or ii gslm 52800
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OR II GSLM 52800. Outline. classical optimization – unconstrained optimization dimensions of optimization feasible direction. Classical Optimization Results Unconstrained Optimization. different dimensions of optimization conditions nature of conditions - PowerPoint PPT PresentationTRANSCRIPT
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OR IIOR IIGSLM 52800GSLM 52800
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OutlineOutline classical optimization – unconstrained
optimization dimensions of optimization feasible direction
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Classical Optimization ResultsClassical Optimization Results Unconstrained Optimization Unconstrained Optimization
different dimensions of optimization conditions nature of conditions
necessary conditions (必要條件 ): satisfied by any minimum (and possibly by some non-minimum points)
sufficient conditions (充分條件 ): if satisfied by a point, implying that the point is a minimum (though some minima may not satisfy the conditions)
order of conditions first-order conditions: in terms of the first derivatives of f & gj
second-order conditions: in terms of the second derivatives of f & gj
general assumptions: f, g, gj C1 (i.e., once continuously differentiable) or C2 (i.e., twice continuously differentiable) as required by the conditions
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Feasible Direction Feasible Direction S n: the feasible region x S: a feasible point a feasible direction d of x: if there exists >
0 such that x+d S for 0 < <
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Two Key Concepts Two Key Concepts for Classical Results for Classical Results
f: the direction of steepest accent gradient of f at x0 being orthogonal to
the tangent of the contour f(x) = c at x0
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The Direction of Steepest Accent The Direction of Steepest Accent ff contours of f(x1, x2) = ff: direction of steepest accent in some sense, increment of unit
move depending on the angle with f f within within 9090 of of ff: increasing: increasing
closer to 0closer to 0: increasing more: increasing more beyond beyond 9090 of of ff: decreasing: decreasing
closer to 180closer to 180: decreasing more: decreasing more above results generally true for above results generally true for
any any ff
x2
x1
2 21 2x x
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ff((xx11, , xx22) =) =
ff((xx1010, , xx2020) = ) = cc
d on the tangent plane at xd on the tangent plane at x00
ff(x(x00++d) d) cc for small for small roughly speaking, for roughly speaking, for ff(x(x00) = ) = cc, , ff(x(x00++d) = d) = cc for for
small small when d is on the tangent plane at x when d is on the tangent plane at x00
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Gradient of Gradient of ff at x at x00 Being Orthogonal to Being Orthogonal to the Tangent of the Contour the Tangent of the Contour ff(x) = (x) = cc at x at x00
2 21 2x x
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First-Order Necessary Condition First-Order Necessary Condition (FONC)(FONC)
ff CC11 on S and x on S and x** a local minimum of a local minimum of ff then for any feasible direction d at xthen for any feasible direction d at x**, , TTff(x(x**)d )d
0 0 increasing of increasing of ff at any feasible direction at any feasible direction
ff((xx) = ) = xx22 for 2 for 2 xx 5 5 ff((xx, , yy) = ) = xx22 + + yy22 for 0 for 0 xx, , yy 2 2
ff((xx, , yy) = ) = xx22 + + yy22 for for xx 3, 3, yy 3 3
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FONC for Unconstrained NLPFONC for Unconstrained NLP ff CC11 on S & x on S & x** an interior local minimum an interior local minimum
(i.e., without touching any boundary) (i.e., without touching any boundary) TTff(x(x**) = 0) = 0
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FONC Not SufficientFONC Not Sufficient Example 3.2.2: f(x, y) = -(x2 + y2) for 0 x, y
Tf((0, 0))d = 0 for all feasible direction d (0, 0): a maximum point
Example 3.2.3: f(x) = x3
f(0) = 0 x = 0 a stationary point
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Feasible Region with Feasible Region with Non-negativity ConstraintsNon-negativity Constraints
