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You are on page 1of 34

Hasin Yousaf

Week 5

Optimization

Overview of today’s lecture

Optimization

• n-th derivative

• Taylor expansion

Optimum Values and Extreme Values

nomics is the goal of maximizing something or minimizing some-

thing.

• Utility maximizing

• Revenue maximizing

• Cost minimizing

under the general heading of optimization.

• Dependent variable which represents the object of optimization

• Independent variable(s) which represent the choice variables to be

chosen

Optimum Values and Extreme Values

• Objective function: Π(Q) = R(Q) − C(Q)

• Dependent variable: Profit Π

• Independent variable: Quantity Q

y = f (x)

and attempt to find a procedure for finding the level of x that will

maximize or minimize the value of y.

Absolute Maximium/ Minimum

f (x̄) ≥ f (x)

for all x.

f (x) ≤ f (x)

for all x.

Relative Maximium/ Minimum

Br (x̄) about x̄ such that

f (x̄) ≥ f (x)

Br (x) about x such that

f (x) ≤ f (x)

Relative Versus Absolute Extremum

10

D

8

B

6

y

4

C

2

A

0 2 4 6 8 10

x

• A: Absolute Minimum

• B: Local Maximum

• C: Local Minimum

• D: Absolute Maximum

First-Derivative Test

play a major role in finding the extremum values.

• This is due to the fact that if a relative extremum of the function

occurs at x = x0 , then it is characterized by a zero slope, i.e.

f 0 (x0 ) = 0.

10

B

6

y

C

2

0 2 4 6 8 10

x

First-Derivative Test

(first-order condition: FOC) and

1. x0 is a relative maximum if f 0 (x) changes sign from + to −

from the immediate left of x0 to its immediate right,

from the immediate left of x0 to its immediate right,

if f 0 (x) maintains the same sign on both the immediate left

and immediate right of x0 .

Note that f 0 (x0 ) = 0 is the necessary condition, and the change of

sign is the sufficient condition for existence of a relative extremum x0

(relative max or min).

First-Derivative Test

10

x0

6

(+) (−)

y

0 2 4 6 8 10

x

The point x0 is a critical point since f 0 (x0 ) = 0. It is also a relative

maximum since f 0 (x) changes sign from + to − from the immediate

left to the immediate right of x0 .

First-Derivative Test

10

6

y

(−) (+)

4

x0

2

0 2 4 6 8 10

x

The point x0 is a critical point since f 0 (x0 ) = 0. It is also a relative

minimum since f 0 (x) changes sign from − to + from the immediate left

to the immediate right of x0 .

First-Derivative Test

10

8

(+)

6

x0

y

(+)

2

0 2 4 6 8 10

x

point since f 0 (x) maintains a constant sign on both the immediate left

and the immediate right of x0 .

Derivative of a Derivative

function. If f 0 (x) is differentiable, we denote its derivative by f 00 (x),

and call it the second derivative of f . This generalizes to higher order

derivatives:

dy

• f 0 (x) = dx : first derivative

d2 y

• f 00 (x) = dx2 : second derivative

dn y

• f n (x) = dxn : nth derivative

Exercise

x

Find the first four derivatives of the function f (x) = 1+x .

Interpretation of the Second Derivative

of the function f (x).

the rate of change of the first derivative, i.e. the slope of f (x).

( (

f 0 (x0 ) > 0 increase

• ⇒ the value of the function, f (x), tends to

f 0 (x0 ) < 0 decrease

( (

f 00 (x0 ) > 0 0 increase

• ⇒ the slope of the curve, f (x), tends to

f 00 (x0 ) < 0 decrease

Interpretation of the Second Derivative

• f 0 (x) > 0 and f 00 (x) > 0 ⇒ the slope of the curve is positive and

increasing, so f (x) is increasing at an increasing rate.

