Trace of inverse of a matrix


(Pankaz Das) #1

Hi I am trying to minimize the following objective function over F. Any suggestion is appreciated.
min_F ( Trace( (I-F)^-1 V 1^T) ),
subject to
0 <= F(i,j) <= 1,
F*1 = 1 - (V + K), K is constant vector given.
here, I is identity matrix, F is n by n matrix, V is n by 1 given vector, 1 is a column vector of all ones.


(Mark L. Stone) #2

I believe this is non-convex. Do you have a proof that I am wrong?


(Pankaz Das) #3

Thanks Mark. Yes, this is a nonlinear optimization problem. Actually original objective was 1^T (I-F)^-1 V. I rewrote it in this way, But still it seems like it is nonlinear. Not sure how to proceed with this.


(Mark L. Stone) #4

I believe you will have to use a nonlinear optimization solver which can deal with non-convex nonlinear objective subject to linear constraints. You should be able to apply matrix-level automatic differentiation to the objective function, such as by using http://www.sc.informatik.tu-darmstadt.de/res/sw/adimat/index.en.jsp .