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Coursework of Optimization PDF
Coursework of Optimization PDF
This given coursework is proposed in order to elaborate the understanding of constrained and
unconstrained optimization delivered n the class. Please create a group consisting of 5 people
to solve this coursework. You can use any model of report or framework, word or LATEX, Bahasa or
English!. The most trivial suggested software being used is Matlab.
Submit the coursework : (1) Softfile (.m)-Matlab; and (2) Hardfile outlining the report and code
x1 x2 s1 s2 p v
0 1 0.2353 −0.1765 0 12
3 5 1 0 0 78 g1
1 0 −0.0588
I = 4 1 0 1 0 36 g2 → O = 0.2941 0 6
(1)
−5 −4 0 0 1 0 f
0 0 0.6471 0.7647 1 78
x1 x2 x3 s1 s2 p v
1 2 0 1 −1 0 200
2 3 2 1 0 0 1000 g1
0 − 1 1
I = 1 800 g2 → O = 2 1 −2 1 0 300 (2)
1 2 0 1 0
−7 −8 −10 0 0 1 0 f
0 1 0 2 3 1 4400
x1 x2 x3 s1 s2 s3 p v
5 2
1 0 3 3 − 13 0 0 1
3
2 1 3 1 0 0 0 1 g1
1 2 1 0 1 0 0 1 g2
0 1
− 13 − 13 2
3 0 0 1
3
I = →O= (3)
−2 − 17 − 23 5
−3 2
0 0
3 4 0 0 1 0 3 g3 3 1 0 3
−6 −8 −4 0 0 0 1 0 f
10 4 10 14
0 0 3 3 3 0 1 3
A2: Implement the Simplex method algorithm and prove that those three questions (I) yield in
the desired outputs (O). Decide the values of (x) and optimum result (v) for each question!
1
Problem 2 - Unconstrained Optimization.
To contrast the performance, in terms of behaviour and speed of convergence, of various uncon-
strained optimization problem, it is customary to construct test functions. The proposed function
to be examined is known as Rosenbrock function, such that
2
f (x, y) = 100 y − x2 + (1 − x)2 (4)
B1: Compute analytically the stationary points of the function in Eq.(4) and verify if they are
maxima/minima/saddle points
B2: Plot using matlab the level sets of the function f (x, y)
B3: Implement the procedures for minimization of the function f (x, y) using (1) Gradient method;
(2) Newton method; and (3) Quasi-Newton (DFP) method applying Armijo line search with
initial point (x0 , y0 ) = (−0.75, 1)
B4: Plot on the (x, y)-plane, the sequences (xk , yk ) of points generated by each algorithm. Are
these sequences converging to a stationary points of f (x, y) computed in B1?
and plot the sequences for those algorithms the cost Jk as a function of k. Use such plot to
analyse the speed of convergence for those algorithms
2
Theorem 1 - Algorithms of Gradient, Newton, and Quasi-Newton (DFP).
T1) Gradient Algorithm
S0 : Given x0 ∈ Rn
S1 : Set k = 0
S2 : Compute ∇f (xk ). If ∇f (xk ) = 0, Stop. Else set dk = −∇f (xk )
S3 : Compute a step αk along the direction dk with Armijo, such that
S 3 : Set α = σα and go to S2