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Convex Optimization Homework 1

This document provides the instructions for Homework 1 assigned on August 24th, 2023 and due on September 7th, 2023. It includes 4 problems to solve involving concepts in linear programming, convex sets, and convex/concave functions. Students are instructed to show their work on paper or LaTeX, convert it to PDF, and submit it to the Assignments folder in Canvas by the due date and time.

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gmw172
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68 views

Convex Optimization Homework 1

This document provides the instructions for Homework 1 assigned on August 24th, 2023 and due on September 7th, 2023. It includes 4 problems to solve involving concepts in linear programming, convex sets, and convex/concave functions. Students are instructed to show their work on paper or LaTeX, convert it to PDF, and submit it to the Assignments folder in Canvas by the due date and time.

Uploaded by

gmw172
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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DSA3102: Homework 1

Assigned: 24/08/23, Due: 07/09/2023

Instructions:
• Please do all the four problems below. A (non-empty) subset of them will be graded.
• Write (legibly) on pieces of paper or Latex your answers. Convert your submission to PDF format.
• Submit to the Assignment 1 folder under Assignments in Canvas before 23:59 on 07/09/2023.

1. Consider the set defined by the following inequalities


[
S = {x ∈ R2 : x1 ≥ x2 − 1, x2 ≥ 0} {x ∈ R2 : x1 ≤ x2 − 1, x2 ≤ 0}

(a) Draw the set S. Is it convex?


(b) Show that the set S can be described as a single quadratic inequality of the form

q(x) = xT Ax + 2bT x + c ≤ 0

for a matrix A ∈ S2 (2 by 2 symmetric matrix), b ∈ R2 and c ∈ R which you should determine.


Hint: Note that q is continuous, q ≤ 0 on S and q > 0 on S c , hence q must be 0 on the boundary
of S.
(c) What is the convex hull of the set S?

2. The following is a very important result in linear programming duality. Let A ∈ Rm×n and y ∈ Rm .
Show that one and only one of the following two conditions is satisfied.
• the system of linear equations Ax = y admits a non-negative solution x ≥ 0;
• there exists z ∈ Rm such that z T A ≥ 0 and z T y < 0.
You should use the strict separating hyperplane theorem.
3. The polar of an arbitrary set C ⊂ Rn is defined as the set

C ◦ := {y ∈ Rn : y T x ≤ 1 for all x ∈ C}

(a) Let C ⊂ Rn be any set, not necessarily convex. Is C ◦ convex? Justify your answer carefully.
(b) Recall that a cone K is such that if x ∈ K and θ ≥ 0, then θx ∈ K. Recall that the dual cone is
defined as
K ∗ := {y ∈ Rn : y T x ≥ 0 for all x ∈ K}
It is known that the polar of the cone K, denoted as K ◦ , and the dual cone, denoted as K ∗ , are
related as follows:
K ◦ = −cK ∗
for some positive number c. Find c.

1
(c) Show carefully that the polar of the unit ball B(0, 1) := {x ∈ Rn : kxk2 ≤ 1} is the unit ball. You
may find the Cauchy–Schwarz inequality (i.e., xT y ≤ kxk2 kyk2 ) useful.
4. (a) For x, y both positive scalars, show that

yex/y = sup α(x + y) − yα log α.


α>0

(log here refers to the natural logarithm.) Use the above result to prove that the function f :
Rn++ → R defined as
f (x, y) = yex/y
is convex.
(b) Show that the function f : R2+ → R
√ √ 2
f (x) = ( x1 + x2 )

is concave by examining the definiteness of its Hessian.

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