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\iteman{io-port 06110471}
\itemau{Vanderbei, Robert J.}
\itemti{Fast Fourier optimization.}
\itemso{Math. Program. Comput. 4, No. 1, 53-69 (2012).}
\itemab
Summary: Many interesting and fundamentally practical optimization problems, ranging from optics, to signal processing, to radar and acoustics, involve constraints on the Fourier transform of a function. It is well-known that the fast Fourier transform (fft) is a recursive algorithm that can dramatically improve the efficiency for computing the discrete Fourier transform. However, because it is recursive, it is difficult to embed into a linear optimization problem. In this paper, we explain the main idea behind the fast Fourier transform and show how to adapt it in such a manner as to make it encodable as constraints in an optimization problem. We demonstrate a real-world problem from the field of high-contrast imaging. On this problem, dramatic improvements are translated to an ability to solve problems with a much finer grid of discretized points. As we shall show, in general, the ``fast Fourier'' version of the optimization constraints produces a larger but sparser constraint matrix and therefore one can think of the fast Fourier transform as a method of sparsifying the constraints in an optimization problem, which is usually a good thing.
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\itemut{linear programming; Fourier transform; interior-point methods; high-contrast imaging; fast Fourier transform (fft); optimization; cooley -- tukey algorithm}
\itemli{doi:10.1007/s12532-011-0034-8}
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