An equality with vectors
$begingroup$
Here is a problem with its solution.
Let $mathbf{s}_{ntimes1}$ is a vector with elements $s_{j}inleft[-1,1right]$
for $j=1,2,ldots,n$. I have the equality
$$
lambdaalphamathbf{s}=mathbf{a}
$$
where $lambda$ is an unknown parameter, $alphainleft(0,1right)$
is a fixed constant and $mathbf{a}$ is an $ntimes1$ vector. We
can show that the minimum value of $lambda$ that satisfies this
equality for some $s_{j}inleft[-1,1right]$ is
$$
lambda_{min}=frac{1}{alpha}leftVert mathbf{a}rightVert _{infty}
$$
where $leftVert mathbf{a}rightVert _{infty}=max_{j}left|a_{j}right|$.
I would like to extend this equality with a fixed vector $mathbf{b}$ like this:
$$
lambda(alphamathbf{s}+left(1-alpharight)mathbf{b})=mathbf{a}
$$
The problem is the same: What is the minimum value of $lambda$ (if
exists) that satisfies this equality for some $s_{j}inleft[-1,1right]$?
I tried to use inequalities with absolute values but could not get a solution.
optimization vectors norm
$endgroup$
add a comment |
$begingroup$
Here is a problem with its solution.
Let $mathbf{s}_{ntimes1}$ is a vector with elements $s_{j}inleft[-1,1right]$
for $j=1,2,ldots,n$. I have the equality
$$
lambdaalphamathbf{s}=mathbf{a}
$$
where $lambda$ is an unknown parameter, $alphainleft(0,1right)$
is a fixed constant and $mathbf{a}$ is an $ntimes1$ vector. We
can show that the minimum value of $lambda$ that satisfies this
equality for some $s_{j}inleft[-1,1right]$ is
$$
lambda_{min}=frac{1}{alpha}leftVert mathbf{a}rightVert _{infty}
$$
where $leftVert mathbf{a}rightVert _{infty}=max_{j}left|a_{j}right|$.
I would like to extend this equality with a fixed vector $mathbf{b}$ like this:
$$
lambda(alphamathbf{s}+left(1-alpharight)mathbf{b})=mathbf{a}
$$
The problem is the same: What is the minimum value of $lambda$ (if
exists) that satisfies this equality for some $s_{j}inleft[-1,1right]$?
I tried to use inequalities with absolute values but could not get a solution.
optimization vectors norm
$endgroup$
1
$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03
add a comment |
$begingroup$
Here is a problem with its solution.
Let $mathbf{s}_{ntimes1}$ is a vector with elements $s_{j}inleft[-1,1right]$
for $j=1,2,ldots,n$. I have the equality
$$
lambdaalphamathbf{s}=mathbf{a}
$$
where $lambda$ is an unknown parameter, $alphainleft(0,1right)$
is a fixed constant and $mathbf{a}$ is an $ntimes1$ vector. We
can show that the minimum value of $lambda$ that satisfies this
equality for some $s_{j}inleft[-1,1right]$ is
$$
lambda_{min}=frac{1}{alpha}leftVert mathbf{a}rightVert _{infty}
$$
where $leftVert mathbf{a}rightVert _{infty}=max_{j}left|a_{j}right|$.
I would like to extend this equality with a fixed vector $mathbf{b}$ like this:
$$
lambda(alphamathbf{s}+left(1-alpharight)mathbf{b})=mathbf{a}
$$
The problem is the same: What is the minimum value of $lambda$ (if
exists) that satisfies this equality for some $s_{j}inleft[-1,1right]$?
I tried to use inequalities with absolute values but could not get a solution.
optimization vectors norm
$endgroup$
Here is a problem with its solution.
Let $mathbf{s}_{ntimes1}$ is a vector with elements $s_{j}inleft[-1,1right]$
for $j=1,2,ldots,n$. I have the equality
$$
lambdaalphamathbf{s}=mathbf{a}
$$
where $lambda$ is an unknown parameter, $alphainleft(0,1right)$
is a fixed constant and $mathbf{a}$ is an $ntimes1$ vector. We
can show that the minimum value of $lambda$ that satisfies this
equality for some $s_{j}inleft[-1,1right]$ is
$$
lambda_{min}=frac{1}{alpha}leftVert mathbf{a}rightVert _{infty}
$$
where $leftVert mathbf{a}rightVert _{infty}=max_{j}left|a_{j}right|$.
I would like to extend this equality with a fixed vector $mathbf{b}$ like this:
$$
lambda(alphamathbf{s}+left(1-alpharight)mathbf{b})=mathbf{a}
$$
The problem is the same: What is the minimum value of $lambda$ (if
exists) that satisfies this equality for some $s_{j}inleft[-1,1right]$?
