function [A,gam,fval] = gamrm(m,h) % exploring |Ag| global nstate nstate=m; C = 1+h; T = 1; adim = m^2; gdim = m^2; xdim = adim + gdim; % box constraints %LB = zeros(adim,1)+1e-10; %UB = ones(adim,1); LB = zeros(xdim,1)+1e-10; LB(adim+1:end) = LB(adim+1:end) - Inf; % no box constraints on gam UB = ones(xdim,1); UB(adim+1:end) = UB(adim+1:end) + Inf; % no box constraints on gam % normalization constraints Aeq = zeros(m*T,xdim); for i=1:m*T for j=1:m Aeq(i,m*(i-1)+j) = 1; end end Beq = ones(m*T,1); rind = length(Beq); % a quick'n'dirty hack to fix A global A0 for i=1:m for j=1:m rind = rind+1; cind = coord2ind([i j],[m m]); Aeq(rind,cind) = 1; Beq(rind,1) = A0(i,j); end end % a quick'n'dirty hack to fix gam global GG0 for i=1:m for j=1:m if (i>=3) | (j>=3) rind = rind+1; cind = adim + coord2ind([i j],[m m]); Aeq(rind,cind) = 1; Beq(rind,1) = GG0(i,j); end end end % stricture constraints SIGNS = 2*list_all_ind(repmat([2],[1 m]))-3; Aina = zeros(size(SIGNS,1)*m*(m-1)/2*T,m^2*T); rind = 0; for t=1:T for i1=1:m for i2=i1+1:m for s = 1:size(SIGNS,1) rind = rind+1; ss = SIGNS(s,:); for j=1:m ind1 = coord2ind([j i1 t],[m m T]); ind2 = coord2ind([j i2 t],[m m T]); Aina(rind,ind1) = ss(j); Aina(rind,ind2) = -ss(j); end end end end end Bina = ones(size(Aina,1),1)*h*2; Aing = zeros(0,gdim); Bing = zeros(0,1); rind = 0; % gamma sum constraint for i=1:m for s=[-1 1] rind = rind+1; for j=1:m cind = coord2ind([i j],[m m]); Aing(rind,cind) = s; end Bing(rind,1) = C; end end % gamma Lip constraint: d=1; for j=1:m for i1=1:m for i2=i1+1:m ind1 = coord2ind([i1 j],[m m]); ind2 = coord2ind([i2 j],[m m]); for s=[-1 1] rind = rind+1; Aing(rind,ind1) = s; Aing(rind,ind2) = -s; Bing(rind,1) = 2*d; end end end end % gam_ij sum constraint rind = rind+1; Aing(rind,:) = ones(1,gdim); Bing(rind,1) = C*h; Ain = assembleblock({Aina,Aing}); Bin = [Bina;Bing]; A0 = pnormdim(ones(m,m,T),1); A0 = A0+randn(size(A0))*1e-2; A0 = pnormdim(A0,1); gam0 = randn(m,m)*.1/C; x0 = [A0(:); gam0(:)]; [x,fval] = fmincon(@myobjm,x0,Ain,Bin,Aeq,Beq,LB,UB); fval = sqrt(abs(fval)); A = reshape(x(1:adim),[m m T]); gam = reshape(x(adim+1:end),[m m]); return function y = myobjm(x) global nstate m = nstate; T = 1; adim = m^2; gdim = m^2; xdim = adim + gdim; A = reshape(x(1:adim),[m m T]); gam = reshape(x(adim+1:end),[m m]); %global A0 GG0 %A = A0; %gam(:,1:m-1) = GG0(:,1:m-1); s = sum(sum(A.*gam)); y = -s^2; return