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- Notes on Optimization and Pareto Optimality
- Tutorial_02&03_MA1020_2009_0
- Matrices
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- Integrable and Nonintegrable
- Arai_Tachi_1991
- Inverse
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- An iterative Method for the displacement analysis of spatial mechanisms
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- IMPROVING THE ACCURACY OF COMPUTED SINGULAR VALUES
- 757512117split Up Syllabus(All Xi & Xii)

You are on page 1of 5

We first record a very useful fact:

Theorem 1. Let A Rn be an open subset. Let f : A Rm and g : A Rm be

two functions and suppose that p A. Let A be a scalar.

If f and g are differentiable at p, then

(1) f + g is differentiable at p and D(f + g)(p) = Df (p) + Dg(p).

(2) f is differentiable at p and D(f )(p) = D(f )(p).

Now suppose that m = 1.

(3) f g is differentiable at p and D(f g)(p) = D(f )(p)g(p) + f (p)D(g)(p).

(4) If g(p) 6= 0, then f g is differentiable at p and

D(f /g)(p) =

.

g 2 (p)

If the partial derivatives of f and g exist and are continuous, then (1) follows

from the well-known single variable case. One can prove the general case of (1), by

hand (basically lots of s and s). However, perhaps the best way to prove (1) is

to use the chain rule, proved in the next section.

What about higher derivatives?

Blackboard 2. Let A Rn be an open set and let f : A R be a function.

The kth order partial derivative of f , with respect to the variables xi1 , xi2 ,

. . . xik is the iterated derivative

kf

(

(. . .

(

) . . . ))(p).

(p) =

xik xik1 . . . xi2 xi1

xik xik1

xi2 xi1

We will also use the notation fxik xik1 ...xi2 xi1 (p).

Example 3. Let f : R2 R be the function f (x, t) = eat cos x.

Then

at

( (e

cos x))

fxx (x, t) =

x x

=

(eat sin x)

x

= eat cos x.

On the other hand,

at

( (e

cos x))

x t

=

(aeat cos x)

x

= aeat sin x.

fxt (x, t) =

Similarly,

at

( (e

cos x))

t x

= (eat sin x)

t

= aeat sin x.

ftx (x, t) =

Note that

ft (x, t) = aeat cos x.

It follows that f (x, t) is a solution to the Heat equation:

f

2f

=

.

2

x

t

Blackboard 4. Let A Rn be an open subset and let f : A Rm be a function.

We say that f is of class C k if all kth partial derivatives exist and are continuous.

We say that f is of class C (aka smooth) if f is of class C k for all k.

a

Theorem 5. Let A Rn be an open subset and let f : A Rm be a function.

If f is C 2 , then

2f

2f

=

,

xi xj

xj xi

for all 1 i, j n.

The proof uses the Mean Value Theorem.

Suppose we are given A R an open subset and a function f : A R of class

C 1 . The objective is to find a solution to the equation

f (x) = 0.

Newtons method proceeds as follows. Start with some x0 A. The best linear

approximation to f (x) in a neighbourhood of x0 is given by

f (x0 ) + f 0 (x0 )(x x0 ).

If f 0 (x0 ) 6= 0, then the linear equation

f (x0 ) + f 0 (x0 )(x x0 ) = 0,

has the unique solution,

f (x0 )

.

f 0 (x0 )

Now just keep going (assuming that f 0 (xi ) is never zero),

x1 = x0

f (x0 )

f 0 (x0 )

f (x1 )

x2 = x1 0

f (x1 )

.. ..

.=.

x1 = x0

xn = xn1

f (xn1 )

.

f 0 (xn1 )

Then f (x ) = 0.

Proof of (6). Indeed, we have

xn = xn1

f (xn1 )

.

f 0 (xn1 )

x = x

f (x )

,

f 0 (x )

we used the fact that f and f 0 are continuous and f 0 (x ) 6= 0. But then

f (x ) = 0,

as claimed.

C (that is, suppose each of the coordinate functions f1 , . . . , fn is C 1 ).

The objective is to find a solution to the equation

f (p) = ~0.

1

Blackboard 7. The identity n-by-n matrix In has 1s on the diagonal and zeros

elsewhere. Let A be an n-by-n matrix.

