Noname manuscript No. (will be inserted by the editor) Fast Fourier Optimization Sparsity

Abstract Many interesting and fundamentally practical optimization prob-lems, 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 optimiza-tion 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