• f 0 (x) > 0 and f 00 (x) < 0 ⇒ the slope of the curve is positive but

decreasing, f (x) is increasing at a decreasing rate.

but we must be a little more careful:

• f 0 (x) < 0 and f 00 (x) > 0 ⇒ the slope of the curve is negative and

increasing, but this means the slope is changing to a larger number.

In other words, the negative slope becomes less steep as x increases.

• f 0 (x) < 0 and f 00 (x) < 0 ⇒ the slope of the curve is negative

and decreasing, and so the negative slope becomes steeper as x

increases.

Second-Derivative Test

f 0 (x0 ) = 0, the value of the function at x0 , f (x0 ), will be

f 00 (x0 ) < 0.

f 00 (x0 ) > 0.

equivocal conclusion can be drawn in the event that f 00 (x0 ) = 0. For

then, the value f (x0 ) can be either a relative maximum, or a relative

minimum, or even an inflection value. Then, we must either revert to

the first-derivative test, or another test which we will develop later.

Second-Derivative Test

and classify them.

1

f 0 (x) = 8x − 1 = 0 ⇒ x0 = is a critical point

8

1

f 00 (x) = 8 > 0 ⇒ x0 = is a relative minimum

8

points and classify them.

00

g (0) = −6 < 0 =⇒ x2 = 0 is a relative maximum

N th Derivative Test

derivative in x0 encountered in successive derivations is that of

the nth derivative; the stationary value f (x0 ) will be

1. relative maximum if n is an even number and f (n) (x0 ) < 0;

2. relative minimum if n is an even number and f (n) (x0 ) > 0;

3. inflection point if n is an odd number.

Exercise

Concavity and Convexity of Functions

joining any pair of points x1 and x2 on the curve f (x) lies

above or coincides with the curve. The function f (x) is

strictly convex if the line segment lies entirely above the

curve.

joining any pair of points x1 and x2 on the curve f (x) lies

below or coincides with the curve. The function f (x) is

strictly convex if the line segment lies entirely below the

curve.

Concavity and Convexity of Functions

10

6

y

0 2 4 6 8 10

x

The function y = f (x) is strictly convex since the line segment joining

any pair of points on f (x) lies entirely above the curve.

Concavity and Convexity of Functions

10

6

y

0 2 4 6 8 10

x

The function y = f (x) is strictly concave since the line segment joining

any pair of points on f (x) lies entirely below the curve.

Testing for the Concavity and Convexity of Functions

function.

function.

For example, the functionf (x) = 4x2 + 5 is strictly convex since f 00 (x) =

8 > 0.

√

For example, the function f (x) = x is strictly concave on its domain

[0, +∞) since f 00 (x) = − 14 x−3/2 < 0.

Maclaurin Series of a Polynomial Function

f (x) = a0 + a1 x + a2 x2 + a3 x3 + a4 x4 + · · · + an xn

f 00 (x) = 2a2 + 3(2)a3 x + 4(3)a4 x2 + · · · + n(n − 1)an xn−2

f 000 (x) = 3(2)a3 + 4(3)(2)a4 x + · · · + n(n − 1)(n − 2)an xn−3

f (4) (x) = 4(3)(2)a4 + 5(4)(3)(2)a5 x + · · · + n(n − 1)(n − 2)(n − 3)an xn−4

..

.

f (n) (x) = n(n − 1)(n − 2)(n − 3)...(3)(2)(1)an

Maclaurin Series of a Polynomial Function

become:

f 0 (0)

f 0 (0) = a1 = 1!a1 ⇒ a1 =

1!

00 f 00 (0)

f (0) = 2a2 = 2!a2 ⇒ a2 =

2!

f 000 (0)

f 000 (0) = 3(2)a3 = 3!a3 ⇒ a3 =

3!

f (4) (0)

f (4) (0) = 4(3)(2)a4 = 4!a4 ⇒ a4 =

4!

..

