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Optimisation notes for economists

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William Matcham

August 14, 2014

Contents

1 Introduction to Optimisation

1.1 Basic Problems . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1.2 First Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

2

2

3

2 Continuous Optimisation

Introduction

These notes are formed primarily from the excellent lecture notes for the LSE course MA208,

Optimisation Theory. Many thanks therefore go to Luitgard Veraart, Bernhard Von Stengel

and Jan van den Heuvel for producing such an excellent set of notes to learn optimisation

from. We almost exactly follow chapters 1 and 3 from these notes, leaving out 2 and 4 as

they are not of interest to the micro theoretician. The main reference for that course is the

textbook Sundaram (1996).

Introduction to Optimisation

1.1

Basic Problems

6 0.

The function f is the objective function and D the constraint set.

The optimisation problems are

Maximise f (x) subject to x D

Minimise f (x) subject to x D

(1.1)

(1.2)

f (x ) f (x),

x D

We call x a global maximiser of f on D.

We call f (x ) the global maximum of f on D

The set of all solutions to (1.1) is denoted

argmax {f (x) : x D} := {x D : f (x ) f (x),

x D}

f (x ) f (x),

x D

We call x a global maximiser of f on D.

We call f (x ) the global minimum of f on D

The set of all solutions to (1.2) is denoted

argmin {f (x) : x D} := {x D : f (x ) f (x),

x D}

Notice that there is a difference between a solution and the solutions, or the set of

solutions. Furthermore, notice that the global maximum, if it exists, is unique, whereas the

global maximiser need not be. Also realise that quite often there will be no solution at all;

the set of solutions is the empty set in that case.

Example 3

2

D = [0, ),

f : D 7 R, f (x) = x

argmax {f (x) : x D} =

argmin {f (x) : x D} = {0}. In this case, the unique global minimiser is x = 0

and the global minimum is f (0) = 0.

Example 4

f : D 7 R, f (x) = x2

argmax {f (x) : x D} = {1, 1}. Here, the global maximisers are x = 1 and the

global maximum is f (1) = f (1) = 1.

argmin {f (x) : x D} = {0}. In this case, the unique global minimiser is x = 0

and the global minimum is f (0) = 0.

D = [1, 1],

Example 5

D = R,

f : D 7 R,

f (x) = 5

argmax {f (x) : x D} = R. Here, every point is a global maximiser and the global

maximum is 5.

argmin {f (x) : x D} = R. In this case, every point in R is a global minimiser and

the global minimum is 5.

Example 6

D = {A, B, C},

f : D 7 R,

0

f (x) = 7

if x = A

if x = B .

if x = C

argmax {f (x) : x D} = {B}. The unique global maximiser is B, and the global

maximum is f (B) = 7.

argmax {f (x) : x D} = {A}. The unique global minimiser is A, and the global

minimum is f (A) = 0.

1.2

First Results

Theorem 7. Let x D. Then

x is a maximiser on f in D x is a minimiser on -f in D

Proof. We have

x is a maximiser on f in D x0 D, f (x) f (x0 )

x0 D, f (x) f (x0 )

is a minimiser on -f in D

Theorem 8. Suppose that D =

6 is finite. Then every function f : D 7 R attains a

maximum on D.

Proof. We prove this result by induction on |D|.

S

Theorem 9. Suppose we can write D as a finite union of sets, D = ki=1 Di . Suppose that

f attains a maximum on each and every Di . Then f attains a maximum on D.

Proof. Suppose that

i = 1, . . . , k,

xi Di

s.t. x Di ,

f (xi ) f (x)

k

[

Di

s.t. x

i=1

k

[

Di ,

f (

x) f (x)

i=1

D = xi : i {1, . . . , k}

Then by Theorem 8, since D is finite, the function

f : D 7 R attains aSmaximum on D.

Sk

Denote this element x. Since x D and D i=1 Di , we have that x ki=1 Di . Then by

definition,

f (

x) f (xi ), i = 1, . . . , k

and

f (xi ) f (x),

x Di

f (

x) f (x),

k

[

Di

i=1

As required.

The counterexample here is provided by the singleton sets Di = {i}, for i N. Since each

of these sets is finite, the function f (x) = x attains a maximum on every Di , yet it is clear

that the function does not attain a maximum on their union N.

Continuous Optimisation

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