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Optimization Lecture Notes

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33 views3 pages

Optimization Lecture Notes

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smmagency1000
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We take content rights seriously. If you suspect this is your content, claim it here.
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Optimization Methods - Detailed Notes

Lecture 7: Optimization of Single Variable Functions

Optimization aims to find the maximum or minimum values of a function. For single-variable functions,

this involves analyzing critical points, the first derivative, and the second derivative.

Key Definitions:

1. **Local Minimum**: A point where the function value is smaller than its immediate surroundings.

- Example: If f(x) = x^2, x = 0 is a local minimum because f(0) < f(-1) and f(1).

2. **Global Minimum**: A point where the function value is the smallest across the entire domain.

- Example: For f(x) = x^2, x = 0 is also the global minimum since f(0) <= f(x) for all x.

Critical Points:

A critical point is where the derivative of the function is zero or undefined. These are candidates for minima or

maxima.

- Example: For f(x) = 3x^2 - 6x, solve f'(x) = 0 to get x = 1. This is a critical point.

Theorems and Tests

1. **First Derivative Test**:

- If the derivative changes from negative to positive at a critical point, it's a local minimum.

- If it changes from positive to negative, it's a local maximum.

- If it doesn't change, it's neither.

2. **Second Derivative Test**:

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Optimization Methods - Detailed Notes

- If f''(c) > 0, the function has a local minimum at c.

- If f''(c) < 0, the function has a local maximum at c.

- If f''(c) = 0, the test is inconclusive.

**Example**:

Find and classify the critical points of f(x) = x^3 - 3x^2 + 4:

- f'(x) = 3x^2 - 6x

- Critical points: Solve 3x^2 - 6x = 0 to get x = 0 and x = 2.

- Use the second derivative: f''(x) = 6x - 6. At x = 0, f''(0) < 0 (local max). At x = 2, f''(2) > 0 (local min).

Lecture 8: Optimization of Multivariable Functions

Multivariable optimization deals with functions of two or more variables, such as f(x, y). Critical points are

found using partial derivatives.

Key Steps:

1. Compute the partial derivatives (e.g., df/dx and df/dy).

2. Set them to zero and solve for the critical points.

3. Use the second derivative test to classify the points.

Second Derivative Test:

For a function f(x, y), calculate:

- f_xx, f_yy, f_xy (second partial derivatives).

- D = f_xx * f_yy - (f_xy)^2.

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Optimization Methods - Detailed Notes

Classification:

- If D > 0 and f_xx > 0, it's a local minimum.

- If D > 0 and f_xx < 0, it's a local maximum.

- If D < 0, it's a saddle point.

**Example**:

Classify critical points of f(x, y) = x^2 + y^2 - 4x - 2y:

- Partial derivatives: f_x = 2x - 4, f_y = 2y - 2.

- Critical point: Solve f_x = 0 and f_y = 0 to get (x, y) = (2, 1).

- Second derivatives: f_xx = 2, f_yy = 2, f_xy = 0.

- D = (2)(2) - (0)^2 = 4 > 0 and f_xx = 2 > 0 (local minimum at (2, 1)).

Hessian Matrix for Multivariable Optimization

The Hessian matrix is used to classify critical points for functions with more than two variables. It is defined

as:

H=[

[f_xx, f_xy],

[f_yx, f_yy]

Eigenvalues of the Hessian matrix determine the point's nature (e.g., positive definite = local min).

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