This action might not be possible to undo. Are you sure you want to continue?

Welcome to Scribd! Start your free trial and access books, documents and more.Find out more

to minimize or maximize a real function by systematically choosing the values of real or integer variables from within an allowed set. This problem can be represented in the following way Given: a function f: A R from some set A to the real numbers Sought: an element x0 in A such that f(x0) ≤ f(x) for all x in A ("minimization") or such that f(x0) ≥ f(x) for all x in A ("maximization").

Such a formulation is called an optimization problem or a mathematical programming problem (a term not directly related to computer programming, but still in use for example in linear programming - see History below). Many real-world and theoretical problems may be modeled in this general framework. Problems formulated using this technique in the fields of physics and computer vision may refer to the technique as energy minimization, speaking of the value of the function f as representing the energy of the system being modeled. Typically, A is some subset of the Euclidean space Rn, often specified by a set of constraints, equalities or inequalities that the members of A have to satisfy. The domain A of f is

called the search space, while the elements of A are called candidate solutions or feasible solutions. The function f is called an objective function, or cost function. A feasible solution that minimizes (or maximizes, if that is the goal) the objective function is called an optimal solution. Generally, when the feasible region or the objective function of the problem does not present convexity, there may be several local minima and maxima, where a local minimum x* is defined as a point for which there exists some δ > 0 so that for all x such that the expression holds; that is to say, on some region around x* all of the function values are greater than or equal to the value at

that point. Local maxima are defined similarly. A large number of algorithms proposed for solving non-convex problems – including the majority of commercially available solvers – are not capable of making a distinction between local optimal solutions and rigorous optimal solutions, and will treat the former as actual solutions to the original problem. The branch of applied Contents mathematics [hide] and numerical analysis that is 1 Notation 2 Major subfields concerned with the development 3 Techniques of deterministic 4 Uses algorithms that 5 History are capable of 6 See also guaranteeing 6.1 Solvers 7 References

• • • • • • o • •

8 External links

convergence in finite time to the actual optimal solution of a non-convex problem is called global optimization. [edit] Notation Optimization problems are often expressed with special notation. Here are some examples: This asks for the minimum value for the objective function x2 + 1, where x ranges over the real numbers R. The minimum value in this case is 1, occurring at x = 0. This asks for the maximum value for the objective function 2x, where x ranges over the reals. In this case, there is no such maximum as the objective function is unbounded, so the answer is "infinity" or "undefined".

This asks for the value (or values) of x in the interval (−∞, −1] that minimizes (or minimize) the objective function x2 + 1 (the actual minimum value of that function does not matter). In this case, the answer is x = −1. This asks for the (x, y) pair (or pairs) that maximizes (or maximize) the value of the objective function x·cos(y), with the added constraint that x lies in the interval [−5, 5] (again, the actual maximum value of the expression does not matter). In this case, the solutions are the pairs of the form (5, 2πk) and (−5, (2k + 1)π), where k ranges over all integers. [edit] Major subfields

•

Linear programming studies the case in which the objective function f is linear and the set A is specified

•

•

•

•

using only linear equalities and inequalities. Such a set is called a polyhedron or a polytope if it is bounded. Integer programming studies linear programs in which some or all variables are constrained to take on integer values. Quadratic programming allows the objective function to have quadratic terms, while the set A must be specified with linear equalities and inequalities. Nonlinear programming studies the general case in which the objective function or the constraints or both contain nonlinear parts. Convex programming studies the case when the objective function is convex and the constraints, if any,

•

form a convex set. This can be viewed as a particular case of nonlinear programming or as generalization of linear or convex quadratic programming. Second order cone programming (SOCP). Semidefinite programming (SDP) is a subfield of convex optimization where the underlying variables are semidefinite matrices. It is generalization of linear and convex quadratic programming.

o

•

•

Stochastic programming studies the case in which some of the constraints or parameters depend on random variables. Robust programming is, as stochastic programming, an attempt to capture uncertainty in the data underlying the

•

•

•

•

optimization problem. This is not done through the use of random variables, but instead, the problem is solved taking into account inaccuracies in the input data. Combinatorial optimization is concerned with problems where the set of feasible solutions is discrete or can be reduced to a discrete one. Infinite-dimensional optimization studies the case when the set of feasible solutions is a subset of an infinite-dimensional space, such as a space of functions. Constraint satisfaction studies the case in which the objective function f is constant (this is used in artificial intelligence, particularly in automated reasoning). Disjunctive programming used where at least one constraint must

•

be satisfied but not all. Of particular use in scheduling. Trajectory optimization is the speciality of optimizing trajectories for air and space vehicles.

