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Assignment 6
1 Assignment Problems
1. Show that the following two problems are duals of each other.
p = min max(PT u)i
i
s. t. u 0
m
X
ui = 1
(1)
(2)
(3)
i=1
and
d = max min(Pv)i
(4)
s. t. v 0
n
X
vj = 1
(5)
(6)
j=1
(7)
(8)
s. t. Gx h
(9)
Ax = b
(10)
2 Practice Problems
4. Find the dual of the penalty function approximation
min
m
X
(ri )
(11)
i=1
s. t. r = Ax b
where is the deadzone linear penalty function
(
(u) =
0
|u| 1
|u| 1
|u| > 1
(12)
(13)
EE609
Assignment 6, Page 2 of 5
(14)
s. t. xi {1, 1}
(15)
Aij
(16)
i,j
n
X
xi log(xi )
(17)
i=1
s. t. Ax b
n
X
xi = 1
(18)
(19)
i=1
7. In this problem, we will show that strong duality holds for the following non-convex problem
min 2bT x xT x
T
s. t. x x 1
(20)
(21)
(22)
(23)
(37)
Note that this result implies weak duality when f is the Lagrangian.
9. Consider an n n matrix A with rank(A) = n 1 and 1T A = 0. Find the dual of the following
problem and solve it explicitly.
min kAx bkp
Page 2
(38)
EE609
Assignment 6, Page 3 of 5
max b x +
n
X
ui 2
i=1
n
X
vi
(39)
i=1
s. t. Ax + c = u v
(40)
u0
(41)
v0
(42)
(43)
(44)
12. Use the result from Question 2 to find the dual of the following problem
min
N
X
kAi x + bi k2 +
i=1
1
kx x0 k22
2
(45)
m
X
(46)
i=1
m
X
exp(xi 1) + y
(47)
i=1
s. t. Ax b + y1 0
(48)
Use appropriate change of variables and elimination to show that it can equivalently be written as
m
X
eui )
(49)
s. t. Au b 0
(50)
min log(
i=1
if it holds that A1 = 0.
15. Consider the convex optimization problem
x = arg min f0 (x)
(51)
Page 3
EE609
Assignment 6, Page 4 of 5
s. t. fi (x) 0
(52)
where f0 (x) and fi (x) are differentiable and convex. Use KKT conditions to show that
f0 (x )T (x x ) 0
(53)
min
(ri )
(54)
i=1
s. t. r = Ax b
(55)
u2
2|u| 1
|u| 1
|u| > 1
(56)
(57)
E2 = {x Rn |(x x2 )P1
2 (x x2 ) 1}
(58)
where P1 , P2 Sn++ . Show that E1 E2 = if and only if there exists z Rn such that
p
p
T
z
z
+
P
P
1
2
< z (x1 x2 )
2
(59)
(a) Show that the distance between the two ellipsoids is the optimum value of the following problem
min kx yk2
x,y
p 1
s. t.
P1 (x x1 )
1
p 1
P2 (y x2 )
1
(60)
(61)
(62)
min kuk2
(63)
s. t. kvk 1
(64)
kwk 1
p
P1 v = x x 1
p
P2 w = y x 2 u = x y
p
p
max
P1 z
P2 z
+ zT (x1 x2 )
2
s. t. kzk 1
Page 4
(65)
(66)
(67)
(68)
(69)
EE609
Assignment 6, Page 5 of 5
n
X
xk log(xk /yk )
(70)
k=1
s. t. Ax = b
n
X
xk = 1
(71)
(72)
k=1
where the domain of the objective function is Rn++ . Show that its dual can be written as
!
n
X
T
T
yk exp(ak u)
max b u log
u
k=1
Page 5
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