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Optimization using Calculus

Optimization of
Functions of Multiple
Variables: Unconstrained
Optimization

1 D Nagesh Kumar, IISc Optimization Methods: M2L3


Objectives

 To study functions of multiple variables, which are more difficult to


analyze owing to the difficulty in graphical representation and
tedious calculations involved in mathematical analysis for
unconstrained optimization.
 To study the above with the aid of the gradient vector and the
Hessian matrix.
 To discuss the implementation of the technique through examples

2 D Nagesh Kumar, IISc Optimization Methods: M2L3


Unconstrained optimization

 If a convex function is to be minimized, the stationary point is the


global minimum and analysis is relatively straightforward as
discussed earlier.

 A similar situation exists for maximizing a concave variable function.

 The necessary and sufficient conditions for the optimization of


unconstrained function of several variables are discussed.

3 D Nagesh Kumar, IISc Optimization Methods: M2L3


Necessary condition

 In case of multivariable functions a necessary condition for a


stationary point of the function f(X) is that each partial derivative is
equal to zero. In other words, each element of the gradient vector  x f
defined below must be equal to zero. i.e. the gradient vector of f(X),
at X=X*, defined as follows, must be equal to zero:
 f * 
 x (  )
 1 
 f * 
 x (  )
x f   0
2

 
 
 
 f 
 (  *
) 
 dxn 
4 D Nagesh Kumar, IISc Optimization Methods: M2L3
Sufficient condition

 For a stationary point X* to be an extreme point, the matrix of second


partial derivatives (Hessian matrix) of f(X) evaluated at X* must be:
 positive definite when X* is a point of relative minimum, and
 negative definite when X* is a relative maximum point.

 When all eigen values are negative for all possible values of X, then
X* is a global maximum, and when all eigen values are positive for
all possible values of X, then X* is a global minimum.
 If some of the eigen values of the Hessian at X* are positive and some
negative, or if some are zero, the stationary point, X*, is neither a
local maximum nor a local minimum.

5 D Nagesh Kumar, IISc Optimization Methods: M2L3


Example

Analyze the function f ( x)   x12  x22  x32  2 x1 x2  2 x1 x3  4 x1  5 x3  2


and classify the stationary points as maxima, minima and points of
inflection
Solution

6 D Nagesh Kumar, IISc Optimization Methods: M2L3


Example …contd.

7 D Nagesh Kumar, IISc Optimization Methods: M2L3


Example …contd.

8 D Nagesh Kumar, IISc Optimization Methods: M2L3


Theorem. The eigenvalues of a triangular matrix are its diagonal entries

Proof: Let the triangular matrix be


 a11 a12 a1n 
0 a a 
A 22 2n 

 
 
 0 0 a nn 

The characteristic equation of A is


 a11   a12 a1n 
 0 a22   a2 n 
det  0
 
 
 0 0 ann   
or (a11 -  )(a22 -  ) (ann -  )  0
Hence 1  a11' ,  2  a22' ,  n  ann ' .
Example:
1 1
A 
 2 4 
The characteristic equation of A is
1   1 
det(A- I) = det   0
 2 4  
(1   )(4   )  2  0
 2  5  6  0
The eigenvalues are therefore
1  2, 2  3
Example …contd.

11 D Nagesh Kumar, IISc Optimization Methods: M2L3


Thank you

12 D Nagesh Kumar, IISc Optimization Methods: M2L3