Convex Optimization · Problem 7.1

Geometric problems — Boyd & Vandenberghe

Mathematics — Optimization · ml-estimation-exponential-noise

Problem

Linear measurements with exponentially distributed noise. Show how to solve the ML estimation problem (7.2) when the noise is exponentially distributed, with density p(z)={(1/a)e−z/az≥00z<0,p(z) = \begin{cases} (1/a)e^{-z/a} & z \geq 0 \\ 0 & z < 0, \end{cases} where a>0a > 0.

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