Questions tagged [convexity]

For questions related to convex functions and convex sets, especially as they relate to optimization problems.

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Convex not strictly convex!

Update: Linear programming problems (LP) have a convex space, precisely vector space, such as a convex feasible region as pointed out by @prubin. Also, they may have either unique or multiple ...
  • 6,206
2 votes
0 answers
45 views

FOC point vs Stationary point in local optimization

In this SIAM Review paper the authors are giving the following necessary condition for a point being a local maximum of a convex function: Let $F: \mathbb{R}^n \mapsto \mathbb{R}$ be convex. If $x$ ...
2 votes
0 answers
86 views

How to figure out integer variables in the relaxation set?

Suppose, there is mixed-integer programming as follows: $(1)$ $$\begin{aligned} \min&\quad c^{\top} x\\ \text{s.t.}& \quad A x \geq b \\ &\quad B x \geq d \\ &\quad x \geq 0 \\ &...
  • 6,206
4 votes
1 answer
73 views

How to know if a combinatorial optimization problem is linear or not?

I want to know if a combinatorial problem like the knapsack problem is linear or not. And how do we know if a given problem is convex or not?
3 votes
2 answers
254 views

How to make following constraint a convex one?

I would like to write a constraint as follows, where $x,y>0$ are optimization variables, and $a,b,c,d,A$ are positive constants. How to make it a convex constraint? \begin{equation} \frac{{ax}}{{\...
2 votes
3 answers
135 views

Convex optimization on the unit hypercube with gradients and a bounded minimum

I'd like to find the minimum of a smooth, continuous function inside the unit hypercube (the dimensionality of which could go into the hundreds or even thousands). The function is convex (Hessian $\...
  • 123
1 vote
1 answer
222 views

How to convexify log(convex) function?

I have the following optimization problem: \begin{align}\max_x&\quad\log_2(1+|a+bx|^2+cx^2)\\\text{s.t.}&\quad0\le x\le1\\&\quad(1-x^2)\ge\text{constant}\end{align} where $a$ and $b$ are ...
7 votes
2 answers
137 views

Is $\min \ x^3 \ \mathrm{s.t.}\ x \geq 0$ a convex problem?

The problem $$\min \ x^3 \ \mathrm{s.t.} \ x \geq 0$$ is sometimes said to be a convex optimization problem. $f(x) = x^3$ is not a convex function. However, in the domain of $x\geq 0$ it is convex. So ...
3 votes
0 answers
91 views

Proving convexity for a function with summation and integer variable

I would like to show that the function $f$ is convex in $\rho\in [0,1)$ under $s\in \mathbb{Z}^+$. When I use Sympy packages of Python to find $\displaystyle\frac{\partial^2 f(\rho)}{d\rho^2}$. I get ...
  • 1,229
1 vote
0 answers
71 views

Decomposition of Polyhedra

There is no doubt that clear examples consolidate the understanding of concepts being learnt. I am new to finding the structure and decomposition of a polyhedra. Suppose that we have the system $$ \...
  • 111
1 vote
1 answer
76 views

Find a dual problem with one dual decision variable to the problem of finding the orthogonal projection of a given vector

Given the set $T_{\alpha}=\{x\in\mathbb{R}^n:\sum x_i=1,0\leq x_i\leq \alpha\}$ For which $\alpha$ the set is non-empty? Find a dual problem with one dual decision variable to the problem of finding ...
  • 395
4 votes
1 answer
101 views

Optimization of strongly convex functions with approximate evaluations of gradient and Hessian

Suppose I want to find the minimum of a differentiable, strongly convex function $f:\mathbb{R}^n\to\mathbb{R}$ with constant $\mu>0$. That is, for all $x,y\in\mathbb{R}^n$, I have that: $$f(y) \geq ...
3 votes
1 answer
86 views

How to evaluate the convexity of an optimal control problem?

Can we consider an optimal control problem, a convex optimization problem like static optimization problems? If it is possible, under what conditions, will this problem be a convex problem? For ...
  • 2,083
1 vote
0 answers
54 views

$\nabla_y\nabla_vf(x^*)\geq0$ for any concave $f$ if and only if $y=-v$

$f:\mathbb R^3\to\mathbb R$ is an arbitrary concave function. $H$ is a plane. $v$ is a given vector on $H$. $x^*=\max_{x\in H} f(x)$ Prove that $\nabla_y\nabla_vf(x^*)\geq 0$ if and only if $y=-v$. I ...
  • 179
2 votes
1 answer
75 views

Quasi-convex function must be "partially monotonic"?

