数学代写|ECE6270 Convex optimization

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ECE6270 Convex optimization课程简介

This is a graduate-level course on optimization. The course covers mathematical programming and combinatorial optimization from the perspective of convex optimization, which is a central tool for solving large-scale problems. In recent years convex optimization has had a profound impact on statistical machine learning, data analysis, mathematical finance, signal processing, control, theoretical computer science, and many other areas. The first part will be dedicated to the theory of convex optimization and its direct applications. The second part will focus on advanced techniques in combinatorial optimization using machinery developed in the first part.

PREREQUISITES 

Instructor: Yaron Singer (OH: Wednesdays 4-5pm, MD239)
Teaching fellows:

  • Thibaut Horel (OH: Tuesdays 4:30-5:30pm, MD’s 2nd floor lounge)
  • Rajko Radovanovic (OH: Mondays 5:30-6:30pm, MD’s 2nd floor lounge)
    Time: Monday \& Wednesday, 2:30pm-4:00pm
    Room: MD119
    Sections: Wednesdays 5:30-7:00pm in MD221

ECE6270 Convex optimization HELP(EXAM HELP, ONLINE TUTOR)

问题 1.

4.51 Monotone transformation of objective in vector optimization. Consider the vector optimization problem (4.56). Suppose we form a new vector optimization problem by replacing the objective $f_0$ with $\phi \circ f_0$, where $\phi: \mathbf{R}^q \rightarrow \mathbf{R}^q$ satisfies
$$
u \preceq K v, u \neq v \Longrightarrow \phi(u) \preceq_K \phi(v), \phi(u) \neq \phi(v) \text {. }
$$
Show that a point $x$ is Pareto optimal (or optimal) for one problem if and only if it is Pareto optimal (optimal) for the other, so the two problems are equivalent. In particular, composing each objective in a multicriterion problem with an increasing function does not affect the Pareto optimal points.

问题 2.

4.52 Pareto optimal points and the boundary of the set of achievable values. Consider a vector optimization problem with cone $K$. Let $\mathcal{P}$ denote the set of Pareto optimal values, and let $\mathcal{O}$ denote the set of achievable objective values. Show that $\mathcal{P} \subseteq \mathcal{O} \cap \mathbf{b d} \mathcal{O}$, i.e., every Pareto optimal value is an achievable objective value that lies in the boundary of the set of achievable objective values.

问题 3.

4.53 Suppose the vector optimization problem (4.56) is convex. Show that the set
$$
\mathcal{A}=\mathcal{O}+K=\left{t \in \mathbf{R}^q \mid f_0(x) \preceq_K t \text { for some feasible } x\right},
$$
is convex. Also show that the minimal elements of $\mathcal{A}$ are the same as the minimal points of $\mathcal{O}$.

问题 4.

4.54 Scalarization and optimal points. Suppose a (not necessarily convex) vector optimization problem has an optimal point $x^$. Show that $x^$ is a solution of the associated scalarized problem for any choice of $\lambda \succ K * 0$. Also show the converse: If a point $x$ is a solution of the scalarized problem for any choice of $\lambda \succ \kappa * 0$, then it is an optimal point for the (not necessarily convex) vector optimization problem.

Textbooks


• An Introduction to Stochastic Modeling, Fourth Edition by Pinsky and Karlin (freely
available through the university library here)
• Essentials of Stochastic Processes, Third Edition by Durrett (freely available through
the university library here)
To reiterate, the textbooks are freely available through the university library. Note that
you must be connected to the university Wi-Fi or VPN to access the ebooks from the library
links. Furthermore, the library links take some time to populate, so do not be alarmed if
the webpage looks bare for a few seconds.

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数学代写|ECE6270 Convex optimization

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