MATH 164 Optimization

Assignment 1

• Due: April 16. Late homeworks will not be accepted.

1. Let a, x ∈ Rn , consider the functions f (x) = a> x and g(x) = (a> x)2 .
(a) Find ∇f (x) and the Hessian Hf (x).
(b) Show that g(x) is a quadratic form.
(c) Find ∇g(x) and Hg (x) using part (b).
2. Let f (x) = x> Qx be quadratic form, where Q ∈ Rn×n is NOT symmetric. Show
that ∇f (x) = (Q + Q> )x and Hf (x) = Q + Q> . You may use the result for
symmetric matrix without proof. (Hint: x> Qx = x> Q> x)
3. Consider the function f : R2 → R:
   >
> 1 0 4
f (x) = x x+ x + π.
6 5 8
and the point x∗ = [1, 1]> .
(a) Find the ∇f (x∗ ) and Hf (x∗ ).
(b) Find the unit-normed vector (direction) d that minimizes the directional
∂f
derivative ∂d (x∗ ).
(c) Find a point that satisfies the FONC for f . Does this point satisfy the SONC?
4. Consider the problem
min −x2 + π subject to x1 ≥ x22 , |x2 | ≥ 1.
x1 ,x2

(a) Find all point(s) satisfying the FONC.

(b) Which of the point(s) in part(a) satisfy the SONC?
(c) Which of the point(s) in part(a) are local minimizers?

5. Suppose f : Rn → R is differentiable. Let d ∈ Rn with kdk = 1, show that

h∇f (x), di ≥ −k∇f (x)k.
For what d the equality holds?