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objective and constraint functions

•total weight w1h1 + · · · + wN hN is posynomial

•aspect ratio hi/wi and inverse aspect ratio wi/hi are monomials

•maximum stress in segment i is given by 6iF/(wih2i ), a monomial

•the vertical deflection yi and slope vi of central axis at the right end of segment i are defined recursively as

vi

=

12(i −

1/2)

F

 

+ vi+1

 

Ewihi3

yi

=

6(i − 1/3)

 

F

+ vi+1 + yi+1

 

Ewihi3

for i = N, N − 1, . . . , 1, with vN+1 = yN+1 = 0 (E is Young’s modulus)

vi and yi are posynomial functions of w, h

Convex optimization problems

4–32

formulation as a GP

 

 

minimize

w1h1 + · · · + wN hN

 

subject to

wmax−1 wi ≤ 1,

wminwi−1 ≤ 1,

i = 1, . . . , N

 

hmax−1 hi ≤ 1,

hminhi−1 ≤ 1,

i = 1, . . . , N

Smax−1 wi−1hi ≤ 1, Sminwih−i 1 ≤ 1, i = 1, . . . , N 6iF σmax−1 wi−1h−i 2 ≤ 1, i = 1, . . . , N

ymax−1 y1 ≤ 1

note

• we write wmin ≤ wi ≤ wmax and hmin ≤ hi ≤ hmax

wmin/wi ≤ 1, wi/wmax ≤ 1, hmin/hi ≤ 1, hi/hmax ≤ 1

• we write Smin ≤ hi/wi ≤ Smax as

Sminwi/hi ≤ 1,

hi/(wiSmax) ≤ 1

Convex optimization problems

4–33

Minimizing spectral radius of nonnegative matrix

Perron-Frobenius eigenvalue λpf(A)

•exists for (elementwise) positive A Rn×n

•a real, positive eigenvalue of A, equal to spectral radius maxi |λi(A)|

•determines asymptotic growth (decay) rate of Ak: Ak λkpf as k → ∞

•alternative characterization: λpf(A) = inf{λ | Av λv for some v 0}

minimizing spectral radius of matrix of posynomials

•minimize λpf(A(x)), where the elements A(x)ij are posynomials of x

•equivalent geometric program:

minimize

λ

subject to

Pj=1 A(x)ijvj/(λvi) ≤ 1, i = 1, . . . , n

 

n

variables λ, v, x

 

Convex optimization problems

4–34

Generalized inequality constraints

convex problem with generalized inequality constraints

minimize

f0(x)

subject to

fi(x) Ki 0, i = 1, . . . , m

 

Ax = b

•f0 : Rn → R convex; fi : Rn → Rki Ki-convex w.r.t. proper cone Ki

•same properties as standard convex problem (convex feasible set, local optimum is global, etc.)

conic form problem: special case with a ne objective and constraints

minimize

cT x

subject to

F x + g K 0

 

Ax = b

extends linear programming (K = Rm+ ) to nonpolyhedral cones

Convex optimization problems

4–35

Semidefinite program (SDP)

minimize

cT x

subject to

x1F1 + x2F2 + · · · + xnFn + G 0

 

Ax = b

with Fi, G Sk

 

•inequality constraint is called linear matrix inequality (LMI)

•includes problems with multiple LMI constraints: for example,

 

ˆ

 

 

ˆ

 

ˆ

0,

˜

 

˜

˜

 

 

x1F1

+ · · · + xnFn

+ G

x1F1

+ · · · + xnFn

+ G 0

 

is equivalent to single LMI

 

 

+· · ·+xn

0n

F˜n +

0 G˜

 

x1

01

F˜1

+x2

02

F˜2

0

 

ˆ

0

 

ˆ

 

0

 

 

 

ˆ

0

ˆ

 

 

F

 

F

 

 

 

 

F

G 0

 

Convex optimization problems

4–36

LP and SOCP as SDP

LP and equivalent SDP

 

 

LP: minimize

cT x

SDP: minimize

cT x

subject to

Ax b

subject to

diag(Ax − b) 0

(note di erent interpretation of generalized inequality )

SOCP and equivalent SDP

SOCP:

minimize

fT x

 

 

 

subject to

kAix + bik2 ≤ ciT x + di,

i = 1, . . . , m

SDP:

minimize

fT x

 

 

 

 

(Aix + bi)T ciT x + di

 

 

subject to

(ciT x + di)I Aix + bi

 

0, i = 1, . . . , m

 

 

 

Convex optimization problems

4–37

Eigenvalue minimization

minimize λmax(A(x))

where A(x) = A0 + x1A1 + · · · + xnAn (with given Ai Sk)

equivalent SDP

 

minimize

t

subject to

A(x) tI

• variables x Rn, t R

 

• follows from

A tI

λmax(A) ≤ t

Convex optimization problems

4–38

Matrix norm minimization

minimize kA(x)k2 where A(x) = A0 + x1A1 + · · · + equivalent SDP

minimize

t

subject to

 

= λmax(A(x)T A(x)) 1/2 xnAn (with given Ai Rp×q)

A(x)T

tI

0

tI

A(x)

 

• variables x Rn, t R

• constraint follows from

kAk2 ≤ t

AT A t2I, t ≥ 0

 

AT

tI

0

 

tI

A

 

Convex optimization problems

4–39

Vector optimization

general vector optimization problem

 

minimize (w.r.t. K)

f0(x)

 

subject to

fi(x) ≤ 0,

i = 1, . . . , m

 

hi(x) = 0,

i = 1, . . . , p

vector objective f0 : Rn → Rq, minimized w.r.t. proper cone K Rq

convex vector optimization problem

minimize (w.r.t. K)

f0(x)

subject to

fi(x) ≤ 0, i = 1, . . . , m

 

Ax = b

with f0 K-convex, f1, . . . , fm convex

Convex optimization problems

4–40

Optimal and Pareto optimal points

set of achievable objective values

O= {f0(x) | x feasible}

•feasible x is optimal if f0(x) is the minimum value of O

•feasible x is Pareto optimal if f0(x) is a minimal value of O

 

O

O

f0(xpo)

 

f0(x )

xpo is Pareto optimal

x is optimal

Convex optimization problems

4–41