with elements given by Cij = Aij Bij , 1 i, j n, is positive semi-denite. (e) If A B is positive semi-denite, then max (A) max (B ), where max denotes the largest eigenvalue. (f) If A B is positive semi-denite, then for every k = 1, . . . , n, k (A) k (B ), where k denotes the k -th largest eigenvalue. Hint: you can use without proof the following variational (that is, optimization-based) characterization of the k -th largest eigenvalue of a symmetric matrix: k (A) = min
V xV, x

max
2 =1

xT Ax.

where the minimum is taken with respect to all subpsaces of dimension n k + 1.

n denotes the set of positive-denite n n matrices. Show 2. (2 points ) Recall that S++ n n , dened by that the function f : R Rnn R, with domain Rn S++

f (y, X ) = y T X 1 y,
n is convex. Hint: For y Rn and X S++ , compute

1 max y T x xT Xx. x 2 3. (5 points ) Consider the function f : R R, with values

n

f (x) =
i=1

1j m

max

1 Aij x2 + Bij x + Cij , 2

where A, B, C are given n m matrices. 1

(a) Determine conditions on A, B, C that ensure that f is convex. Assume that these conditions are satised. (b) Find a sub-gradient of f at a given point x. (c) Formulate the problem min f (x) : xl x xu
x

with xl xu given, as a conic optimization problem. How many variables and constraints does the problem have? (d) Write a CVX code that solves the problem, given the input data. 4. (3 points ) For given n-vectors a1 , . . . , am , we consider the problem
m

p = min
x i=1

|aT i x| 1

(a) Is the problem convex? If so, can you formulate it as an ordinary least-squares problem? An LP? A QP? A QCQP? An SOCP? None of the above? Justify your answers precisely. (b) Show that the optimal value p depends only on the matrix K = AT A, where A = [a1 , . . . , am ] is the n m matrix of data points (that is, if two dierent T matrices A1 , A2 satisfy AT 1 A1 = A2 A2 , then the corresponding optimal values are the same).
m 5. (6 points ) Let X Rn be a matrix with non-negative entries, and p r 1. We + consider the problem

p,r (X ) = max Xv
u

1.

(a) Show that the function fX : Rm + R, with values

n m 1/p Xij uj i=1 j =1 r

fX (u) =

is concave when p r. Hint: as ingredients, use the Hessian condition and the Schur complement lemma. (b) Use the previous result to formulate a convex problem that has p,r (X )r as optimal value. 6. (4 points ) Consider the linear programming problem p := min cT x : Ax b,
x

where c Rn , A Rmn , b Rm . Prove the following statements, or provide a counter-example. 2

(a) The objective function p is a concave function of c. (b) The objective function p is a convex function of b (you may assume that the problem is feasible). (c) The objective function p is a concave function of A. 7. (4 points) Using linear algebra tools, nd a closed-form solution to the following optimization problems. Throughout, x Rn is the variable, and a, b, c are vectors, A is a matrix of appropriate sizes. (a) p = minx cT x subject to aT x = b. (b) p = minx cT x subject to aT x b. (c) p = minx cT x subject to |aT x| b. (d) p = minx cT x subject to Ax = b.