An algorithm is being presented for a special class of unconstrained minimization problems. The algorithm exploits the special structure of the Hessian in the problems under consideration, It is based on applying Bertsekas' I-1] Scaled Partial Conjugate Gradient method with respect to a metric that is updated by the Rank One update, using gradients obtained in the preceeding steps. Two classes ...

This work extends modulated imaging, a recently developed technique based on the projection of structured light on a turbid medium that is able to measure optical properties of the high-scattering medium and perform tomography. We observe that structured light obliquely projected on a turbid medium undergoes a spatial shift during propagation. We propose a method to measure the spatial phase sh...

An n×n correlation matrix has k factor structure if its off-diagonal agrees with that of a rank k matrix. Such correlation matrices arise, for example, in factor models of collateralized debt obligations (CDOs) and multivariate time series. We analyze the properties of these matrices and, in particular, obtain an explicit formula for the rank in the one factor case. Our main focus is on the nea...

In this paper, we present a new method for solving nonlinear multicommodity network flow problems with convex objective functions. This method combines a well-known projected Jacobi method and a new dual projected pseudo-quasi-Newton (DPPQN) method which solves multicommodity flow quadratic subproblems induced in the projected Jacobi method. The DPPQN method is a dual Newtontype method that dif...

This paper studies the projected saddle-point dynamics associated to a convex-concave function, which we term saddle function. The dynamics consists of gradient descent of the saddle function in variables corresponding to convexity and (projected) gradient ascent in variables corresponding to concavity. We examine the role that the local and/or global nature of the convexity-concavity propertie...

Depth image acquisition with structured light approaches in outdoor environments is a challenging problem due to external factors, such as ambient sunlight, which commonly affect the acquisition procedure. This paper presents a novel structured light sensor designed specifically for operation in outdoor environments. The sensor exploits a modulated sequence of structured light projected onto th...

In this paper, we analyze the convergence of Alternating Direction Method of Multipliers (ADMM) on convex quadratic programs (QPs) with linear equality and bound constraints. The ADMM formulation alternates between an equality constrained QP and a projection on the bounds. Under the assumptions of: (i) positive definiteness of the Hessian of the objective projected on the null space of equality...