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Question sheet of the exam held in january 2017 for the Convex Optimization course.

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Circuits and Systems Group

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.

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 .

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

tion f1 (ρ) for −1 ≤ ρ ≤ 1.

f2 (ρ) = log det{C(ρ)},

convex or concave? Why? Also, plot the log-determinant function

f2 (ρ) for −1 < ρ < 1.

the function f3 (ρ) is nonconvex.

2

Question 2 (10 points)

Consider the quadratically constrained quadratic program (QCQP)

subject to (x1 − 1)2 + (x2 − 1)2 ≤ 1

(x1 − 1)2 + (x2 + 1)2 ≤ 1

(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?

(d) Solve the Lagrange dual problem. Is the dual optimum d∗ attained?

Does strong duality hold?

3

Question 3 (10 points)

Consider the problem of minimizing the function f : R2 → R, defined as

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) .

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

4

Question 4 (10 points)

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

elementwise.

function and its subdifferential ∂hα (x) as a function of x assuming

that N = 1. Explain what happens when α = 0.5.

minimize hα (Ax − b)

Explain how to write the quantile regression problem as a Linear Pro-

gram (LP).

(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.

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