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Optimization Methods: Optimization using Calculus-Stationary Points

1
4224
x
=
H
1
4224
x

=
I-H
At X
1
= [-1,-3/2],42(

+=

I-H
0
=
2
1

=
2

= 12
12

(
=

24
+

12 12

=
+
=

Since one eigen value is positive and one negative, X

1
is neither a relative maximum nor arelative minimum.At X
2
= [3/2,-1/4]62(
6
)
(
4
)

=
=

I-H
0
=
2
1

+=

12
5
5
5
5

=
+
=
Since both the eigen values are positive, X
2
is a local minimum.Minimum value of f(x) is -0.375.
A.BENHARI 38 A.BENHARI 38 A.BENHARI 38

Optimization Methods: Optimization using Calculus-Stationary Points

Example 6
The ultimate strength attained by concrete is found to be based on a certain
empiricalrelationship between the ratios of cement and concrete used. Our
objective is to maximizestrength attained by hardened concrete, given by
f
(

24

X
) = , where
x
221
1
2
2
0
2
6
2
xxxx
+

+
1
and
x
2
are variables based on cement and concrete ratios.
Solution
Given
f
(
X
) = ; where
X
=
21
1
2
2
0
2
6
2
xxxx
+

+
2
[]
12
,
xx
The gradient vector
1122
(*)220630(*)
x
f xxf xf x

=
=

, to d etermine stationary point

2
3

2
3

X
*
.Solving we get
X
*
= [1,2]
222221
2
2
2
;
3
0
fff xxxx
=

2003
=
H
20(
2
)
(
3
)

+=
=
+
+
I-H
0

=
Here the values of

do not depend on
X
and
1

= -2,
2

= -3. Since both the eigen valuesare negative,

f
(
X
) is concave and the required ratio
x

1
;

03
+

1
:
x
2
= 1:2 with a global maximumstrength of
f
(
X
) = 27 units.
A.BENHARI 39 A.BENHARI 39 A.BENHARI 39

Optimization Methods: Optimization using Calculus-Convexity and Concavity

Convexity and Concavity of Functions of One and Two VariablesIntroduction
In the previous class we studied about stationary points and the definition of
relative andglobal optimum. The necessary and sufficient conditions required for a
relative optimum infunctions of one variable and its extension to functions of two
variables was also studied. Inthis lecture, determination of the convexity and
concavity of functions is discussed.The analyst must determine whether the
objective functions and constraint equations areconvex or concave. In real-world
problems, if the objective function or the constraints are notconvex or concave, the
problem is usually mathematically intractable.
Functions of one variableConvex function
A real-valued function
f
defined on an interval (or on any convex subset
C
of some vector space) is called
convex
, if for any two points
a
and
b
in its domain
C
and any
t

in [0,1], wehave
)()1()())1((
b f t atf bt ta f
++
Fig. 1
In other words, a function is convex if and only if its epigraph (the set of points
lying on or above the graph) is a convex set. A function is also said to be
strictly convex
if
A.BENHARI 40 A.BENHARI 40 A.BENHARI 40 A.BENHARI 40

Optimization Methods: Optimization using Calculus-Convexity and Concavity

(
(
1
)
)
(
)
(
1
)
(
)
ftatbtfatfb
+

<
+

for any
t
in (0,1) and a line connecting any two points on the function lies completely
abovethe function. These relationships are illustrated in Fig. 1.
Testing for convexity of a single variable function
A function is convex if its slope is non decreasing or
22
f
/
x

0. It is strictly convex if
itsslope is continually increasing or > 0 throughout the function.
Properties of convex functions
A convex function
f
, defined on some convex open interval
C
, is continuous on

C
anddifferentiable at all or at most, countable many points. If
C
is closed, then
f
may fail to becontinuous at the end points of
C
.A continuous function on an interval
C
is convex if and only if (
)
(
)
22
a
b
f
a
f
b
f
+ +
for all
a
and
b
in
C
.A differentiable function of one variable is convex on an interval if and only if its
derivativeis monotonically non-decreasing on that interval.A continuously
differentiable function of one variable is convex on an interval if and only if the
function lies above all of its tangents:
(
)
(
)
'
(
)
(
)
fbfafaba
+
for all a and b in theinterval.A twice differentiable function of one variable is
convex on an interval if and only if itssecond derivative is non-negative in that
interval; this gives a practical test for convexity. If its second derivative is positive
then it is strictly convex, but the converse does not hold, asshown by
f
(
x
)=
x
4
.More generally, a continuous, twice differentiable function of several variables is
convex ona convex set if and only if its Hessian matrix is positive semi definite on
the interior of theconvex set.

A.BENHARI 41 A.BENHARI 41 A.BENHARI 41

Optimization Methods: Optimization using Calculus-Convexity and ConcavityIf

two functions
f
and
g
are convex, then so is any weighted combination
a
f
+
b
g
with non-negative coefficients
a
and
b
. Likewise, if
f
and
g
are convex, then the function max{
f
,
g
} isconvex.A
strictly convex
function will have only one minimum which is also the global minimum.
Examples

The second derivative of

x
2
is 2; it follows that
x

2
is a convex function of
x
.

The absolute value function |

x
| is convex, even though it does not have a derivative at
x
= 0.

The function
f
with domain [0,1] defined by
f
(0)=
f
(1)=1,
f
(
x
)=0 for 0<
x
<1 is convex;it is continuous on the open interval (0,1), but not continuous at 0 and
1.

Every linear transformation is convex but not strictly convex, since if

f
is linear, then
f
(
a
+
b
)=
f
(

a
)+
f
(
b
). This implies that the identity map (i.e.,
f
(
x
)=
x
) is convex butnot strictly convex. The fact holds good if we replace "convex" by
"concave".

An affine function (
f
(
x
)=
ax + b
) is simultaneously convex and concave.
Concave function
A differentiable function
f
is
concave
on an interval if its derivative function
f

is decreasingon that interval: a concave function has a decreasing slope.A function

that is convex is often synonymously called
concave upwards
, and a functionthat is concave is often synonymously called
concave downward
.For a twice-differentiable function
f
, if the second derivative,
f

''(
x
), is positive (or, if theacceleration is positive), then the graph is convex (or
concave upward); if the secondderivative is negative, then the graph is concave (or
concave downward). Points, at whichconcavity changes, are called inflection
points.If a convex (i.e., concave upward) function has a "bottom", any point at the
bottom is aminimal extremum. If a concave (i.e., concave downward) function has
an "apex", any pointat the apex is a maximal extremum.A function
f
(
x
) is said to be
concave
on an interval if, for all a and b in that interval,
A.BENHARI 42 A.BENHARI 42 A.BENHARI 42

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Lecture Notes on Optimization Methods

Jun 04, 2013 by A.Benhari
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Basic Concepts of optimization problems, Optimization using calculus, Kuhn
Tucker Conditions; Linear Programming - Graphical method, Simplex method,
Revised simplex method, Sensitivity analysis, Ex...
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