Toi-Uu-Hoa-Van-Hanh-He-Thong-Dien - Vo-Ngoc-Dieu - Chapter-2 - Introduction-To-Optimization - (Cuuduongthancong - Com)

2/16/2014
TỐI ƯU HÓA VẬN HÀNH

HỆ THỐNG ĐIỆN
Chapter 2:
INTRODUCTION TO OPTIMIZATION
Dr. Vo Ngoc Dieu

Department of Power Systems
Ho Chi Minh City University of Technology
Email: vndieu@gmail.com
CuuDuongThanCong.com https://fb.com/tailieudientucntt
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Thm (Sufficient Condition)

∂f 1 ∂ 2f
f(x + ∆x) = f(x) + ⋅ ∆x + ⋅ ∆x 2 + H.O.T.
∂x 2 ∂x 2
∂f ∂ 2f
= 0, >0
∂x ∂x 2
Given a twice continuously differentiable function
f : IR n → IR1
x = x̂ is a local (relative) minimum
it is necessary that ∇f(x̂) = 0, ∇ 2 f(x̂) ≥ 0
∆
it is sufficient that ∇f(x̂) = 0 and H = ∇ 2 f(x̂) ≥ 0 (positive definite)
 ∂ 2f ∂ 2f ∂ 2f 
 L 
 ∂x1 ∂x1∂x 2 ∂x1∂x n 
2
∆
 M O M 
H= 
M O M 
 2 
 ∂ f L L
∂ 2f 
 ∂x n ∂x1 ∂x n 
2
n n
A > 0 ⇔ X T AX = ∑∑ x x a
i =1 j=1
i j ij > 0
pos. def. ∀X ≠ 0
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Proof : f(X̂ + ∆X) = f(X̂) + ∇f(X̂) ⋅ ∆X + ∆X T ∇ 2 f(X̂)
2
If the solution of gradient set ∇f(X) is unique and if H is p.d., the solution is the global minimum.
EX : Determine the minimum of the solution

f(x) = 1 - x + 2x 2
and show that it is a global minimum
∂f
Solution = −1 + 4x = 0 ⇒ x̂ = 0.25
∂x
∂ 2f
= 4 > 0 ⇒ Global minimum
∂x 2
EX : Show that the minimum of the function
f(x 1 , x 2 ) = 10 + x1 - x 2 + 2x12 + x1x 2 + 4x 22
is the global minimum
 ∂f 
 ∂x   1 + 4x1 + x 2 
Solution ∇f(x 1 , x 2 ) =  1  =  =0
 ∂f  − 1 + x1 + 8x 2 
 ∂x 2 
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∂
∂
∂
∂
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Minimization of function f(x1 , x 2 )

∂f 
∆∂x1 
∇f(x1 , x 2 ) = =0 Necessary condition
∂f 
∂x 2 
By Taylor' s expansion
∆x1
f(x̂1 + ∆x1 , x̂ 2 + ∆x 2 ) ≈ f(x̂1 , x̂ 2 ) + ∇f(x1 , x 2 ) ∆x 2 + H.O.T
x̂
∂f ∂f > 0
Suppose ≠ 0, Say
∂x1 ∂x1 < 0
± 0.1
Choose ∆x =
0 
∂f
f(x̂1 - 0.1, x̂ 2 + ∆x 2 ) ≈ f(x̂ 1 , x̂ 2 ) − ⋅ 0.1 < f(x̂1 , x̂ 2 )
∂x1
(This is not minimum)
Thus, necessary condition for a minimum or maximum points.
∇f(x) = 0
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Thm (Sufficient Condition)

∂f 1 ∂ 2f
f(x + ∆x) = f(x) + ⋅ ∆x + ⋅ ∆x 2 + H.O.T.
∂x 2 ∂x 2
∂f ∂ 2f
= 0, >0
∂x ∂x 2
Given a twice continuously differentiable function
f : IR n → IR1
x = x̂ is a local (relative) minimum
it is necessary that ∇f(x̂) = 0, ∇ 2 f(x̂) ≥ 0
∆
it is sufficient that ∇f(x̂) = 0 and H = ∇ 2 f(x̂) ≥ 0 (positive definite)
 ∂ 2f ∂ 2f ∂ 2f 
 L 
 ∂x1 ∂x1∂x 2 ∂x1∂x n 
2
∆
 M O M 
H= 
M O M 
 2 
 ∂ f L L
∂ 2f 
 ∂x n ∂x1 ∂x n 
2
n n
A > 0 ⇔ X T AX = ∑∑ x x a
i =1 j=1
i j ij > 0
pos. def. ∀X ≠ 0
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1
Proof : f(X̂ + ∆X) = f(X̂) + ∇f(X̂) ⋅ ∆X + ∆X T∇ 2f(X̂)
2
If the solution of gradient set ∇f(X) is unique and if H is p.d., the solution is the global minimum.
EX : Determine the minimum of the solution

f(x) = 1 - x + 2x 2
and show that it is a global minimum
∂f
Solution = −1 + 4x = 0 ⇒ x̂ = 0.25
∂x
∂ 2f
= 4 > 0 ⇒ Global minimum
∂x 2
EX : Show that the minimum of the function
f(x 1 , x 2 ) = 10 + x1 - x 2 + 2x12 + x1x 2 + 4x 22
is the global minimum
 ∂f 
 ∂x   1 + 4x1 + x 2 
Solution ∇f(x1 , x 2 ) =  1  =  =0
 ∂f   − 1 + x1 + 8x 2 
 ∂x 2 
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4x 1 + x 2 = −1
x 1 + 8x 2 = 1
 − 18 
 x 1   62 
=
x   5 
 2  
 31 
 ∂ f 2
∂ 2f 
 
∂ x 2
∂x 1 ∂x 2  4 1
H =  21 =
 ∂ f ∂ f  1 9
2
 2 
 ∂x 2 ∂x 1 ∂x 2 
A matrix A ∈ IR n×n is positive definite if X T AX > 0 for all nonzero X ∈ IR 2 . Consider the 2 × 2 symmetical case.
 a 11 a 12 
A= 
a 21 a 22 
X = (1,0) T ⇒ X T AX = a 11 > 0
(a 11 + a 12 )
a 12 ≤ X = (0,1) T ⇒ X T AX = a 22 > 0
2
X = (1,1) T ⇒ X T AX = a 11 + 2a 22 + a 22 > 0

X = (1,-1) T ⇒ X T AX = a 11 − 2a 22 + a 22 > 0
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H=
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λ
-2-λ λ2 - 4λ
λ - 16 = 0
λ
6-λ
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Toi-Uu-Hoa-Van-Hanh-He-Thong-Dien - Vo-Ngoc-Dieu - Chapter-2 - Introduction-To-Optimization - (Cuuduongthancong - Com)

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2/16/2014

TỐI ƯU HÓA VẬN HÀNH

Dr. Vo Ngoc Dieu

Thm (Sufficient Condition)

EX : Determine the minimum of the solution

Minimization of function f(x1 , x 2 )

Thm (Sufficient Condition)

EX : Determine the minimum of the solution

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