$f(x)$ is quasi-convex, $$x^*\in\arg\min_{x\in C}f(x).$$ How to prove that, for any $a\in C$, $f(x) $ is weakly monotonic in the direction of $(x^*-a)$? Is this simple result a part of an ancient ...
  • 179
6 votes
1 answer
162 views

Convexity of the variance of a mixture distribution

$X$ is a random variable that is sampled from the mixture of uniform distributions. In other words: $$X \sim \sum_{i=1}^N w_i \cdot \mathbb{U}(x_i, x_{i+1}),$$ where $\mathbb{U}(x_i, x_{i+1})$ denotes ...
4 votes
1 answer
180 views

Can we get closed form solution for such a problem?

\begin{align}\min&\quad\sum_{i=1}^N\frac{A_i}{x_i}\\\text{s.t.}&\quad\sum x_i \le X\\&\quad x_i \ge 0\end{align} wherein $A_i>0, (i\in\{1,\dots,N\})$ is constant, $x_i, (i\in\{1,\dots,N\...
1 vote
0 answers
87 views

Question on quadratically constrained quadratic program

If the constrained optimization problem is a quadratically constrained quadratic program of the form \begin{align}\min&\quad x^HQx-a(x+x^H)+b|z^Hx|^2\\\text{s.t.}&\quad\|x\|^2\le1\end{align} ...
  • 19
5 votes
3 answers
937 views

Linear programming convexity

Is it possible for a linear programming model to be non-convex ? If it is, please, provide a simple 2 variables example and explain why it is non-convex. EDIT 1: I have been wondering, maybe the ...
1 vote
1 answer
123 views

Simple nonlinear programming using convexity analysis and KKT

I want to solve the following two-variate nonlinear programming using KKT conditions: $$ \begin{align} \begin{split} \max \quad & 15 \sqrt{x_{1}} + 16 \sqrt{x_{2}} \\ \text{s.t.} \quad &...
  • 381
3 votes
1 answer
198 views

Convexity Analysis

For the following function, I am testing the convexity in $\lambda$. All parameters are in $\mathbb{R}^+$. $$\frac{\left(- \lambda \left(b + \frac{p}{\beta}\right) + 1\right) \left(\left(1 + \frac{p}{...
  • 1,229
8 votes
2 answers
123 views

how to penalize a shortfall of a sum of absolute values

I have a model where there is a constraint on the sum of absolute values, and I would like to add a penalty on the shortfall from the constraint. More specifically: \begin{align*} \text{maximize}\ &...
  • 542
5 votes
1 answer
108 views

Concavity: Definition similar to sub-modularity

We know that for $b \geq a$, and some $s \geq 0$, a concave function $f$ satisfies: $f(a+s) - f(a) \geq f(b+s) - f(b)$. This is not a frequent definition of concavity, but can be found, e.g., here....
9 votes
1 answer
428 views

Compute the distance from a point inside a convex set to the boundary of the set

Problem Let $\mathcal C = \{ X \in \mathbb{R}^n \mid g(X) \leq 0\}$ where $g$ is convex, and let $X_c \in \mathcal{C}$. Is there any algorithm to compute the distance from $X_c$ to the boundary of $\...
  • 487
6 votes
2 answers
456 views

Existence of Optimal Solution

Assume we are solving $\min\{f(x) \ | \ x \in S \}$. If $f: \mathbb{R}^n \mapsto \mathbb{R}$ is a proper closed convex function, and $S$ is a non-empty closed convex set, does this imply that the ...
3 votes
2 answers
260 views

Convexity of a function

I would like to show that this function $$2x^2 + 8y^2$$ is convex or concave by using the definition $$f(θx+(1−θ)y) \le θf(x)+(1−θ)f(y)$$ From my understanding, using the Hessian matrix, I believe ...
  • 135
5 votes
0 answers
911 views

Convexity of the projection of a convex set

Question: A set $S \subset \mathbb{R}^m \times \mathbb{R}^n$ is convex. Using the fact that affine maps preserves convexity prove that $S(y) = \{x \in \mathbb{R}^m\mid (x,y)\in S \}$ and $\hat{S} = ...
8 votes
2 answers
227 views

Convex Optimization: Separation of Cones

I am trying to solve Exercise 2.39 at Boyd and Vandenberghe's Convex Optimization book. In one source, the answer is given as: 2.39 Separation of cones. Let $K$ and $\tilde K$ be two convex cones ...
4 votes
1 answer
251 views

How to express this constraint?

I have the constraint \begin{align}\max&\quad\gamma\\\text{s.t.}&\quad a\ge\gamma b\\&\quad\gamma\le 1\end{align} where $\gamma$ is an optimization variable and $a$ is a function of some ...
9 votes
1 answer
93 views

Problem solvable $\Rightarrow$ subproblems solvable if feasible region closed, convex?

Let $c \in \mathbb{R}^n$, $M \subseteq \mathbb{R}^n$ such that the problem \begin{align}P:\quad\min_{x \in \mathbb{R}^n}&\quad c^\intercal x\\\textrm{s.t.}&\quad x \in M\end{align} is solvable....
  • 193
8 votes
1 answer
256 views

Convexity/Concavity of Average Number of Jobs in M/M/1 Queue?

