hw4 - EE364b Prof. S. Boyd EE364b Homework 4 1. Projection...

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Unformatted text preview: EE364b Prof. S. Boyd EE364b Homework 4 1. Projection onto the probability simplex. In this problem you will work out a simple method for finding the Euclidean projection y of x ∈ R n onto the probability simplex P = { z | z followsequal , 1 T z = 1 } . Hints. Consider the problem of minimizing (1 / 2) bardbl y − x bardbl 2 2 subject to y followsequal 0, 1 T y = 1. Form the partial Lagrangian L ( y, ν ) = (1 / 2) bardbl y − x bardbl 2 2 + ν ( 1 T y − 1) , leaving the constraint y followsequal 0 implicit. Show that y = ( x − ν 1 ) + minimizes L ( y, ν ) over y followsequal 0. 2. Minimizing expected maximum violation. We consider the problem of minimizing the expected maximum violation of a set of linear constraints subject to a norm bound on the variable, minimize E max( b − Ax ) + subject to bardbl x bardbl ∞ ≤ 1 , where the data A ∈ R m × n and b ∈ R m are random. We consider a specific problem instance with m = 3 and n = 3. The entries of A and b vary uniformly (and independently) ± . 1 around their expected values, E A = 1 1 1 / 2 1 1 1 / 2 , E b = 9 / 10 1 9 / 10 . (a) Solution via stochastic subgradient . Use a stochastic subgradient method with step size 1 /k to compute a solution x stoch , starting from x = 0, with M = 1 subgradient sample per iteration. Run the algorithm for 5000 iterations. Estimate the objective value obtained by x stoch using Monte Carlo, with M = 1000 samples. Plot the distribution of max( b − Ax stoch ) from these samples. (In this plot, points to the left of 0 correspond to no violation of the inequalities.) (b) Maximum margin heuristic...
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This note was uploaded on 04/09/2010 for the course EE 360B taught by Professor Stephenboyd during the Fall '09 term at Stanford.

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hw4 - EE364b Prof. S. Boyd EE364b Homework 4 1. Projection...

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