Solutions to the optimal H , and L2 L, unbiased reduced-order filtering problems are obtained in terms of Linear Matrix Inequalities (LMIs). The order of the optimal filter is equal to the number of measurements. Both continuous-time and discrete-time results are presented. An explicit parametrization of all optimal unbiased filters is provided in terms of a free contractive matrix.

The problem of finding an optimal product sequence for sequential multiplication of a chain of matrices (the matrix chain ordering problem, MCOP) is well-known and has been studied for a long time. In this paper, we consider the problem of finding an optimal product schedule for evaluating a chain of matrix products on a parallel computer (the matrix chain scheduling problem, MCSP). The differe...

When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy minimizes a weighted combination of the expected value and the variance of the execution cost, where the weight is given by a nonnegative risk aversion parameter. The execution cost is determined from price impact func...

The problem of nding an optimal product sequence for sequential multiplication of a chain of matrices (the matrix chain ordering problem, MCOP) is well-known and has been studied for a long time. In this paper, we consider the problem of nding an optimal product schedule for evaluating a chain of matrix products on a parallel computer (the matrix chain scheduling problem, MCSP). The diierence b...

A generalization of recent group-theoretic matrix multiplication algorithms to an analogue of the theory of partial matrix multiplication is presented. We demonstrate that the added flexibility of this approach can in some cases improve upper bounds on the exponent of matrix multiplication yielded by group-theoretic full matrix multiplication. The group theory behind our partial matrix multipli...

the matrix functions appear in several applications in engineering and sciences. the computation of these functions almost involved complicated theory. thus, improving the concept theoretically seems unavoidable to obtain some new relations and algorithms for evaluating these functions. the aim of this paper is proposing some new reciprocal for the function of block anti diagonal matrices. more...

Dantzig Selector (DS) is widely used in compressed sensing and sparse learning for feature selection and sparse signal recovery. Since the DS formulation is essentially a linear programming optimization, many existing linear programming solvers can be simply applied for scaling up. The DS formulation can be explained as a basis pursuit denoising problem, wherein the data matrix (or measurement ...

We consider an optimal design of composite hydrophones consisting of parallel piezoelectric PZT rods that are embedded in a porous polymer matrix. Given the material properties of the polymer and PZT ceramic, we have optimally designed the piezocomposite to maximize the hydrostatic coupling factor, hydrophone figure of merit, or electromechanical coupling factor, using the methods of homogeniza...