I tried to use inequalities with absolute values but could not get a solution.
optimization vectors norm
optimization vectors norm
edited Dec 28 '18 at 20:48
mert
asked Dec 27 '18 at 8:03
mertmert
53529
53529
1
$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03
add a comment |
1
$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03
1
1
$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03
add a comment |
1 Answer
1
active
oldest
votes
$begingroup$
Your problem can be summarized as:
$$min_{x in mathbb{R},y in [-alpha,alpha]^n} { x : xy + x(1-alpha)b = a}$$
Substitute $xy=z$:
$$min_{x in mathbb{R},z in [-alpha x,alpha x ]^n} { x : z + x(1-alpha)b = a}$$
The dual problem is:
$$ max_{v in mathbb{R}^n,w_1 in mathbb{R}_+^n,w_2 in mathbb{R}_+^n} { a^Tv : (1-alpha)b^Tv + alpha e^T(w_1+w_2) = 1, ; e^T(v + w_1-w_2) = 0}$$
I do not see an immediate solution to any of these problems, but the last two problems you can just feed to a linear optimization solver.
$endgroup$
add a comment |
Your Answer
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1 Answer
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active
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votes
1 Answer
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active
oldest
votes
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oldest
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oldest
votes
$begingroup$
Your problem can be summarized as:
$$min_{x in mathbb{R},y in [-alpha,alpha]^n} { x : xy + x(1-alpha)b = a}$$
Substitute $xy=z$:
$$min_{x in mathbb{R},z in [-alpha x,alpha x ]^n} { x : z + x(1-alpha)b = a}$$
The dual problem is:
$$ max_{v in mathbb{R}^n,w_1 in mathbb{R}_+^n,w_2 in mathbb{R}_+^n} { a^Tv : (1-alpha)b^Tv + alpha e^T(w_1+w_2) = 1, ; e^T(v + w_1-w_2) = 0}$$
I do not see an immediate solution to any of these problems, but the last two problems you can just feed to a linear optimization solver.
$endgroup$
add a comment |
$begingroup$
Your problem can be summarized as:
$$min_{x in mathbb{R},y in [-alpha,alpha]^n} { x : xy + x(1-alpha)b = a}$$
Substitute $xy=z$:
$$min_{x in mathbb{R},z in [-alpha x,alpha x ]^n} { x : z + x(1-alpha)b = a}$$
The dual problem is:
$$ max_{v in mathbb{R}^n,w_1 in mathbb{R}_+^n,w_2 in mathbb{R}_+^n} { a^Tv : (1-alpha)b^Tv + alpha e^T(w_1+w_2) = 1, ; e^T(v + w_1-w_2) = 0}$$
I do not see an immediate solution to any of these problems, but the last two problems you can just feed to a linear optimization solver.
$endgroup$
add a comment |
$begingroup$
Your problem can be summarized as:
$$min_{x in mathbb{R},y in [-alpha,alpha]^n} { x : xy + x(1-alpha)b = a}$$
Substitute $xy=z$:
$$min_{x in mathbb{R},z in [-alpha x,alpha x ]^n} { x : z + x(1-alpha)b = a}$$
The dual problem is:
$$ max_{v in mathbb{R}^n,w_1 in mathbb{R}_+^n,w_2 in mathbb{R}_+^n} { a^Tv : (1-alpha)b^Tv + alpha e^T(w_1+w_2) = 1, ; e^T(v + w_1-w_2) = 0}$$
I do not see an immediate solution to any of these problems, but the last two problems you can just feed to a linear optimization solver.
$endgroup$
Your problem can be summarized as:
$$min_{x in mathbb{R},y in [-alpha,alpha]^n} { x : xy + x(1-alpha)b = a}$$
Substitute $xy=z$:
$$min_{x in mathbb{R},z in [-alpha x,alpha x ]^n} { x : z + x(1-alpha)b = a}$$
The dual problem is:
$$ max_{v in mathbb{R}^n,w_1 in mathbb{R}_+^n,w_2 in mathbb{R}_+^n} { a^Tv : (1-alpha)b^Tv + alpha e^T(w_1+w_2) = 1, ; e^T(v + w_1-w_2) = 0}$$
I do not see an immediate solution to any of these problems, but the last two problems you can just feed to a linear optimization solver.
answered Dec 28 '18 at 21:50
LinAlgLinAlg
9,7541521
9,7541521
add a comment |
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$begingroup$
is $b$ fixed? do you mean 'for some s_j' (instead of 'for all')?
$endgroup$
– LinAlg
Dec 27 '18 at 21:02
$begingroup$
Yes, thanks. I edited the question.
$endgroup$
– mert
Dec 28 '18 at 20:47
$begingroup$
did you appreciate my answer?
$endgroup$
– LinAlg
Jan 8 at 15:03