Exercises

L. El Ghaoui

Exercises

Standard forms

Regularization for noisy data. Consider a least-squares problem

in which the data matrix $A in mathbf{R}^{m times n}$ is noisy. Our specific noise model assumes that each row $a_i^T in mathbf{R}^n$ has the form $a_i = hat{a}_i + u_i$ , where the noise vector $u_i in mathbf{R}^n$ has zero mean and covariance matrix sigma^2 I_n , with sigma a measure of the size of the noise. Therefore, now the matrix is a function of the uncertain vector u=(u_1,ldots,u_n) , which we denote by A(u) . We will write hat{A} to denote the matrix with rows $hat{a}_i^T$ , i=1,ldots,m . We replace the original problem with

$min_x : mbox{bf E}_u : |A(u)x - y|_2^2,$

where $mbox{bf E}_u$ denotes the expected value with respect to the random variable . Show that this problem can be written as

$min_x : |hat{A}x-y|_2^2 + lambda |x|_2^2,$

where lambdage0 is some regularization parameter, which you will determine. That is, regularized least-squares can be interpreted as a way to take into account uncertainties in the matrix , in the expected value sense. Hint: compute the expected value of $((hat{a}_i+u_i)^Tx-y_i)^2$ , for a specific row index .

Applications

The figure shows the number of transistors in 13 microprocessors as a function the year of their introduction. The plot suggests that we can obtain a good fit with a function of the form $n(t) = alpha^{t-t_0}$ , where

is the year, n(t)

is the number of transistors at year

, and

and

are model parameters. This model results in a straight line if we plot n(t)

on a logarithmic scale versus

on a linear scale, as is done in the figure.

Moore’s law describes a long-term trend in the history of computing hardware, and states that the number of transistors that can be placed inexpensively on an integrated circuit has doubled approximately every two years. In this problem, we investigate the validity of the claim via least-squares.
1. Using the problem data, show how to estimate the parameters using least-squares, that is, via a problem of the form

Make sure to define precisely the data A,y and how the variable relates to the original problem parameters alpha,t_0 . (Use the notations $n= (n_1,ldots,n_{13}) in mathbf{R}^{13}$ for the number of processors, and $t = (t_1,ldots,t_{13}) in mathbf{R}^{13}$ for the corresponding years. You can assume that no component of is zero at optimum.)

1. Is the solution to problem above unique? Justify carefully your answer, and give the expression for the unique solution in terms of .
2. The solution to the problem yields , . Is this estimate consistent with the so-called Moore’s law, which states that the number of transistors per integrated circuit roughly doubles every two years?
The Michaelis–Menten model for enzyme kinetics relates the rate of an enzymatic reaction, to the concentration of a substrate, as follows:

$y = frac{beta_1 x}{beta_2 + x},$

where beta_i , i=1,2 , are parameters.

1. Show that the model can be expressed as a linear relation between the values and .
2. Use this expression to fit the parameter using linear least-squares.
3. The above approach has been found to be quite sensitive to errors in input data. Can you experimentally confirm this opinion? Hint: generate noisy data from parameter values and .

Exercises

Standard forms

Applications

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