perplexabot
Gold Member
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Hey all. Let me get right to it!
I have the following objective function: [tex]\mathbf{minimize} \ \ trace((G^TG)^{-1})[/tex]
I am trying to minimize it with CVX.
I used schur complement to do the following:
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{G}{\text{minimize}}<br /> & & \mathrm{trace}((G^TG)^{-1}) \\<br /> \end{aligned}<br /> \end{equation*}[/tex]
which is equivalent to
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{t, G}{\text{minimize}}<br /> & & \mathrm{t} \\<br /> & \text{subject to}<br /> && t \geq\mathrm{trace}((G^TG)^{-1})<br /> \end{aligned}<br /> \end{equation*}[/tex]
which is equivalent to
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{t, G, X, Z}{\text{minimize}}<br /> & & \mathrm{t} \\<br /> & \text{subject to}<br /> && t \geq\mathrm{trace}(Z) \\<br /> &&&\begin{bmatrix} X & G^T \\G & I \end{bmatrix} \succeq 0 \qquad \\<br /> &&&\begin{bmatrix} Z & I \\ I & X \end{bmatrix} \succeq 0 \qquad<br /> \end{aligned}<br /> \end{equation*}[/tex]
Those two matrices introduced by schur complement achieve the following two inequalities: [tex]X \geq G^TG[/tex] and [tex]Z \geq X^{-1}[/tex]
My question is, is this formulation correct?
Here are some links that may be worth the read if you are interested:
The work I did is based on the following similar example.
I have had some help at the official cvx forums.
Thank you for reading : ) Any comments, pointers or advice is much appreciated!
EDIT: Apologies if this is in the wrong category.
I have the following objective function: [tex]\mathbf{minimize} \ \ trace((G^TG)^{-1})[/tex]
I am trying to minimize it with CVX.
I used schur complement to do the following:
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{G}{\text{minimize}}<br /> & & \mathrm{trace}((G^TG)^{-1}) \\<br /> \end{aligned}<br /> \end{equation*}[/tex]
which is equivalent to
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{t, G}{\text{minimize}}<br /> & & \mathrm{t} \\<br /> & \text{subject to}<br /> && t \geq\mathrm{trace}((G^TG)^{-1})<br /> \end{aligned}<br /> \end{equation*}[/tex]
which is equivalent to
[tex] \begin{equation*}<br /> \begin{aligned}<br /> & \underset{t, G, X, Z}{\text{minimize}}<br /> & & \mathrm{t} \\<br /> & \text{subject to}<br /> && t \geq\mathrm{trace}(Z) \\<br /> &&&\begin{bmatrix} X & G^T \\G & I \end{bmatrix} \succeq 0 \qquad \\<br /> &&&\begin{bmatrix} Z & I \\ I & X \end{bmatrix} \succeq 0 \qquad<br /> \end{aligned}<br /> \end{equation*}[/tex]
Those two matrices introduced by schur complement achieve the following two inequalities: [tex]X \geq G^TG[/tex] and [tex]Z \geq X^{-1}[/tex]
My question is, is this formulation correct?
Here are some links that may be worth the read if you are interested:
The work I did is based on the following similar example.
I have had some help at the official cvx forums.
Thank you for reading : ) Any comments, pointers or advice is much appreciated!
EDIT: Apologies if this is in the wrong category.
Last edited: