bv_cvxbook_extra_exercises

we determine the policy ie suitable values for x0

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Unformatted text preview: e consider a (possibly nonconvex) QCQP, with nonnegative variable x ∈ Rn , minimize f0 (x) subject to fi (x) ≤ 0, i = 1, . . . , m x 0, T where fi (x) = (1/2)xT Pi x + qi x + ri , with Pi ∈ Sn , qi ∈ Rn , and ri ∈ R, for i = 0, . . . , m. We do not assume that Pi 0, so this need not be a convex problem. Suppose that qi 0, and Pi have nonpositive off-diagonal entries, i.e., they satisfy (Pi )jk ≤ 0, j = k, j, k = 1, . . . , n, for i = 0, . . . , m. (A matrix with nonpositive off-diagonal entries is called a Z -matrix.) Explain how to reformulate this problem as a convex problem. Hint. Change variables using yj = φ(xj ), for some suitable function φ. 3.27 Affine policy. We consider a family of LPs, parametrized by the random variable u, which is uniformly distributed on U = [−1, 1]p , minimize cT x subject to Ax b( u ) , where x ∈ Rn , A ∈ Rm×n , and b(u) = b0 + Bu ∈ Rm is an affine function of u. You can think of ui as representing a deviation of the ith parameter from its nominal value. The parameters might represent (deviations in) levels of resources available, or other varying limits. The proble...
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This note was uploaded on 09/10/2013 for the course C 231 taught by Professor F.borrelli during the Fall '13 term at Berkeley.

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