.

f (n) (0)

f (n) (0) = n(n − 1)(n − 2)(n − 3)...(3)(2)(1)an = n!an ⇒ an =

n!

Maclaurin Series of a Polynomial Function

Using factorials we can express the given function f (x) as a new, equiv-

alent, same-degree polynomial - the coefficients are expressed in terms

of derivatives evaluated at x = 0. This series is called the Maclaurin

series:

f (x) = + x+ x + x + x +· · ·+ x

0! 1! 2! 3! 4! n!

Exercise

f (x) = 2 + 4x + 3x2

Taylor Series of a Polynomial Function

f (x) = a0 + a1 x + a2 x2 + a3 x3 + a4 x4 + · · · + an xn

f 00 (x) = 2a2 + 3(2)a3 x + 4(3)a4 x2 + · · · + n(n − 1)an xn−2

f 000 (x) = 3(2)a3 + 4(3)(2)a4 x + · · · + n(n − 1)(n − 2)an xn−3

f (4) (x) = 4(3)(2)a4 + 5(4)(3)(2)a5 x + · · · + n(n − 1)(n − 2)(n − 3)an xn−4

..

.

f (n) (x) = n(n − 1)(n − 2)(n − 3)...(3)(2)(1)an

Taylor Series of a Polynomial Function

Using factorials we can express the given function f (x) as a new, equiva-

lent, same-degree polynomial - the coefficients are expressed in terms of

derivatives evaluated at x = x0 . This series is called the Taylor series:

f (x) = + (x−x0 )+ (x−x0 )2 +· · ·+ (x−x0 )n

0! 1! 2! n!

Exercise

f (x) = 2 + 4x + 3x2

Expansion of an Arbitrary Function

polynomial - in a polynomial form, provided that the function has finite

and continuous derivatives up to the desired order at the expansion x0 .

at the point x = x0 . Then, the nth order Taylor polynomial at

the point x = x0 is given by

n

φ(x) = + (x − x0 ) + · · · + (x − x0 ) + Rn

0! 1! n!

φ(x) = Pn + Rn

denotes the remainder.

Expansion of an Arbitrary Function

1

function φ(x) = 1+x at x0 = 1.

−1

φ0 (x) = −(1 + x)−2 ⇒ φ0 (1) =

4

00 −3 00 1

φ (x) = 2(1 + x) ⇒ φ (1) =

4

Hence, the second order Taylor Polynomial is given as

φ(1) φ0 (1) φ00 (1)

P2 = + (x − 1) + (x − 1)2

0! 1! 2!

1 1 1

= − (x − 1) + (x − 1)2

2 4 8

7 1 1 2

= − x+ x

8 2 8

Then the functionφ(x) is given as

φ(x) = P2 + R2

7 1 1

= − x + x2 + R2

8 2 8

Detailed Solutions

• The first derivative:

f 0 (x) = (1 + x)−2

Go Back

The derivatives of the function f (x) = 2 + 4x + 3x2 are:

f 0 (x) = 4 + 6x ⇒ f 0 (0) = 4

00 00

f (x) = 6 ⇒ f (0) = 6

f (x) = + x+ x

0! 1! 2!

2

f (x) = 2 + 4x + 3x

Go Back

The derivatives of the function f (x) = 2 + 4x + 3x2 are:

00 00

f (x) = 6 ⇒ f (x0 ) = 6

f (x) = + (x − x0 ) + (x − x0 )2

0! 1! 2!

6

= 2 + 4x0 + 3x20 + (4 + 6x0 )(x − x0 ) + (x − x0 )2

2

= 2 + 4x0 + 3x20 + 4x − 4x0 + 6xx0 − 6x20 + 3x2 + 3x20 − 6xx0

= 2 + 4x + 3x2

Go Back

Find the extremum:

f 000 (x) = −24(7 − x) ⇒ f 000 (7) = 0

f (4) (x) = 24 ⇒ f (4) (7) = 24 > 0

relative minimum.

Go Back

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