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Homework 1

ECE6553 Optimal Control

EE 872 Optimal Control

Magnus Egerstedt

Dr. Usman Ali

Due: February 1, 2011 (and Feb. 8 for DL students)

Due Date: March 06, 2018

1.

In class it was claimed that given a function h : R m ! R , its derivative

@ h

T

@ u

points in the direction in which h grows the most. Show that this is indeed the case.

Hint: The fact that x T y = k x kky k cos( ) , where is the angle between the vectors x and y , might come in handy.

2

Solve the following minimization problem:

subject to the constraint that

1

min 2 u T Qu b T u

u

2 R m

Au = c,

where Q = Q T 0. Moreover, A is a p m matrix ( p m ), with rank ( A ) = p .

3

a

Let F ( M ) be the matrix function

F ( M ) = M T MM T ,

where M is an n m matrix. What is the directional derivative of F ?

b

If f is a continuously di erentiable function, f : R m ! R . Show or disprove that the directional derivative

is given by

f ( x ; y ) = @ f @ ( x x ) y.

1

4

Consider the “volume maximization problem”: Construct a box (closed on all sides) of maximal volume, with sides x, y, z , given an upper bound c on the area of the boundary of the box.

5

Given an unconstrained optimization problem

min L ( u ) .

u

The “normal” FONC for optimality is

@ @ L u = 0.

But what if we only have directional derivatives instead of “normal”derivatives. What is the FONC in this case? Motivate your answer!

6

Let L 2 C 1 be convex, i.e.,

L ( u 1 + (1 ) u 2 ) L ( u 1 ) + (1 ) L ( u 2 ) ,

Assume that

@ L

@ u

(

u ? )=0.

Show that u ? is a global minimum to L .

2

8 u 1 , u 2 2 R m ,

2 [0 , 1] .