EE563 Convex Optimization - Module 1 · Outline •Quadratic Program (QP) •Quadratically...
Transcript of EE563 Convex Optimization - Module 1 · Outline •Quadratic Program (QP) •Quadratically...
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Quadratic Optimization Problems
Zubair Khalid
Department of Electrical EngineeringSchool of Science and Engineering
Lahore University of Management Sciences
https://www.zubairkhalid.org/ee563_2020.html
Convex Optimization
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Outline
• Quadratic Program (QP)
• Quadratically Constrained Quadratic Program (QCQP)
• Examples
Section 4.4
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Quadratic Program (QP)Section 4.4
Quadratic (Convex)
Affine
Interpretation:
Formulation:
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Quadratically Constrained Quadratic Program (QCQP)
Interpretation:
Formulation:
represents an Ellipsoid for each i
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Examples1. Linear with Quadratic Constraint
T ' ' (A -II)_ c) J
m l fl ; '"' ,. 2. ~ c., I/<.
"'n" , 1' , YW" i 2 t... <::
.s "'~ ( d -:(,.. 7L1A1l~l, Y't -'lz
A f-5++ 'J;:_ -- A L
-'I'L II A - ''2-c_ If 2-
~;. A (} _112 -Jf
-liz_ - 112 -I
YA it\ I~; 2L cIA (} 7(_ -A A c.. - A c.
- --s Ill .hi~- d: t; 'J TJ ~I (.f..,c.I.J~ /fA- ''z c_ It_ I A- '~e-ll~
(3,JJ _..,- ----
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Examples2. Least-Squares:
3. Constrained Least-Squares:
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Examples4. Linear Program with Random Cost
c_ T~ C Cos-i
A~-< b --...
~')1...:::- -i,
c.. - (...9") + -
E [ e-J ~ E- [ (c - c:) ( c - c:) -rJ =-
I & . f-r ow
1 . L ·' I 7 c_o. )I we.. 11"'1 LKvpo ,~y,,/e..
II\ nc:no; I / I "'-" nJ o ro/1 .,. HS 1 C .7
: --7 rv11 i\ i 1'11 d (._ E [ c I I'\. J ::= c. ,11.
I I I I I I I I I I I I
W\ if'timi2-L -;;; -s -t y ( ....,.. ) {....... ,..._ o VM... c '?<.
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ExamplesVtJJt,( c."T~)=- E. (c.T~- E[c'"-))2. :::. E (c.''l{- ~~)( '-~- c~)
A Not-for-Profit University
-=- ~.,- £ (c-C:)(c-z)jlL:::. )(..'Zx
c::_ TIL -t f 1-I Z /(__ A-~ ~ _b
~,(_ ::: ~
6LP
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Email: [email protected]
Slides available at: https://www.zubairkhalid.org/ee563_2020.html(Let me know should you need latex source)