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For questions about non-convex optimization problems where the objective or any of the constraints are non-convex.

5 votes

Convex vs Strictly Quasiconvex Functions in Optimization

My claim is that everything that can be formulated as a conic optimization problem using Linear cones Quadratic cones Power cones Exponential cones Semi definite cone (with some qualifications) ca …
ErlingMOSEK's user avatar
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15 votes
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Convexity of Variance Minimization

It holds $$ \begin{array}{rcl} \operatorname V(x) &= &\dfrac1N\left\| x-\dfrac{e^\top x}{N} e \right\|^2 \\ & = & \dfrac1N\left(x^\top x+\dfrac{(e^\top x)^2 e^\top e}{N^2}-2\dfrac{(e^\top x)^2}N\ …
ErlingMOSEK's user avatar
  • 3,216