L.

Vandenberghe

EE236B Winter 2016

Additional problem for assignment #6

Consider the optimization problem
minimize kAx bk2 + kxk1
with A Rmn , b Rm , and > 0. The variable is an n-vector x.
1. Derive the Lagrange dual of the equivalent problem
minimize kyk2 + kxk1
subject to Ax b = y
with variables x Rn and y Rm .
2. Suppose Ax? b 6= 0 where x? is an optimal point. Define r = (Ax? b)/kAx? bk2 .
Show that
kAT rk ,
rT Ax? + kx? k1 = 0.
3. Show that if the Euclidean norm of the ith column of A is less than , then x?i = 0.