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# Delft University of Technology

## Faculty of Electrical Engineering, Mathematics, and Computer Science

Circuits and Systems Group

## EE 4530 Applied Convex Optimization

25 January 2017, 9:00–12:00

This is an open book exam. Text books and slides are allowed. However,
solution manuals and handwritten notes/solutions are not allowed.

## This exam has four questions (40 points).

Question 1 (10 points)
Consider a stochastic process with covariance matrix
 
1 ρ
C(ρ) = ; −1 ≤ ρ ≤ 1,
ρ 1
which is a positive semidefinite matrix.

Hint: To answer this question, you may want to use the following matrix
identities. The eigenvalues λ1 and λ2 of the 2 × 2 matrix
 
a b
A=
c d
are given by
(a + d) 1 p
λ1 = + (a + d)2 − 4(ad − bc)
2 2
and
(a + d) 1 p
λ2 = − (a + d)2 − 4(ad − bc).
2 2
The trace of A−1 is related to the eigenvalues of A as

trace{A−1 } = λ−1 −1
1 + λ2 .

## (a) Is the function

f0 (ρ) = trace{C−1 (ρ)}
concave or convex? Why? Also, sketch f0 (ρ) for −1 < ρ < 1.

(b) Let λmax (C) denote the maximum eigenvalue of C. Is the function

## concave or convex? Why? Also, sketch the maximum eigenvalue func-

tion f1 (ρ) for −1 ≤ ρ ≤ 1.

## (c) Is the function

f2 (ρ) = log det{C(ρ)},
convex or concave? Why? Also, plot the log-determinant function
f2 (ρ) for −1 < ρ < 1.

## (d) Sketch the function f3 (ρ) = rank{C(ρ)} for −1 ≤ ρ ≤ 1 to show that

the function f3 (ρ) is nonconvex.

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Question 2 (10 points)

## minimize x21 + x22

subject to (x1 − 1)2 + (x2 − 1)2 ≤ 1
(x1 − 1)2 + (x2 + 1)2 ≤ 1

## with variable x = [x1 , x2 ]T ∈ R2 .

(a) Sketch the feasible set of the problem and level sets of the objective.
From this sketch, find the optimal point x∗ and optimal value p∗ .

(b) Give the KKT conditions. Do there exist Lagrange multipliers λ∗1 and
λ∗2 that prove x∗ is optimal?

## (c) Derive the Lagrange dual problem.

(d) Solve the Lagrange dual problem. Is the dual optimum d∗ attained?
Does strong duality hold?

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Question 3 (10 points)
Consider the problem of minimizing the function f : R2 → R, defined as

## f (x) = (x1 + x22 )2

with x = [x1 , x2 ]T .

(a) For the starting point x(0) = [0, 1]T show that the search direction
∆x(0) = [1, −1]T is a valid descent direction for f at x(0) .

## t = arg min f (x(0) + s∆x(0) ).

s≥0

(c) Apply the gradient method with fixed step size t = 1/2, starting at
x(0) = [0, 1]T , for one iteration? Does f (x(k) ) converge to the optimal
value p∗ ?

(d) Derive the Hessian of f . Also, apply Newton’s method with fixed step
size t = 1, starting at x(0) = [0, 1]T , for one iteration? Does f (x(k) )
converge to the optimal value p∗ ?
Hint: You may want to use the following matrix identity:
 −1  
a b 1 d −b
= .
c d ad − bc −c a

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Question 4 (10 points)
For α ∈ (0, 1), define the quantile loss function, hα : RN → R, as

elementwise.

## (a) Find the subdifferential of hα at x. For α = 0.2, plot the quantile

function and its subdifferential ∂hα (x) as a function of x assuming
that N = 1. Explain what happens when α = 0.5.

## (b) The quantile regression problem is

minimize hα (Ax − b)

## with variable x ∈ RN , and parameters A ∈ RM ×N and b ∈ RM .

Explain how to write the quantile regression problem as a Linear Pro-
gram (LP).

## (c) Explain how to use the Alternating Direction Method of Multipliers

(ADMM) algorithm to solve the quantile regression problem. Give
the detailed update equations (not just the update optimization pro-
blems).
Hint: Introduce a new variable (and constraint) z = Ax − b. Use the
scaled form ADMM by scaling the dual variable.