Claim: IA = AI = A.

An n-by-n matrix B is an inverse of A if AB = BA = I. A is invertible if

it has an inverse.

Blackboard 8. Let

A=

a

c

b

.

d

Claim 9. If det A 6= 0 then

B=

1

det A

d b

.

c a

Blackboard 10. One can also define determinants for nn matrices. It is probably

easiest to explain the general rule using an example:

1 0 0 2

2 0 1

2 0 1 1 0 1 1

1 2 1 1 = 2 1 1 2 1 2 1 .

1 0 1

0 1 0

0 1 0 1

Notice that we as expand about the top row, the sign alternates + +, so that the

last term comes with a minus sign.

Claim 11. Let A be an n-by-n matrix. If det A 6= 0 then A has a unique inverse.

Back to solving f (p) = ~0. Start with any point p0 A. The best linear approximation to f at p0 is given by

.

f (p ) + Df (p )

pp

0

Assume that Df (p0 ) is an invertible matrix, that is, assume that det Df (p0 ) 6= 0.

Then the inverse matrix Df (p0 )1 exists and the unique solution to the linear

equation

= ~0,

f (p0 ) + Df (p0 )

pp

0

is given by

p1 = p0 Df (p0 )1 f (p0 ).

Notice that matrix multiplication is not commutative, so that there is a difference

between Df (p0 )1 f (p0 ) and f (p0 )Df (p0 )1 . If possible, we get a sequence of

solutions,

p1 = p0 Df (p0 )1 f (p0 )

p2 = p1 Df (p1 )1 f (p1 )

.. ..

.=.

pn = pn1 Df (pn1 )1 f (pn1 ).

Suppose that the limit p = limn pn exists and that Df (p ) is invertible.

As before, if we take the limit of both sides, this implies that

f (p ) = ~0.

Let us try a concrete example.

Example 12. Solve

x2 + y 2 = 1

y 2 = x3 .

First we write down an appropriate function, f : R2 R2 , given by f (x, y) =

(x + y 2 1, y 2 x3 ). Then we are looking for a point p such that

2

Then

2x

3x2

Df (p) =

2y

.

2y

4xy + 6x2 y = 2xy(2 + 3x).

Now if we are given a 2 2 matrix

a

c

b

,

d

1

d b

.

ad bc c a

So

Df (p)1 =

1

2xy(2 + 3x)

2y

3x2

2y

2x

So,

1

Df (p)

2

1

2y 2y

x + y2 1

f (p) =

y 2 x3

2xy(2 + 3x) 3x2 2x

1

2x2 y 2y + 2x3 y

=

2xy(2 + 3x) x4 + 3x2 y 2 3x2 + 2xy 2

One nice thing about this method is that it is quite easy to implement on a

computer. Here is what happens if we start with (x0 , y0 ) = (5, 2),

(x0 , y0 ) = (5.00000000000000, 2.00000000000000)

(x1 , y1 ) = (3.24705882352941, 0.617647058823529)

(x2 , y2 ) = (2.09875150983980, 1.37996311951634)

(x3 , y3 ) = (1.37227480405610, 0.561220968705054)

(x4 , y4 ) = (0.959201654346683, 0.503839504009063)

(x5 , y5 ) = (0.787655203525685, 0.657830227357845)

(x6 , y6 ) = (0.755918792660404, 0.655438554539110),

and if we start with (x0 , y0 ) = (5, 5),

(x0 , y0 ) = (5.00000000000000, 5.00000000000000)

(x1 , y1 ) = (3.24705882352941, 1.85294117647059)

(x2 , y2 ) = (2.09875150983980, 0.363541705259258)

(x3 , y3 ) = (1.37227480405610, 0.306989760884339)

(x4 , y4 ) = (0.959201654346683, 0.561589294711320)

(x5 , y5 ) = (0.787655203525685, 0.644964218428458)

(x6 , y6 ) = (0.755918792660404, 0.655519172668858).

One can sketch the two curves and check that these give reasonable solutions.

One can also check that (x6 , y6 ) lie close to the two given curves, by computing

x26 + y62 1 and y62 x36 .

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