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Optimization using Calculus

Optimization of
Functions of Multiple
Variables: Unconstrained
Optimization

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Objectives

To study functions of multiple variables, which are more difficult to


analyze owing to the difficulty in graphical representation and
tedious calculations involved in mathematical analysis for
unconstrained optimization.

To study the above with the aid of the gradient vector and the
Hessian matrix.

To discuss the implementation of the technique through examples

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Unconstrained optimization

If a convex function is to be minimized, the stationary point is the


global minimum and analysis is relatively straightforward as
discussed earlier.

A similar situation exists for maximizing a concave variable function.

The necessary and sufficient conditions for the optimization of


unconstrained function of several variables are discussed.

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Necessary condition

In case of multivariable functions a necessary condition for a


stationary point of the function f(X) is that each partial derivative is
equal to zero. In other words, each element of the gradient vector x f
defined below must be equal to zero. i.e. the gradient vector of f(X),
at X=X*, defined as follows, must be equal to zero:
f
*
(

)
x
1

f
*
(

)
x
2
0
x f

*
(

dx
n

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Sufficient condition

For a stationary point X* to be an extreme point, the matrix of second


partial derivatives (Hessian matrix) of f(X) evaluated at X* must be:

positive definite when X* is a point of relative minimum, and

negative definite when X* is a relative maximum point.

When all eigen values are negative for all possible values of X, then
X* is a global maximum, and when all eigen values are positive for
all possible values of X, then X* is a global minimum.
If some of the eigen values of the Hessian at X* are positive and
some negative, or if some are zero, the stationary point, X*, is neither
a local maximum nor a local minimum.

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Example
Analyze the function f ( x) x12 x22 x32 2 x1 x2 2 x1 x3 4 x1 5 x3 2
and classify the stationary points as maxima, minima and points of
inflection
Solution
f
*
(

x
1

2 x1 2 x2 2 x3 4
f
*

x f
( )
2 x2 2 x1

x2

2 x3 2 x1 5
f
*
( )

x
3

D Nagesh Kumar, IISc

0
0

Optimization Methods: M2L3

Example contd.

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Example contd.

D Nagesh Kumar, IISc

Optimization Methods: M2L3

Theorem. The eigenvalues of a triangular matrix are its diagonal entries

Proof: Let the triangular matrix be


a11
0

a1n
a2 n
A
M M
M

0
0
L
a
nn

The characteristic equation of A is


a12 L
a22 L

a11
0
det

0
or

a12

a22 L
M
0
L

a1n
a2 n
0
M

ann

(a11 - )( a22 - ) K ( ann - ) 0

Hence 1 a11' ,

2 a22' ,

n ann ' .

Example:
1 1
A

2
4

The characteristic equation of A is


1
det(A- I) = det
2
(1 )(4 ) 2 0

2 5 6 0
The eigenvalues are therefore
1 2,
2 3

Example contd.

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D Nagesh Kumar, IISc

Optimization Methods: M2L3

Thank you

12

D Nagesh Kumar, IISc

Optimization Methods: M2L3