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Teaching Assistant: Zirui Zhou Feb. 11th, 2014

R

a. x1 + x2 + · · · + xN = a, a > 0;

b. xi ≥ 0.

(2) Using the result of (1), establish the arithmetic–geometric mean inequality, i.e.,

x1 + x2 + · · · + xN N

≥ x1 x2 · · · xN ,

N

for xi ≥ 0, with equality only if x1 = x2 = · · · = xN .

Answers:

(1) Let us first consider the case N = 1, and it is easy to see that f1 (a) = a. Now, we move one

step, say N = 2. By the description of the problem, we have

x1 +x2 =a,

x1 ≥0,x2 ≥0

Since x̄2 is arbitrary, then for any feasible x2 the above relationship holds. As result, we have

following equivalence,

x1 +x2 =a, 0≤x≤a

x1 ≥0,x2 ≥0

We see that, when N = 2, the original problem can be reformulated as a dynamic program-

ming problem. Now we assume that

0≤x≤a

By definition, we have

fN (a) = max [x1 x2 · · · xN ] .

x1 +x2 +···+xN =a,

xi ≥0, i=1,2,...,N

1

Let x∗1 , x∗2 , . . . , x∗N denote the optimal solutions of fN (a), and x̂1 , x̂2 , . . . , x̂N denote the opti-

mal solutions of the dynamic programming we assumed. The following two inequalities are

easily verified by the optimality,

max xfN −1 (a − x) = x̂1 x̂2 · · · x̂N ≤ max [x1 x2 · · · xN ] = x∗1 x∗2 · · · x∗N ,

0≤x≤a x1 +x2 +···+xN =a,

xi ≥0, i=1,2,...,N

max [x1 x2 · · · xN ] = x∗1 x∗2 · · · x∗N ≤ x∗N fN −1 (a−x∗N ) ≤ max xfN −1 (a−x) = x̂1 x̂2 · · · x̂N .

x1 +x2 +···+xN =a, 0≤x≤a

xi ≥0, i=1,2,...,N

Thus this two problems are equivalent. In summary, we have the original problem be formu-

lated as the following dynamic programming problem

0≤x≤a

with f1 (a) = a.

(2) Let us exploit more structures of the dynamic reformulation. Now f2 (a) = max0≤x≤a xf1 (a −

x) = max0≤x≤a x(a − x), which is to maximize an univariate quadratic function over the

2

interval [0, a]. And it is easy to see the optimal f2 (a) = a4 , when x1 = x2 = a2 . We guess that

aN

fN (a) = , with x1 = x2 = · · · = xN .

NN

We prove the above guess by mathematical induction. Since we already proved the case

N = 2, let us suppose the following holds

aN −1 |

fN −1 (a) = , with x1 = x2 = · · · = xN −1 .

(N − 1)N −1

By the result of (1), we have

(a − x)N −1

fN (a) = max xfN −1 (a − x) = max x .

0≤x≤a 0≤x≤a (N − 1)N −1

(a−x) N −1

Now the problem becomes to maximize a univariate nonlinear function f (x) = x (N −1)N −1

over

(a−x) (a−x) N −1 N −2

the interval [0, a]. Let us compute the first order derivative f 0 (x) = (N −1)N −1

− x (N −1)N −2

,

and set it to zero we have

a−x

(a − x)N −2 (x − ) = 0.

N −1

Then we have x = a or x = Na . Clearly we can not have x = a, otherwise the objective value

will be 0. Then we have x = Na , and by the inductive hypothesis we have the rest xi = Na ,

which results in

aN

fN (a) = N , with x1 = x2 = · · · = xN .

N

By the above result, we have

x1 + x2 + · · · + xN N

x1 x2 · · · xN ≤ fN (x1 + x2 + · · · + xN ) = ,

N

and the equality holds when x1 = x2 = · · · = xN .

2

Example 2 Let us define the function

N

xpi ,

X

fN (a) = min

R

i=1

PN

a. i=1 xi ≥ a, a > 0;

b. xi ≥ 0, i = 1, 2, . . . , N.

0≤x≤a

with f1 (a) = ap .

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