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ECE 580

Basic Optimization Problem


Section 6.1

Motivation, Notation and Vocabulary


Stan Zak
January 09, 2013

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Motivation

Optimizationan act, process, or


methodology of making something (as a
design, system, or decision) as fully perfect,
functional, or effective as possible. The
mathematical procedures (as finding the
maximum of a function) involved in this.

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Motivation

Optimizationan act, process, or


methodology of making something (as a
design, system, or decision) as fully perfect,
functional, or effective as possible. The
mathematical procedures (as finding the
maximum of a function) involved in this.
Optimization making the best decision.

ECE 580Basic Optimization Problem p. 2/17


Motivation

Optimizationan act, process, or


methodology of making something (as a
design, system, or decision) as fully perfect,
functional, or effective as possible. The
mathematical procedures (as finding the
maximum of a function) involved in this.
Optimization making the best decision.
Engineering design, management, etc.

ECE 580Basic Optimization Problem p. 2/17


Motivation

Optimizationan act, process, or


methodology of making something (as a
design, system, or decision) as fully perfect,
functional, or effective as possible. The
mathematical procedures (as finding the
maximum of a function) involved in this.
Optimization making the best decision.
Engineering design, management, etc.
We focus on choices that involve real numbers
(examples later).

ECE 580Basic Optimization Problem p. 2/17


Motivation

Optimizationan act, process, or


methodology of making something (as a
design, system, or decision) as fully perfect,
functional, or effective as possible. The
mathematical procedures (as finding the
maximum of a function) involved in this.
Optimization making the best decision.
Engineering design, management, etc.
We focus on choices that involve real numbers
(examples later).
What does best mean?
ECE 580Basic Optimization Problem p. 2/17
Objective function

Measure goodness by a function f .


(Cost function or objective function)

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Objective function

Measure goodness by a function f .


(Cost function or objective function)
Want to minimize f . (Smaller = better)

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Objective function

Measure goodness by a function f .


(Cost function or objective function)
Want to minimize f . (Smaller = better)
= set of all possible choices.
(Feasible set)

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Notation

Rn denotes a set of real n-tuples

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Notation

Rn denotes a set of real n-tuples


x Rn means

x1
x2
x= , xi R

..
.
xn

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Notation

Rn denotes a set of real n-tuples


x Rn means

x1
x2
x= , xi R

..
.
xn
f is a real-valued function of n variables,
n
f :R R

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Example

f = f (x1 , x2 ) = x1 x2 + 7,
an example of a real-valued function of two
variables,
f : R2 R

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Example

f = f (x1 , x2 ) = x1 x2 + 7,
an example of a real-valued function of two
variables,
f : R2 R
" #
x1
x= 7 a = f (x1 , x2 ) R
x2

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Optimization problem

min f (x)
subject to x

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Optimization problem

min f (x)
subject to x
What about maximization?
(Bigger = better)

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Optimization problem

min f (x)
subject to x
What about maximization?
(Bigger = better)
How to solve optimization problem?

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Optimization problem

min f (x)
subject to x
What about maximization?
(Bigger = better)
How to solve optimization problem?
Analytically

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Optimization problem

min f (x)
subject to x
What about maximization?
(Bigger = better)
How to solve optimization problem?
Analytically
Numerically

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Example: Linear regression

Given points on the plane:


(t0 , y0 ), . . . , (tn , yn )

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Example: Linear regression

Given points on the plane:


(t0 , y0 ), . . . , (tn , yn )
Want to find the line of best fit through these
points.

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Example: Linear regression

Given points on the plane:


(t0 , y0 ), . . . , (tn , yn )
Want to find the line of best fit through these
points.
Best = minimize the average squared error.

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Minimizing the average squared error

16

14 mt2+c-y2

12

10

6 mt1+c-y1

2 mto+c-yo

0
0 1 2 3 4 5 t

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Line of best fit

Equation of line: y = mt + c;

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Line of best fit

Equation of line: y = mt + c;
Optimization problem: Find m and c to
n
1 X 2
min (mti + c yi )
n i=0

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Line of best fit

Equation of line: y = mt + c;
Optimization problem: Find m and c to
n
1 X 2
min (mti + c yi )
n i=0

Solution: In this case we can find the solution


analytically (using least-squares theory).

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Line of best fit

Equation of line: y = mt + c;
Optimization problem: Find m and c to
n
1 X 2
min (mti + c yi )
n i=0

Solution: In this case we can find the solution


analytically (using least-squares theory).
Related application: system identification.

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Battery charger circuit

R1 R3 R5

I1 I3 I5

I2 R2 I4 R4
30 +
Volts

Battery Battery Battery


10 6 20
Volts Volts Volts

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Charger circuit specifications

Current I1 I2 I3 I4 I5
Upper Limit (Amps) 4 3 3 2 2
Lower Limit (Amps) 0 0 0 0 0

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Design objective

Find I1 , . . . , I5 to maximize power transferred to batteries, that is,

max 10I2 + 6I4 + 20I5


subject to I1 = I2 + I3
I3 = I4 + I5
I1 4
I2 3
I3 3
I4 2
I5 2,
I1 , I2 , I3 , I4 , I5 0.

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Solving example problem

This is a linear programming problem.

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Solving example problem

This is a linear programming problem.


Solution: Use Simplex algorithm, or interior
point algorithm.

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Example: Savings in bank

Bank interest paid monthly at rate r


(compound).

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Example: Savings in bank

Bank interest paid monthly at rate r


(compound).
We wish to deposit some money into the bank
every month for n months, such that the total
does not exceed D dollars.

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Example: Savings in bank

Bank interest paid monthly at rate r


(compound).
We wish to deposit some money into the bank
every month for n months, such that the total
does not exceed D dollars.
Goal: maximize the total amount of money
accumulated at the end of n months.

ECE 580Basic Optimization Problem p. 14/17


Example: Savings in bank

Bank interest paid monthly at rate r


(compound).
We wish to deposit some money into the bank
every month for n months, such that the total
does not exceed D dollars.
Goal: maximize the total amount of money
accumulated at the end of n months.
Let xi be amount deposited in beginning of ith
month

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Optimization problem

max (1 + r)n x1 + (1 + r)n1 x2 +


+ (1 + r)xn
subject to x1 + + xn D
x1 , . . . , xn 0

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Inverted pendulum system

u
M

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Optimal control of inverted pendulum system

Wish to move the cart to a given position in 1


sec., and balance the pendulum.

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Optimal control of inverted pendulum system

Wish to move the cart to a given position in 1


sec., and balance the pendulum.
Many possible control actions.

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Optimal control of inverted pendulum system

Wish to move the cart to a given position in 1


sec., and balance the pendulum.
Many possible control actions.
Choose one that minimizes control energy.

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Optimal control of inverted pendulum system

Wish to move the cart to a given position in 1


sec., and balance the pendulum.
Many possible control actions.
Choose one that minimizes control energy.
What if control action is bounded?

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