Example 3.2.4. (Example 10.8 of JB) Find candidates of the minimum points by the FONC. min f(x) = subject to x1 0, x2 0, x2 0
* ** *( ) ( )0, if 0; 0, if 0.j j
j j
f fx xx x
x x
2 2 21 2 3 1 2 1 3 13 2 2 2x x x x x x x x
* **( ) ( )0, 0j
j j
f fxx x
x xor, equivalently
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Second-Order ConditionsSecond-Order Conditions another form of Taylor’s Theorem
f(x) = f(x*)+Tf(x*)(x-x*)
+0.5(x- x*)TH(x*)(x - x*)+ , where being small, dominated by other terms
if Tf(x*)(x-x*) = 0, f(x) f(x*) (x- x*)TH(x*)(x - x*) 0
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Second-Order Necessary ConditionSecond-Order Necessary Condition
ff CC22 on S on S if xif x** is a local minimum of is a local minimum of ff, then for any , then for any
feasible direction d feasible direction d nn at x at x**, , (i).(i). TTff(x(x**)d )d 0, and 0, and (ii). if (ii). if TTff(x(x**)d = 0, then d)d = 0, then dTTH(xH(x**)d )d 0 0
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Example 3.3.1(a)Example 3.3.1(a) SONC satisfied
ff((xx) = ) = xx22 for 2 for 2 xx 5 5 ff((xx, , yy) = ) = xx22 + + yy22 for 0 for 0 xx, , yy 2 2
ff((xx, , yy) = ) = xx22 + + yy22 for for xx 3, 3, yy 3 3
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Example 3.3.1(b)Example 3.3.1(b) SONC: more discriminative than FONCSONC: more discriminative than FONC ff((xx, , yy) = -() = -(xx22 + + yy22) for 0 ) for 0 xx, , y y in Example in Example
3.2.2 3.2.2 (0, 0), a maximum point, failing the SONC(0, 0), a maximum point, failing the SONC
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SONC for Unconstrained NLPSONC for Unconstrained NLP ff CC22 in S in S xx** an interior local minimum of an interior local minimum of ff, then, then (i).(i). TTff(x(x**) = 0, and ) = 0, and (ii). for (ii). for allall d, d d, dTTH(xH(x**)d )d 0 0
(ii) H(xH(x**) being positive semi-definite ) being positive semi-definite convex convex f f satisfying (ii) (and actually more)satisfying (ii) (and actually more)
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Example 3.3.2Example 3.3.2 identity candidates of minimum points for
the f(x) = Tf(x*) = x = (1, -1) or (-1, -1) H(x) = (1, -1) satisfying SONC but not (-1, -1)
3 21 2 1 23 2x x x x
21 1 2(3 3 ,2 2)x x x
16 00 2x
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SONC Not SufficientSONC Not Sufficient ff((xx, , yy) = -() = -(xx44 + + yy44)) TTff((0, 0))d = 0 for all d((0, 0))d = 0 for all d (0, 0) a maximum(0, 0) a maximum
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SOSC for Unconstrained NLPSOSC for Unconstrained NLP ff CC22 on S on S nn and and xx** an interior point an interior point if if
(i). (i). TTff(x(x**) = 0, and ) = 0, and (ii). H(x(ii). H(x**) is positive definite) is positive definite
xx** a strict local minimum of a strict local minimum of ff
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SOSC Not NecessarySOSC Not Necessary Example 3.3.4. x = 0 a minimum of f(x) = x4 SOSC not satisfied
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Example 3.3.5Example 3.3.5 In Example 3.2.4, is (1, 1, 1) a minimum?
.
6 > 0;
positive definite, i.e., SOSC satisfied
6 2 2( ) 2 2 0
2 0 2
H x
6 212 ( 2)( 2) 8;
2 2
6 2 22 2 0 (6)(2)(2) ( 2)(2)( 2) ( 2)( 2)(2) 82 0 2
2 2 21 2 3 1 2 3 1 2 1 3 1( , , ) 3 2 2 2f x x x x x x x x x x x
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Effect of ConvexityEffect of Convexity If for all y in the neighborhood of x* S,
Tf(x*)(y-x*) 0 convexity of f implies
f(y) f(x*) + Tf(x*)(y-x*) f(x*) x* a local min of f in the neighborhood of x*
x* a global minimum of f
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Effect of ConvexityEffect of Convexity f C2 convex H positive semi-definite
everywhere Taylor's Theorem, when Tf(x*)(x-x*) = 0, f(x) = f(x*) + Tf(x*)(x-x*)
+ (x- x*)TH(x* + (1-)x)(x - x*) = f(x*) + (x- x*)TH(x* + (1-)x)(x - x*) f(x*)
x* a local min a global min
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Effect of ConvexityEffect of Convexity facts of convex functions
(i). a local min = a global min (ii). H(x) positive semi-definite everywhere (iii). strictly convex function, H(x) positive definite
everywhere implications
for f C2 convex function, the FONC Tf(x*) = 0 is sufficient for x* to be a global minimum
if f strictly convex, x* the unique global min