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Unformatted text preview: A and B = B , the left-hand side is χ2 , with n(T − 1) degrees of freedom, and so has mean
n(T − 1) and standard deviation 2n(T − 1). Thus, the constraint above states that the LHS does
not exceed the mean by more than 2 standard deviations.)
(a) Describe a method for ﬁnding A and B , based on convex optimization.
We are looking for a very simple method, that involves solving one convex optimization
problem. (There are many extensions of this basic method, that would improve the simple
method, i.e., yield sparser A and B that are still plausible. We’re not asking you to describe
or implement any of these.)
(b) Carry out your method on the data found in sparse_lds_data.m. Give the values of A and
B that you ﬁnd, and verify that they are plausible.
In the data ﬁle, we give you the true values of A and B , so you can evaluate the performance
of your method. (Needless to say, you are not allowed to use these values when forming A and
ˆ .) Using these true values, give th...
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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 University of California, Berkeley.
- Fall '13
- The Aeneid