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January 7, 2014
1.
Tr(Ap ).
i (I + cA).
i (A cI).
i (A1 ).
3. The notation A 0 denotes the fact that A is positive definite. Prove the following
results for A 0:
(a) A1 0
(b) [A]ii 0 for all i, where [A]ii denotes the i-th diagonal entry of A.
(c) For any B, rank(BABT ) = rank(B).
4. Prove the following for the operator norm (with a = b, and all vector norms are
k.ka ).
(a) kIka,a = 1
kAxk
.
kxk
i |[A]i,j |
EE609
Assignment 2
January 8, 2015
1 Assignment Problems
1. Show that the set {x Rn |kx x1 k2 kx x2 k2 } is actually a half space. and express it
in canonical form.
2. Show that the set {x Rn |kxk1 2} is a polyhedra and express it as an intersection of half
spaces (and hyperplanes, if required).
3. Show that the set {x R2++ |x1 x2 1} is convex and express it as an intersection of infinite
number of half-spaces.
4. Is the following set convex: {x Rn |x 0, xT y 1 for all y with kyk2 = 1}? Show that
the set {x Rn |xT y 1 for all y with y C} is always convex, even if C is not convex.
5. Consider the two-dimensional positive semidefinite cone S2+ defined as
{X = [ xy yz ] |x, y, z R, X 0}
(1)
2 Practice Problems
6. Show that a set is affine if and only if its intersection with any line is affine.
7. What is the minimum distance between two parallel halfspaces {x Rn |aT x b1 } and
{x Rn |aT x b2 } (Hint: it depends on where the origin is)?
, b, and b, is the following true?
8. Under what conditions on a, a
{x Rn |aT x b} {x Rn |
aT x b}
(2)
9. For m < n, let b Rm and A Rmn be full row rank. Show that any affine set {x
Rn |Ax = b} can be expressed in the form {Cu + v|u Rm }. For example, the set
{x R2 |x1 + x2 = 1} can be expressed as {[u 1 u]T |u R}
10. What is the affine hull of the set {x R3 |x21 + x22 = 1, x3 = 1}.
11. Is the following set affine: {x Rn |kx x1 k1 kx x2 k1 }?
12. Given two vectors y, z Rn , consider the set S{a,b} = {x Rn |x = ay + bz}. Show that
the following set is a polyhedra, and find its boundaries.
[
[
S{a,b}
(3)
a[1,1] b[1,1]
13. Show that the set {x Rn |kxk 1} is a polyhedra and express it as an intersection of half
spaces (and hyperplanes, if required).
EE609
Assignment 2, Page 2 of 2
January 8, 2015
14. Show that the set of all doubly stochastic matrices is convex polyhedral in Rnn . A doubly
stochastic matrix is a square matrix with nonnegative entries with the property that the sum of
entries in every row and column is exactly 1.
15. What kind of set is C = {x R2 |p(0) = 1, |p(t)| 1, for 1 t 2} where p(t) =
x1 + x2 t?
16. Given , consider the set S = {x Rn |kx ak2 kx bk2 } for a 6= b. Show that S is
a halfspace for = 1, convex for < 1. Give an example to prove that S can be non-convex
for > 1.
17. Find the separating hyperplane between the two sets C = {x R2 |x2 0} and D = {x
R2+ |x1 x2 1}.
18. Express the following norm balls as intersection half-spaces (a) {x Rn |kxk2 1}, (b)
{x Rn |kxk1 1}, and (c) {x Rn |kxk 1}.
19. Which of the following sets are convex (provide proof or counterexample)
(a) {x R2 |x21 + 2ix1 x2 + i2 x22 1 i = 1, 2, . . . , 10}
(b) {x R2 |x21 + ix1 x2 + i2 x22 1 i = 1, 2, . . . , 10}
(c) {x Rn | mini xi = 1}
(d)
20. Show that the perspective function transformation, P(C) := {x/t|[xT t]T C} preserves
convexity.
21. Show that the set {x Rn |(Ax + b)T (Ax + b) (cT x + d)2 , cT x + d > 0} is a convex
cone.
EE609
Assignment 3
1 Assignment Problems
1. Starting from Jensens inequality, show that x y 1 x + (1 )y.
2. Consider a differentiable function f : R R with R+ dom f , and its running average,
defined as
Z
1 x
f (t)dt
(1)
F (x) =
x 0
with dom F = R++ . Show that F (x) is convex if f (x) is convex.
