[Math] Max- Min Optimization problem

optimization

I am a noob in mathematic, so I would need your help in solving the optimization problem below

\begin{array}{l}
\max\limits_{\bf l} \min \left( \left| {\bf g}_1 {\bf Ml} \right|^2, \left| {\bf g}_2 \bf Ml \right|^2 \right) \\
\text{ s.t. } \left\| {\bf Ml} \right\|^2 = \text{positive const}.
\end{array}

where ${\bf g}_1, {\bf g}_2 \in {^{1 \times M}}$ and ${\bf M} \in {^{M \times 2}}$ are given vectors and matrix, $\bf{l}$ has the size $2\times1$.

Many thanks for your help,
Anh

Best Answer

Transform the problem by introducing a new decision variable $z$ which captures $\min (|\mathbf{g}_1\mathbf{Ml}|^2,|\mathbf{g}_2 \mathbf{Ml}|^2)$. Your problem now becomes $$ \max_{\mathbf{l},z} z $$ subject to: $$ \begin{aligned} \|\mathbf{Ml}\|^2 &=k \\ z &\le |\mathbf{g}_1 \mathbf{Ml}|^2 \\ z &\le |\mathbf{g}_2 \mathbf{Ml}|^2 \end{aligned} $$

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