I am working on a problem involving the average number of jobs $L$ in an M/M/1 queue with arrival rate $\lambda$, service rate $\mu$. For traffic intensity $\rho = \frac{\lambda}{\mu}$, $$ L = \frac{\...
10 votes
1 answer
241 views

Solving convex programs defined by separation oracles?

General question: What software can solve convex programs defined by a separation oracle? The objective function is concave, and the feasible set is a polytope. By a separation oracle I mean that I ...
  • 203
13 votes
2 answers
1k views

Is This Constraint Convex?

I have a constraint that I believe to be convex and not affine which I think means that I can implement a relaxation. I will first define the full constraint, and then build up my (informal) reasoning ...
9 votes
2 answers
396 views

Convexity of a QP

In quadratic programming (QP), you encounter an objective of the following form: $$x^TQx + c^Tx$$ and often it's desirable to know if the QP is convex. One method to check for convexity is by ...
9 votes
3 answers
653 views

Examples of problems with non-convex constraint functions but convex feasible region

I'm looking for examples of (classes of) problems with a non-convex, non-linear formulation, but convex feasible region. That is, a problem of the sort: $$ \begin{array}{lll} \text{minimize} & ...
11 votes
2 answers
503 views

Dedicated solver for convex problems

Are you aware of a fast solver (open source or commercial) for convex NLPs that is faster than IPOPT? I'm interested in problems in the 50K+ variable range, both dense and sparse. Ideally, it would be ...
18 votes
3 answers
4k views

Can an integer optimization problem be convex?

I'm trying to wrap my head around an apparent paradox that I've come across while trying to learn more about optimization algorithms: On one hand several sources state that convex optimization is ...
  • 2,039
15 votes
1 answer
388 views

Convexity of Variance Minimization

$X$ is a discrete random variable taking value $x_n$ with probability $1/N$ for $n=1, \ldots,N$. I would like to set the $x_n$ values in an optimization problem. My objective is to minimize the ...
17 votes
5 answers
4k views

Linear Programming with additional "if-then"/"Default to zero" constraints?

What approaches can I use for a Linear Programming problem with the additional constraint that if a decision variable falls below a certain threshold, then it should just be forced to 0. I'm ...
  • 2,039
12 votes
2 answers
517 views

Convex vs Strictly Quasiconvex Functions in Optimization

I have read/heard quite a few time that in the old days, it was considered that linear programs constitute the class of optimization problems that can be solved efficiently in practice (as a rule of ...
13 votes
1 answer
500 views

How to formulate a problem to prove/disprove convexity?

Given a general non-linear problem: \begin{align}P:\qquad&\min_{x\in X} f(x)\\\text{s.t.}\qquad&g(x)\leq 0\end{align} where $f$ is a non-linear function, $g$ is a vector of non-linear ...
9 votes
2 answers
256 views

How to determine the convexity of my problem and categorize it?

My problem is: \begin{align}\min\limits_{x_{ij}}\qquad&{\sum_{i\in N}\sum_{j\in M}\frac{x_{ij}}{C_j-\sum\limits_{i\in N} x_{ij}a_i}}\\\text{s.t.}\qquad&0<C_j-\sum_{i\in N} x_{ij}a_i\\\qquad&...
  • 101
12 votes
1 answer
241 views

Recovering primal optimal solutions from dual sub gradient ascent using ergodic primal sequences

My question concerns recovering a primal optimal solution while performing dual sub gradient ascent. Denoting by $y_i$ the dual multiplier in the $i^{\text{th}}$ iteration, let \begin{equation} x_i = ...
  • 1,311
7 votes
2 answers
419 views

How can I linearize or convexify this binary quadratic optimization problem?

I have an optimization problem as below. I am having a hard time with the last constraint. $\max \eta$ subject to ${\bf U}(:,m)^T{\bf A}{\bf U}(:,m)=0,m=1,2,\cdots,M$ here $\bf{A}$ is a Binary ...
15 votes
2 answers
164 views

Bound on the number of constraints to be generated (lazy constraints)

I am working on a very large optimisation problem. All variables are continuous, the objective is linear and the constraints convex, but I have many such constraints (on the order of $2^n$ — actually, ...
  • 948
7 votes
1 answer
441 views

KKT inequality conditions

Let's say I have an objective function $$f(x_1,x_2, \cdots, x_n)$$ and $N$ constraints $$x_i \ge 0. $$ I am trying to solve it with KKT conditions. Now the objective function becomes $$f(x_1,x_2,...
  • 1,589
12 votes
2 answers
934 views

Convex Maximization with Linear Constraints

I am doing active research in convex maximization w.r.t. linear constraints. There are many cases which can be efficiently approximately solved, e.g., convex quadratic maximization, log-sum-exp ...
20 votes
2 answers
2k views

Reference for "expectation preserves convexity"

It is well known that expectation preserves convexity: If $f(x)$ is convex and $Y$ is a random variable, then $\mathbb E[f(x-Y)]$ is convex. This property arises in, for example, inventory theory. I ...