P
3. Show that the harmonic mean f (x) = ( ni=1 1/xi )1 is concave.
4. Define x[j] as the j-th largest component of x; e.g., x[1] = maxi {xi }, and x[n] =Pmini {xi }.
Given any non-negative numbers 1 2 . . . r 0, prove that f (x) = ri=1 i x[i]
is convex.
n
5. Prove
Pn the reverse Jensens inequality for a convex f with dom f = R , i > 0 and 1
i=2 i = 1
(2)
2 Practice Problems
6. Consider an increasing and convex function f : R R with dom f = {a, b}. Let the function
g : R R denote its inverse, i.e., g(f (x)) = x for a x b and dom g = {f (a), f (b)}.
Show that g is a concave function.
7. Show that the running average of the non-differentiable function f (x) is also convex. Since f
is not differentiable, you must use the zeroth order condition to prove the convexity of F .
8. Give an example of a function f (x) whose epigraph is (a) half-space, (b) norm cone, and (c)
polyhedron.
9. Give an example of a concave positive function (f (x) > 0) with domain Rn .
10. Show that the function f (x) is convex if and only if the function f (a + tb) is convex for all
a + tb dom f and t.
P
11. Show that the harmonic function: f (x) = ( ni=1 xai )1/a for a < 1, and a 6= 0 is concave.
P
12. Show that the entropy function H(x) = ni=1 xi log(xi ) with dom H = {x Rn++ |1T x =
1} is concave.
13. Determine if the following functions with dom f = R2++ are convex or concave
(a) f (x1 , x2 ) = x1 x2
(b) f (x1 , x2 ) = x1 /x2
(c) f (x1 , x2 ) = x21 /x2
EE609
Assignment 3, Page 2 of 2
(e) f (x1 , x2 = x1 x2
P
14. Show that the harmonic mean f (x) = ( ni=1 1/xi )1 is concave.
15. Show that the function f (x, t) = xT x/t on dom f = Rn R++ is convex in (x, t).
16. Show that the function f (x, s, t) = log(st xT x) is convex on dom f = {(x, s, t)
Rn+2 |st > xT x, s, t > 0}.
17. Show that the function f (x, t) = kxk33 /t2 is convex on {(x, t)|t > 0}.
18. Show that the function f (x) =
kAx+bk
cT x+d
kAx bk22
1 kxk22
(3)
n
Y
xk k
(4)
i=1
Pn
i=1 k
kxk22 /2
kxk22 1/2
= 1.
kxk2 1
kxk2 > 1
(5)
EE609
Assignment 4
No submission required.
1 Assignment Problems
1. What is the solution of the following linear program
min cT x
(1)
s. t. 0 xi 1
i = 1, . . . , n.
(2)
(3)
s. t. Ax b
(4)
(5)
s. t. Ax = b
(6)
xi 0
i = 1, . . . , n
(7)
(8)
s. t. kxk2 1
(9)
(10)
where w(n) is additive white Gaussian noise and E |w(n)|2 = n2 . Answer the questions
that follow
(a) Formulate the LS estimation problem for parameters d , c , s .
(b) Derive the LS estimator of d , c , s with a suitable approximation for large N .
EE609
Assignment 4, Page 2 of 3
2 Practice Problems
6. Consider the following linear program
min cT x
(11)
s. t. Ax = b
(12)
(13)
s. t. a x b
(14)
where a 6= 0.
(a) When is the problem infeasible?
(b) When is the problem unbounded below?
(c) When does the problem have a finite solution, and what is it?
8. Given that ci 0 for i = 1, 2, . . . , n, solve the following problem
min cT x
(15)
s. t. i xi bi
i = 1, . . . , n
(16)
(17)
(18)
i=1
0 xi 1
i = 1, . . . , n
(19)
(20)
(21)
i=1
xi 0
i = 1, . . . , n
(22)
(23)
S2 = {u1 , u2 , . . . , uq }
(24)
EE609
Assignment 4, Page 3 of 3
Formulate the linear optimization problem to determine the separating hyperplane, i.e., find
a Rn and b R such that
aT v i b
i = 1, . . . , p
(25)
aT u i b
i = 1, . . . , q
(26)
(27)
s. t. x Ax 1
(28)
Let i for i = 1, 2, . . . n be the real eigenvalues of a symmetric matrix A. What is the solution
of this problem for the following cases.
(a) If i > 0 for i = 1, 2, . . . n.
(b) If 1 < 0, while i > 0 for i = 2, . . . n.
(c) If 1 = 0, while i > 0 for i = 2, . . . n.
13. Solve the following optimization problem for A 0,
min cT x
(29)
T
s. t. (x xc ) A(x xc ) 1
(30)
kxk22
(31)
(32)
Hint: Given that the eigenvalue decomposition A = UUT , use the change of variable
y = UT x.