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Original Title: Optimization techniques - P vs NP

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Section 6.1

Stan Zak

January 09, 2013

Motivation

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.

Motivation

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.

Motivation

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.

Motivation

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).

Motivation

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

(Cost function or objective function)

Objective function

(Cost function or objective function)

Want to minimize f . (Smaller = better)

Objective function

(Cost function or objective function)

Want to minimize f . (Smaller = better)

= set of all possible choices.

(Feasible set)

Notation

Notation

x Rn means

x1

x2

x= , xi R

..

.

xn

Notation

x Rn means

x1

x2

x= , xi R

..

.

xn

f is a real-valued function of n variables,

n

f :R R

Example

f = f (x1 , x2 ) = x1 x2 + 7,

an example of a real-valued function of two

variables,

f : R2 R

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

Optimization problem

min f (x)

subject to x

Optimization problem

min f (x)

subject to x

What about maximization?

(Bigger = better)

Optimization problem

min f (x)

subject to x

What about maximization?

(Bigger = better)

How to solve optimization problem?

Optimization problem

min f (x)

subject to x

What about maximization?

(Bigger = better)

How to solve optimization problem?

Analytically

Optimization problem

min f (x)

subject to x

What about maximization?

(Bigger = better)

How to solve optimization problem?

Analytically

Numerically

Example: Linear regression

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

Example: Linear regression

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

Want to find the line of best fit through these

points.

Example: Linear regression

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

Want to find the line of best fit through these

points.

Best = minimize the average squared error.

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

Line of best fit

Equation of line: y = mt + c;

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

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

analytically (using least-squares theory).

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

analytically (using least-squares theory).

Related application: system identification.

Battery charger circuit

R1 R3 R5

I1 I3 I5

I2 R2 I4 R4

30 +

Volts

10 6 20

Volts Volts Volts

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

Design objective

subject to I1 = I2 + I3

I3 = I4 + I5

I1 4

I2 3

I3 3

I4 2

I5 2,

I1 , I2 , I3 , I4 , I5 0.

Solving example problem

Solving example problem

Solution: Use Simplex algorithm, or interior

point algorithm.

Example: Savings in bank

(compound).

Example: Savings in bank

(compound).

We wish to deposit some money into the bank

every month for n months, such that the total

does not exceed D dollars.

Example: Savings in bank

(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.

Example: Savings in bank

(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

Optimization problem

+ (1 + r)xn

subject to x1 + + xn D

x1 , . . . , xn 0

Inverted pendulum system

u

M

Optimal control of inverted pendulum system

sec., and balance the pendulum.

Optimal control of inverted pendulum system

sec., and balance the pendulum.

Many possible control actions.

Optimal control of inverted pendulum system

sec., and balance the pendulum.

Many possible control actions.

Choose one that minimizes control energy.

Optimal control of inverted pendulum system

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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