In this work, a regression problem is studied where the elements of the database are sets with certain geometrical properties. In particular, our model can be applied to handle data affected by some kind of noise or uncertainty and interval-valued data, and databases with missing values as well. The proposed formulation is based on the … Read more
In this paper, we analyze the numerical behaviour of a separable Augmented Lagrangian algorithm with multiple scaling parameters, different parameters associated with each dualized coupling constraint as well as with each subproblem. We show that an optimal superlinear rate of convergence can be theoretically attained in the twice differentiable case and propose an adaptive scaling … Read more
This paper studies an alternative technique to interior point methods and nonlinear methods for semidefinite programming (SDP). The approach based on classical quadratic regularizations leads to an algorithm, generalizing a recent method called “boundary point method”. We study the theoretical properties of this algorithm and we show that in practice it behaves very well on … Read more
We consider the problem of computing the smallest contact forces, with point-contact friction model, that can hold an object in equilibrium against a known external applied force and torque. It is known that the force optimization problem (FOP) can be formulated as a semidefinite programming problem (SDP), or a second-order cone problem (SOCP), and so … Read more
We describe a specialized truncated-Newton primal-dual interior-point method that solves large scale network utility maximization problems, with concave utility functions, efficiently and reliably. Our method is not decentralized, but easily scales to problems with a million flows and links. We compare our method to a standard decentralized algorithm based on dual decomposition, and show by … Read more
We describe graph implementations, a generic method for representing a convex function via its epigraph, described in a disciplined convex programming framework. This simple and natural idea allows a very wide variety of smooth and nonsmooth convex programs to be easily specified and efficiently solved, using interior-point methods for smooth or cone convex programs. CitationTo … Read more
This document is an introduction to the Matlab package SDLS (Semi-Definite Least-Squares) for solving least-squares problems over convex symmetric cones. The package is shortly presented through the addressed problem, a sketch of the implemented algorithm, the syntax and calling sequences, a simple numerical example and some more advanced features. The implemented method consists in solving … Read more
Given a separable strongly self-concordant function f:Rn -> R, we show the associated spectral function F(X)= (foL)(X) is also strongly self-concordant function. In addition, there is a universal constant O such that, if f(x) is separable self-concordant barrier then O^2F(X) is a self-concordant barrier. We estimate that for the universal constant we have O
A convex body K has associated with it a unique circumscribed ellipsoid CE(K) with minimum volume, and a unique inscribed ellipsoid IE(K) with maximum volume. We first give a unified, modern exposition of the basic theory of these extremal ellipsoids using the semi-infinite programming approach pioneered by Fritz John in his seminal 1948 paper. We … Read more
We consider the classical problem of estimating a density on $[0,1]$ via some maximum entropy criterion. For solving this convex optimization problem with algorithms using first-order or second-order methods, at each iteration one has to compute (or at least approximate) moments of some measure with a density on $[0,1]$, to obtain gradient and Hessian data. … Read more