In a number of subfields, the techniques are designed primarily for optimization in dynamic contexts (that is, decision making over time):

•

•

•

Calculus of variations seeks to optimize an objective defined over many points in time, by considering how the objective function changes if there is a small change in the choice path. Optimal control theory is a generalization of the calculus of variations. Dynamic programming studies the case in which the optimization

strategy is based on splitting the problem into smaller subproblems. The equation that relates these subproblems is called the Bellman equation. [edit] Techniques For twice-differentiable functions, unconstrained problems can be solved by finding the points where the gradient of the objective function is zero (that is, the stationary points) and using the Hessian matrix to classify the type of each point. If the Hessian is positive definite, the point is a local minimum, if negative definite, a local maximum, and if indefinite it is some kind of saddle point. However, existence of derivatives is not always assumed and many methods were devised for specific

**situations. The basic classes of methods, based on smoothness of the objective function, are:
**

• • • •

Combinatorial methods Derivative-free methods First order methods Second-order methods

**Actual methods falling somewhere among the categories above include:
**

•

•

•

• • • •

Gradient descent aka steepest descent or steepest ascent Nelder-Mead method aka the Amoeba method Subgradient method - similar to gradient method in case there are no gradients Simplex method Ellipsoid method Bundle methods Newton's method

• • • •

Quasi-Newton methods Interior point methods Conjugate gradient method Line search - a technique for one dimensional optimization, usually used as a subroutine for other, more general techniques.

Should the objective function be convex over the region of interest, then any local minimum will also be a global minimum. There exist robust, fast numerical techniques for optimizing twice differentiable convex functions. Constrained problems can often be transformed into unconstrained problems with the help of Lagrange multipliers. Here are a few other popular methods:

• • • • • • • • • • • • •

Hill climbing Simulated annealing Quantum annealing Tabu search Beam search Genetic algorithms Ant colony optimization Evolution strategy Stochastic tunneling Differential evolution Particle swarm optimization Harmony search Bees Algorithm

[edit] Uses Problems in rigid body dynamics (in particular articulated rigid body dynamics) often require mathematical programming techniques, since you can view rigid body dynamics as attempting to solve an ordinary

differential equation on a constraint manifold; the constraints are various nonlinear geometric constraints such as "these two points must always coincide", "this surface must not penetrate any other", or "this point must always lie somewhere on this curve". Also, the problem of computing contact forces can be done by solving a linear complementarity problem, which can also be viewed as a QP (quadratic programming problem). Many design problems can also be expressed as optimization programs. This application is called design optimization. One recent and growing subset of this field is multidisciplinary design optimization, which, while useful in many problems, has in

particular been applied to aerospace engineering problems. Mainstream economics also relies heavily on mathematical programming. An often studied problem in microeconomics, the utility maximization problem, and its dual problem the Expenditure minimization problem, are economic optimization problems. Consumers and firms are assumed to maximize their utility/profit. Also, agents are most frequently assumed to be riskaverse thereby wishing to minimize whatever risk they might be exposed to. Asset prices are also explained using optimization though the underlying theory is more complicated than simple utility or profit optimization. Trade theory also uses

optimization to explain trade patterns between nations. Another field that uses optimization techniques extensively is operations research. [edit] History The first optimization technique, which is known as steepest descent, goes back to Gauss. Historically, the first term to be introduced was linear programming, which was invented by George Dantzig in the 1940s. The term programming in this context does not refer to computer programming (although computers are nowadays used extensively to solve mathematical problems). Instead, the term comes from the use of program by the United States military to refer to proposed training and logistics schedules, which

were the problems that Dantzig was studying at the time. (Additionally, later on, the use of the term "programming" was apparently important for receiving government funding, as it was associated with high-technology research areas that were considered important.) Other important mathematicians in the optimization field include:

• • • • • • • • • •

John von Neumann Leonid Vitalyevich Kantorovich Naum Z. Shor Leonid Khachian Boris Polyak Yurii Nesterov Arkadii Nemirovskii Michael J. Todd Richard Bellman Hoang Tuy

**[edit] See also
**

• • • • • • • • • • •

• • • • •

arg max Game theory Operations research Process optimization Fuzzy logic Random optimization Variational inequality Variational calculus Simplex algorithm Interior point methods Important publications in optimization Radial basis function Brachistochrone Optimization software Optimization problem Dynamic programming

