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- Calculus 06 Applications of the Derivative
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Optimization of

Functions of Multiple

Variables: Unconstrained

Optimization

Objectives

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.

Unconstrained optimization

global minimum and analysis is relatively straightforward as

discussed earlier.

unconstrained function of several variables are discussed.

Necessary condition

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

Sufficient condition

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

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.

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

0

0

Example contd.

Example contd.

a11

0

a1n

a2 n

A

M M

M

0

0

L

a

nn

a12 L

a22 L

a11

0

det

0

or

a12

a22 L

M

0

L

a1n

a2 n

0

M

ann

Hence 1 a11' ,

2 a22' ,

n ann ' .

Example:

1 1

A

2

4

1

det(A- I) = det

2

(1 )(4 ) 2 0

2 5 6 0

The eigenvalues are therefore

1 2,

2 3

Example contd.

11

Thank you

12

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