NL optimisation

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NL optimisation

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.

where λ = [a b c]> ,

∂f (t, x, λ) ∂f (t, x, λ)

A(T, λ0 ) = B(T, λ0 ) = .

∂x x(t,λ0 ),λ0 ∂λ x(t,λ0 ),λ0

" # " #

a 1

1+(ax1 )2

− x2 −x1 1+x21

− x2 −x1

A(t, λ0 ) = =

2bx1 −c 0 −1

x(t,λ0 ),λ0 x(t,λ0 ),λ0

" # " #

x1 x1

1+(ax1 )2

0 0 1+x21

0 0

B(t, λ0 ) = 2 = B(t, λ0 ) =

0 x1 −x2 0 x21 −x2

x(t,λ0 ),λ0 x(t,λ0 ),λ0

A2. The theorem on local and global existence end uniquenes of solution for ODEs provide

the answer in all the following cases.

1) The system is linear and in particular the vector field is globally lipschitz. This guaran-

tees existence and uniqueness in [0, +∞).

2) Expanding in taylor series the original vector field, one notices that

x2 x3

ex − 1 − x =1 + x + + + ··· − 1 − x

2 6

x2 x3

= + ( + ...).

2 | 6 {z }

≥0 for x≥0

2

In particular, as it is well konwn, the differential equation ẋ = x2 shows finite escape since the

solution for the Cauchy problem with initial condition (t0 , x0 ) has the form

2

x(t) = 2 .

t0 + x0 −t

2

Since ex − 1 − x ≥ x2 for x ≥ 0, this proves that the differential equation 2) does not admit

global solution on [0, +∞).

3) For all the x 6= 0 it is easy to show that the derivative of the vector field f (x) = e−|x| − 1 is

bounded

d

f (x) < 1 ∀x 6= 0 .

dx

The only thind that one needs to check is wheather or not the derivative of f (x) is bounded for

x = 0. One notices that

d d

lim f (x) = 1, lim f (x) = 1 .

x→0+ dx x→0− dx

1

Furthermore f (x) is continous, thus the solution exists and is unique for t ∈ [0, +∞)

√

A3. The vector field f (x) = x ≥ 0, thus if there exist a solution, this has to be monotoni-

cally increasing. In particular this means that starting from x0 = 1, one would have x(t) > 1.

The vector field is continous and f (x) Lipschitz for x > 1. Thus there exists an unique solution

to the Cauchy problem with initial data (t0 , x0 ) = (0, 1).

The answer is different if we consider the initial condition (t0 , x0 ) = (0, 0) since f (x) is not

√

even locally Lipschitz for x = 0 . By computing the derivative of x, one would find that it is

not defined for x = 0, nor bounded close to x = 0. In this case the existence and uinqueness

theorem does not hold. In particular one can find an infinite number of solution to the problem.

Two different solutions are, for example

t2

x(t) = 0 ∀t and x(t) = ∀t ≥ 0 .

4

A4.

Suppose that f1 (x) and f2 (x) are Lipschitz, i.e. ∃ L1 , L2 > 0 such that ∀x, y

|(f1 +f2 )(x)−(f1 +f2 )(y)| = |f1 (x)−f1 (y)+f2 (x)−f2 (y)| ≤ |f1 (x)−f1 (y)|+|f2 (x)−f2 (y)| ≤ (L1 +l2 )|x−y|.

= |f1 (x)f2 (x) − f1 (x)f2 (y) + f1 (x)f2 (y) − f1 (y)f2 (y)| ≤ |f1 (x)(f2 (x) − f2 (y))| + |f2 (y)(f1 (x) − f1 (y))| ≤

≤ |f1 (x)|L2 |x − y| + |f2 (y)|L1 |x − y| ≤ (|f1 (x)|L2 + |f2 (y)|L1 )(x − y) .

When |f1 (x)| ≤ M1 < ∞ and |f2 (x)| ≤ M2 < ∞, one gets the result

A5.

We want P (x) to be contractive, thus using the definition

2

This is equivalent to have

||Av|| < ρ||v||, ∀v ∈ Rn , ρ < 1.

Taking the square on both sides and rearranging one gets

||Av||2 < ρ2 ||v||2 ⇐⇒ v > A> Av < ρ2 v > v ⇐⇒ v > (A> A − ρ2 I)v < 0.

This holds if all the eigenvalues λ(At A − ρ2 I) are negative. In particular one knows that

This is equivalent to say that λ(A> A) < 1. Thus P (x) is contractive if and only if all the

singular values of A are smaller than 1.

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