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Module - 2 Lecture Notes - 3 Optimization of Functions of Multiple Variables: Unconstrained Optimization
Module - 2 Lecture Notes - 3 Optimization of Functions of Multiple Variables: Unconstrained Optimization
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 given below.
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 defined below must be equal to zero.
i.e. the gradient vector of f(X), x f at X=X*, defined as follows, must be equal to zero:
f
x ( *)
1
x ( *)
2
= 0
x f =
( *)
dxn
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The proof given for the theorem on necessary condition for single variable optimization can
be easily extended to prove the present condition.
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:
(i)
(ii)
f ( * + h) = f ( *) + hi
i =1
df
1 n n
2 f
( *) + hi h j
dxi
2! i =1 j =1
xi x j
=*+ h
0< <1
Since X* is a stationary point, the necessary condition gives
df
= 0,
dxi
i = 1,2,,n
Thus
f ( * + h) f ( *) =
1 n n
2 f
h
h
i j x x
2! i =1 j =1
i
j
=*+ h
For a minimization problem the left hand side of the above expression must be positive.
Since the second partial derivative is continuous in the neighborhood of X* the sign of
2 f xi x j = * + h is the same as the sign of 2 f xi x j = * . And hence
f ( * + h) f ( *) will be a relative minimum, if
f ( * + h) f ( *) =
1 n n
2 f
h
h
i j x x
2! i =1 j =1
i
j
=*
Q = hT Hh
X=X*
where
H X=X*
2 f
=
xi x j
=*
is the matrix of second partial derivatives and is called the Hessian matrix of f(X).
D Nagesh Kumar, IISc, Bangalore
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Q will be positive for all h if and only if H is positive definite at X=X*. i.e. the sufficient
condition for X* to be a relative minimum is that the Hessian matrix evaluated at the same
point is positive definite, which completes the proof for the minimization case. In a similar
manner, it can be proved that the Hessian matrix will be negative definite if X* is a point of
relative maximum.
A matrix A will be positive definite if all its eigenvalues are positive. i.e. all values of that
satisfy the equation
A I = 0
should be positive. Similarly, the matrix A will be negative definite if its eigenvalues are
negative. When some eigenvalues are positive and some are negative then matrix A is neither
positive definite or negative definite.
When all eigenvalues are negative for all possible values of X, then X* is a global maximum,
and when all eigenvalues are positive for all possible values of X, then X* is a global
minimum.
If some of the eigenvalues 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.
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
f
( *)
x1
2 x1 + 2 x2 + 2 x3 + 4 0
f
= 0
x f =
2 x2 + 2 x1
( *) =
x2
2 x + 2 x 5 0
3
1
f
(
*)
x3
2;
=
2;
= 2
x12
x2 2
x32
2 f
2 f
=
=2
x1x2 x2 x1
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2 f
2 f
=
=0
x2 x3 x3x2
2 f
2 f
=
=2
x3x1 x1x3
Hessian of f(X) is
2 f
H=
xi x j
2 2 2
H = 2 2 0
2 0 2
+2
I - H = 2
2
or
2
2
+2
0 =0
0
+2
( + 2)[ 2 + 4 + 4 4 + 4] = 0
( + 2)3 = 0
or 1 = 2 = 3 = 2
Since all eigenvalues are negative the function attains a maximum at the point
X*=[1/2, 1/2, -2]
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