- Series
- SIAM Student Seminar
- Time
- Tuesday, October 25, 2022 - 2:00pm for 1 hour (actually 50 minutes)
- Location
- Skiles 005
- Speaker
- Kevin Shu – School of Mathematics – kshu8@gatech.edu
- Organizer
- Georgia Tech SIAM Student Chapter

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.