bv_cvxbook_extra_exercises

The domain of the objective function is rn the

Info iconThis preview shows page 1. Sign up to view the full content.

View Full Document Right Arrow Icon
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: 2 each take values from {−0.1, 0, 0.1}. (There are a total of nine such combinations, including the original problem with δ1 = δ2 = 0.) For each combination of δ1 and δ2 , ⋆ make a prediction p⋆ pred of the optimal value of the perturbed QP, and compare it to pexact , the exact optimal value of the perturbed QP (obtained by solving the perturbed QP). Put your results in the two righthand columns in a table with the form shown below. Check that the inequality p⋆ ≤ p⋆ exact holds. pred δ1 0 0 0 −0.1 −0.1 −0.1 0.1 0.1 0.1 δ2 0 −0.1 0.1 0 −0.1 0.1 0 −0.1 0.1 p⋆ pred p⋆ exact 4.2 A determinant maximization problem. We consider the problem minimize log det X −1 subject to AT XAi Bi , i i = 1, . . . , m, with variable X ∈ Sn , and problem data Ai ∈ Rn×ki , Bi ∈ Ski , i = 1, . . . , m. The constraint ++ X ≻ 0 is implicit. We can give several interpretations of this problem. Here is one, from statistics. Let z be a random variable in Rn , with covariance matrix X , which is unkno...
View Full Document

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.

Ask a homework question - tutors are online