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Engg Opti - Tutorial-10

This document provides an overview of unconstrained optimization concepts. It discusses determining stationary points by solving equations to find extreme points. The Hessian matrix is constructed at these points and its minors are used to classify the points. If the Hessian minors are all positive, it is a minimum point. If the minors alternately change sign, it is a maximum. If some minors are not the same sign and others are zero, it is a saddle point. Examples are provided to demonstrate finding stationary points, classifying them using the Hessian, and using Newton's method to find roots.

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41 views10 pages

Engg Opti - Tutorial-10

This document provides an overview of unconstrained optimization concepts. It discusses determining stationary points by solving equations to find extreme points. The Hessian matrix is constructed at these points and its minors are used to classify the points. If the Hessian minors are all positive, it is a minimum point. If the minors alternately change sign, it is a maximum. If some minors are not the same sign and others are zero, it is a saddle point. Examples are provided to demonstrate finding stationary points, classifying them using the Hessian, and using Newton's method to find roots.

Uploaded by

äbhî
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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ENGINEERING OPTIMIZATION

Tutorial-10 (19th April 2023)


BITS Pilani
Pilani Campus
(ME F320)
Unconstrained optimization concept
Hessian matrix at P for n variables will be
If we have to determine the extreme points

Step 1: Solve

The solution of the system of equations we give the


stationary points
Step 2: Construct the Hessian Matrix
Step 3: Construct the minors of the Hessian Matrix (Next
slide has the example for first three minors of a Hessian
Matrix)

BITS Pilani, Hyderabad Campus


Unconstrained optimization concept

Case I: If H1, H2, H3,… are positive (i.e., H


is positive definite), then f (x1, x2, x3,…, xn)
has a minimum at P.

Case II: If H1, H2, H3,… are alternately


negative, positive, negative (i.e., H is
negative definite), then f (x1, x2, x3,…, xn)
has a maximum at P.

Case III: H1 and H3,… are not of the same


sign, and H2 = 0 (i.e., semidefinite or
indefinite), then f (x1, x2, x3,…, xn) has a
saddle point at P.
BITS Pilani, Hyderabad Campus
PROBLEM NO: 1 (Unconstrained)
Find the extreme points of the function

Step 1: Determine the stationary points for the above problem

On solving the above two equations we get (0,0) as the stationary point.
Step 2: The Hessian matrix for the above equation would be
Step 3: First minor
Second minor
Since both and are greater than zero, the stationary point represents a Minima.

BITS Pilani, Hyderabad Campus


Problem 2: Unconstrained optimization
Newton’s-Raphson Method
Find the extreme for the functions

Step 1: Determine the stationary points

However, it is not easy to find the roots for the above equation. One method
we can use to solve for roots for such complex equation would be Newton’s
Raphsons method
Step 2: Start with by assuming the root, here we start with ‘’
Step 3: update the root using the following step

BITS Pilani, Hyderabad Campus


Problem 2: Unconstrained optimization
Newton’s-Raphson Method

Since the difference between is very small, is the root for


Determine the value of
Hence, represents the maxima

BITS Pilani, Hyderabad Campus


PROBLEM 3 (EVALUATION)

If the function
.
has (0,3,1), (0,1,-1), (1,2,0), and (2,1,1) as stationary points.
Determine which of the following points are maxima, minima and saddle
points

BITS Pilani, Hyderabad Campus


PROBLEM 3 (EVALUATION-SOLUTION)

BITS Pilani, Hyderabad Campus


PROBLEM 3 (EVALUATION-SOLUTION)

For (0,3,1)
(Saddle point)
For (0,1,-1)
(Saddle point)
For (1, 2, 0)
(Minima)
For (2,1,1)
(Saddle point)

BITS Pilani, Hyderabad Campus


Thank You
BITS Pilani
Pilani Campus

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