IE 601 / IE 609, Mathematical Optimization Techniques

Assignment 02, September 24, 2020

Due Friday, October 01, 6pm on Moodle

Note: There are 5 questions worth 10 points on 1 page(s). Submit a report written in your own words.
The report should be a single file in PDF format only. If you are writing by hand, you may scan it and
convert to PDF. We will randomly grade 1-2 questions from the assignment. Only reports submitted
on Moodle will be graded.
(k+1) (k+1) (k+1)
1. Question 3.7 fromt the textbook. Verify that HBF GS γ = δ, HDF P γ = δ, BBF GS δ = γ, and
(k+1) k+1 (k) , H (k) satisfy these properties.
HBF GS BBF GS = I. You may assume that B

2. Let us try to understand some steps of Theorem 2.4.1

(a) Let s(1) , s(2) , . . . , s(n) constitute a set of nonzero vectors conjugate to a given positive definite
matrix G. Can s(2) = θ1 s(1) , where θ1 is a scalar? Why? Extending your argument, show that
s(1) , . . . , s(n) must be linearly independent.
(b) Explain why g (j+1)T s(j) = 0 in the proof of Theorem 2.4.1.
(c) Show that the term (g (i+1) − g (i) )T s(j) in the proof of Theorem 2.4.1 is zero.

3. Let us try to understand some steps of Theorem 4.1.1

(a) Explain why g (i+1) = g (i) + α(i) Gs(i) ? Will this result hold if the function is not quadratic?
(b) Explain why g (i+1)T g j = 0 in the proof, both for the case j = i and j < i.
(c) Explain the remain parts of the proof in your own words.
(d) Expain why condition 4.1.7 is also named ‘descent condition’. Is it guaranteed that we will
get a descent direction in every iteration of the Fletcher-Reeves method?

4. Consider two LPs:

min cT x subject to : Ax ≥ b, αx ≥ β (P1)

T
min c x subject to : Ax ≥ b, αx ≤ β (P2)

Suppose (P1) is infeasible, but (P2) is not. Show that the constraint αx ≤ β is never active at any
point in the feasible region of (P2).

5. Consider an optimization problem with only one constraint

min f (x) subject to c1 (x) ≥ 0 (1)

(a) Show that if c1 is a linear function (with at least one nonzero coefficient of x), then the problem
always has a feasible point
(b) Give an example where c1 is nonlinear and the feasible region is empty
(c) Give an example where c1 is nonlinear and the constraint is active at all feasible points. Is the
same possible when c1 is linear?