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Numerical Analysis - Optimization
Numerical Analysis - Optimization
OPTIMISATION
8.1 Introduction
Example: Cantilever Beam
Optimisation Problem:
Design a minimum weight of cantilever beam (profile: I-
beam) that meet failure and deflection criteria
Design variables : b, h, t
Design parameters :E, r, Sy, L, F
Objective function : r.A.L
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8. OPTIMISATION
8.1 Introduction
Application
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8. OPTIMISATION
8.2 Introduction
Application
Numerical Optimization
Iteration
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8. OPTIMISATION
8.1 Introduction
Essentially, similar to root location, optimisation process
seeks for a point on a function.
The difference:
Root location to find a root that gives the function zero:
f x 0
Optimisation to find a root that gives minimum or
maximum value of the function:
f ' x 0
Why minimising/maximising??
Minimising weight of material
Minimising cost
Maximising performance
…
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8. OPTIMISATION
Classification:
The presence of Constraints:
Constrained Optimisation
Unconstrained Optimisation
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8. OPTIMISATION
8.3 One Dimensional
General Flow Chart
Optimum N
Find next
guess
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8. OPTIMISATION
8.3 One Dimensional
Golden-Section Search
l1 l2 5 1
d
l1 l2 l1 2
Quadratic Interpolation
Curve around the extreme is approximated by quadratic
curve, f2(x0, x1, x2, f(x0), f(x1), f(x2))
Find the maximum of the f2, to obtain x3.
Repeat the process with new datapoint, (x3, f(x3))…
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8. OPTIMISATION
8.3 One Dimensional
Golden-Section Search
l1 l2 5 1
R 0.61803...
l1 l2 l1 2
Recall: Bisection & False-position
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8. OPTIMISATION
8.3 One Dimensional
Golden Section Algorithm:
Initial guess, xu and xl
Find golden section distance:
5 1
d xu xl
2
x1 xl d
x2 xu d
Stopping criteria
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8. OPTIMISATION
8.3 One Dimensional
Quadratic Interpolation:
Take three initial guess
Formulate quadratic equation
Find the maximum/minimum
by differentiate it, resulting
in:
x3
f x0 x12 x22 f x1 x22 x02 f x2 x02 x12
2 f x0 x1 x2 2 f x1 x2 x0 2 f x2 x0 x1
Learn Ex. 13.2
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8. OPTIMISATION
8.3 One Dimensional
Quadratic Interpolation:
Selection of next point
Sequential
x0 n x1o
x1n x2o
x2 n x3
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8. OPTIMISATION
8.3 One Dimensional
Newton Method
Recall Newton-Rhapson method to obtain the root of
equations
Only, now f’(x) = 0, instead of f(x) = 0.
f ' x
xi 1 xi
f " x
Function, f, must be differentiable twice to find non zero f”
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Most optimisation problems involve multi-dimensional
Classification:
Non-gradient approach (Direct Method), e.g. (Pseudo)
random search, Univariate & Pattern
Gradient Based approach, e.g. Gradient & Hessian,
Steepest Ascent/Descent
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Pseudo random:
For each design variable, calculate:
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Univariate:
Set Initial guess
Perform 1D search while fixing the other variables.
Repeat for each variable, once at a time
Repeat he above until reaching the maximum/minimum
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Gradient, Hessian (2-D):
Directional derivative or Gradient directs us to the
steepest ascend/descend (slope) towards
maximum/minimum for each numerical step
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Gradient, Hessian (2-D):
The behaviour of ascending or descending can be checked
using Hessian matrix test:
If H 0 and 2
f x 2
0 f has a local minimum
If H 0 and 2 f x 2 0 f has a local maximum
If H 0 f has a saddle point
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Gradient, Hessian (multi-dimensional):
f x f x f x
T
f x L
x1 x2 xn
??
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8. OPTIMISATION
8.4 Multidimensional, Unconstrained
Steepest Ascend/Descend Algorithm:
Set initial guess
Find the directional gradient f x
Check for the maximum/minimum/saddle point existence
from Hessian matrix determinant |H|
Formulate one-dimensional directional function:
f f f
g h f x1 h, x2 h,L, xn h
x1 x2 xn
Find the optimum step size, h by solving g’(h) = 0
Find the next step of xi. f x f x f x
T
xi 1 L h
x1 x2 xn
Calculate error check
Repeat the process, with corrected ‘initial guess’
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8. OPTIMISATION
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