Convex Optimization Note 1

Convex Optimization Note 1

本文是《Convex Optimization》ch.2\3 appendix A的笔记

1. Convex Set

1.1 Affine and convex sets:

1) $C=V+x_0=\lbrace x+x_0|x \in V\rbrace​$ affine set 可以看做subspace在其中偏移一个点。类似于

$$Ax=b ​$$ 的通解是nullspace的加上一个特解。

2) Affine dimension and relative interior 在affine hull的dimension与其上的interior

3) Convex combination 可以推广到infinite情况:

$$x\in C$$ then $$\int p(x) x dx \in C$$

4) Cones $if \space x \in C , then \ \forall \theta >0,\theta x \in C$ –>convex cone

1.2 Some examples

1) Euclidean balls and ellipsoids:

$$\lbrace (x-x_c)^TP^{-1}(x-x_c) \rbrace$$ 与 $$\lbrace x_c+Au | \parallel u \parallel \leq 1 \rbrace$$ $$A=P^{1/2}$$

2) Norm cones $\{ (x,t)|\| x\|<t \} \subset R^{n+1}$

3) Polyhedra –> simplex (the convex hull of $k+1$ affinely independent points is $k$ -dimension simplex)

like unit simplex $(0,e_1,...,e_n)$ and probability simplex $(e_1,...,e_n)$

Polyhedra可以有两种表示方法: Convex hull 或 Inequality

4) Positive semi-definite cone $S^n_{+}$

1.3 Operation that preserve convexity

1) Intersection

Positive semi-definite Cone $S^n_+=\bigcap_{z\ne 0}\{X\in S^n|z^TXz\geq 0\}$

$S = \{x ∈ R^m |\ |p(t)| ≤ 1\ for |t| ≤ π/3\}$ and $p(t)=\sum_{k=1}^mx_k\cos kt$

所有的convex set可以表达为infinite个halfspace的交集

2) Affine function 仿射函数或其逆函数均不改变convexity

Polyhedra

Solution set of linear matrix inequality $A(x)=x_1A_1+...+x_nA_n \preceq B$

Hyperbolic cone