Everyone is welcome to attend the next N&O seminar with Kevin Shu with the title 'Sparse Quadratic Programs via Polynomial Roots'.
The talk will take place online and we will watch it together in L017. For more information and registration to get the Zoom link via e-mail, please contact Willem Feijen (willem.feijen at cwi.nl), Samarth Tiwari (samarth.tiwari at cwi.nl) or Sven Polak (sven.polak at cwi.nl).
Abstract: We'll talk about problems of optimizing a quadratic function subject to quadratic constraints, in addition to a sparsity constraint that requires that solutions have only a few nonzero entries. Such problems include sparse versions of linear regression and principal components analysis. We'll see that this problem can be formulated as a convex conical optimization problem over a sparse version of the positive semidefinite cone, and then see how we can approximate such problems using ideas arising from the study of hyperbolic polynomials. We'll also describe a fast algorithm for such problems, which performs well in practical situations.
If you would like to link to a paper, here is one: https://arxiv.org/abs/2208.11143