My previous blog item discussed how to represent the set
x^5/3 <= t, x>=0
using linear and quadratic cones. Now the book by Ben-Tal and Nemirovski shows how to represent the set
x^p/q <= t , x>=0 (1)
using conic quadratic cones where p and q are integers and p>=q>=1 which much more general than my example of course. Now the method suggested by Ben-Tal and Nemirovsky is not optimal in a complexity sense. Hence, I do not think it leads to the minimal number of quadratic cones. Therefore, a natural question is: What is the optimal conic quadratic representation of (1)?
This blog is about my work at MOSEK ApS where I am the CEO, a computer programmer and tea maker.
Tuesday, April 20, 2010
Friday, April 16, 2010
Is x raised to the power 5/3 conic quadratic representable?
The set
x^5/3 <= t, x,t>=0.0
can be represented by
x^2 <= 2 s t, s,t >= 0,
u = x,
v = s,
z = v,
z^2 <= 2fg, f,g > = 0,
f = 0.5,
4 g = h,
h^2 <= 2uv, u,v >= 0.
I will leave it to reader to verify it is correct.
this particular set I have come up over again and again in financial applications. I suppose it has something to do with modeling of transactions costs.
An obvious question is why replace a simple problem but something that looks quite a bit complicated.
However, both in theory and practice the conic quadratic optimization problems is easier to solve then general convex problems.
x^5/3 <= t, x,t>=0.0
can be represented by
x^2 <= 2 s t, s,t >= 0,
u = x,
v = s,
z = v,
z^2 <= 2fg, f,g > = 0,
f = 0.5,
4 g = h,
h^2 <= 2uv, u,v >= 0.
I will leave it to reader to verify it is correct.
this particular set I have come up over again and again in financial applications. I suppose it has something to do with modeling of transactions costs.
An obvious question is why replace a simple problem but something that looks quite a bit complicated.
However, both in theory and practice the conic quadratic optimization problems is easier to solve then general convex problems.
Subscribe to:
Posts (Atom)