[edit] Solvers

•

•

•

•

NAG Numerical Libraries-The NAG Library contains a comprehensive collection of Optimization routines, which cover a diverse set of problems and circumstances.http://www.nag.co.u k/optimization/index.asp NPSOL - a Fortran package designed to solve the nonlinear programming problem: the minimization of a smooth nonlinear function subject to a set of constraints on the variables.http://www.sbsi-soloptimize.com/asp/sol_product_nps ol.htm OpenOpt - a free toolbox with connections to lots of solvers, for Python language programmers IPOPT - an open-source primaldual interior point method NLP

•

• •

solver which handles sparse matrices KNITRO - solver for nonlinear optimization problems CPLEX Mathematica - handles linear programming, integer programming and constrained non-linear optimization problems

- 218955409 01 Advanced Bank Management (1)
- 72873463 CAIIB Super Notes Bank Financial Management Module D Balance Sheet Management RAROC and Profit Planning
- 72870971 CAIIB Super Notes Bank Financial Management Module D Balance Sheet Management Interest Rate Risk Management
- 72856508 CAIIB Super Notes Bank Financial Management Module D Balance Sheet Management Liquidity Management
- 72808197 CAIIB Super Notes Bank Financial Management Module D Balance Sheet Management Asset Classification and Provisioning Norms (1)
- 72685432 CAIIB Super Notes Bank Financial Management Module D Balance Sheet Management Capital Adequacy the Basel II Overview
- 72534045 CAIIB Super Notes Bank Financial Management Module a International Banking Basics of Forex Derivatives
- 72490031 CAIIB Super Notes Advanced Bank Management Module C Human Resource Management Human Implications of Organisations
- 72479149 CAIIB Super Notes Advanced Bank Management Module C Human Resource Management Development of Human Resources
- 72413150 CAIIB Super Notes Advanced Bank Management Module C Human Resource Management Fundamentals of Human Resource Management
- 72238255 CAIIB Super Notes Advanced Bank Management Module a Economic Analysis Fundamentals of Economics Microeconomics and Macroeconomics and Type of Eco
- 47070401 Caiib Riskmgt Modc
- 93499_634217961899848750_2
- Security Assistant Executive Sample Paper 2
- Security Assistant Executive Sample Paper 1
- Security Assistant Executive Question Paper 4 2008
- Security Assistant Executive Question Paper 3 2008
- Security Assistant Executive Question Paper 2 2008
- Security Assistant Executive Question Paper 1 2008
- acio papars
- 2011
- SSC CGL 2011 Exam Question Paper Held on 19-06-2011 First Sitting Www.sscportal.in
- SSC-CGL
- AnswerkeySSCGeneralAwareness2011CGL-26June2011
- 48630449 Modern Control Theory

by tuniya4

- A Survey of Multi Objective Optimization
- PROGRESS IN TOPOLOGY OPTIMIZATION WITH MANUFACTURING CONSTRAINTS
- Interpreting the Result of Linear Optimization
- [IJCST-V3I6P7]:Devyani Chatterji, U. B. Gothi
- MEC-003 QT 2014
- Spare Parts
- Robust Opt - Fac Loc Sel
- Stochastic GP With Multiplicative Recourse
- Stochastic Order Level Inventory Model with Inventory Returns and Special Sales
- Lect Class 4
- 10.1.1.127.9492
- 10.1.1.132
- A 01201015
- TME 601
- asa92_saga.pdf
- ACO2
- Chapter 07 Good Practice for Fatigue Crack Growth Curves Description
- 1563457
- ED
- Root Finding 2
- Open Methods
- Numerical Method
- CHAPTER 6 OPEN METHODS
- Dynamic Simulator of a Rougher Flotation Circuit for a Copper Sulphide Ore
- 2009 RAMS Warranty Prediction Random Stresses
- Fuzzy Fault Tree Analysis for Fault Diagnosis of Cannula Fault in Power Transformer
- Exploration of numerical Root finding
- Euler Methods
- IEB paper
- Particle Swarm Optimization Technique With Time Varying Acceleration Coefficients for Load Dispatch Problem

Are you sure?

This action might not be possible to undo. Are you sure you want to continue?

We've moved you to where you read on your other device.

Get the full title to continue

Get the full title to continue listening from where you left off, or restart the preview.

scribd