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Homework 2: 1 Dual Certificate For Unique Optimal Solution of LP

This document outlines a homework assignment with 4 problems related to linear programming and sparse recovery. It provides 200 total points and is due by July 17. Students are allowed to collaborate but must submit their own solutions. Solutions should be emailed as a PDF attachment with the specified file name and title format. The first problem asks students to check if given vectors are the optimal primal and dual solutions to a given linear program. The second and third problems ask students to deduce dual problems and give conditions for unique optimal solutions for basis pursuit and group basis pursuit problems. The fourth problem asks students to deduce the dual problem and give a certificate analysis for the Dantzig selector problem.

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rob globerjin
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25 views2 pages

Homework 2: 1 Dual Certificate For Unique Optimal Solution of LP

This document outlines a homework assignment with 4 problems related to linear programming and sparse recovery. It provides 200 total points and is due by July 17. Students are allowed to collaborate but must submit their own solutions. Solutions should be emailed as a PDF attachment with the specified file name and title format. The first problem asks students to check if given vectors are the optimal primal and dual solutions to a given linear program. The second and third problems ask students to deduce dual problems and give conditions for unique optimal solutions for basis pursuit and group basis pursuit problems. The fourth problem asks students to deduce the dual problem and give a certificate analysis for the Dantzig selector problem.

Uploaded by

rob globerjin
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Homework 2

Total points: 200

Notice:
1. Deadline 9 a.m. Wednesday July 17. Late homework will not be accepted.
2. Feel free to collaborate with other students and consult any books, lectures, and online resources, but you
must write down your own solution and submit a PDF via email. Violation causes zero score and further
penalty.
3. How to submit your answer: Email your homework PDF as an attachment to [email protected]
OR [email protected]. Use the following as email title and PDF file name.

[INY5314] Homework 2, Last Name, First Name, Student ID

1 Dual certificate for unique optimal solution of LP


Consider the following Linear Programming (LP) problem

min 4x1 x2 3x3


x1 ,x2 ,x3

s.t. x1 + 4x2 1
(1)
3x1 x2 + x3 3
x 1 , x2 , x3 0

(10 pts.) Please check whether x = [0, 0.25, 3.25]T and y = [1, 3]T are the problems optimal primal and
dual solutions, without coding.

2 Dual certificate for unique optimal solution of BP


Consider the following Basis Pursuit (BP) problem:

min x1 ,
xRn (2)
s.t. Ax = b.

Assumptions: matrix A has full row rank and the solution set X of (2) is nonempty.

Condition 1. Under the definitions I = supp(x ) {1, . . . , n} and s = sign(xI ), matrix A Rmn has
the following properties:

1
1. submatrix AI has full column rank;
2. there is y Rm obeying ATI y = s and ATIc y < 1.

(1) (5 pts.) Deduce the dual problem of problem (2);


(2) (25 pts.) Prove the following statement based on the primal dual relations:
x Rn is the unique solution to problem (2) if Ax = b and Condition 1 is satisfied.

3 Dual certificate for unique optimal solution of Group BP


Consider the following Group Basis Pursuit (GBP) problem:


K
min xk 2 ,
xRnK k=1 (3)
s.t. Ax = b,

where x = [xT1 , xT2 , . . . , xTK ]T , and k {1, . . . , K}, xk Rn .


Assumptions: matrix A has full row rank and the solution set X of (3) is nonempty.
(1) (10 pts.) Deduce the dual problem of problem (3);
(2) (10 pts.) Please give a dual certificate (called Condition 2) which is similar to Condition 1 and makes
x RnK to be the unique solution to problem (3) if Ax = b and Condition 2 is satisfied;
(3) (20 pts.) Prove the correctness of Condition 2.

4 Dual certificate for unique optimal solution of Dantzig Selector


Consider the following Dantzig Selector (DS) problem:

min x1 ,
xRn (4)
s.t. AT (Ax b) .

(1) (10 pts.) Deduce the dual problem of problem (4);


(2) (10 pts.) Give a dual certificate analysis for unique optimal solution of problem (4).

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