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Two Variables
1 1/28/2016
2 1/28/2016
Objectives
3 1/28/2016
Stationary points
4 1/28/2016
Stationary points
Figure showing the three types of stationary points (a) inflection point
(b) minimum (c) maximum
5 1/28/2016
Relative and Global Optimum
6 1/28/2016
Relative and Global Optimum …contd.
.
A2
Relative minimum is
also global optimum
.
f(x) f(x)
.
A1
.
A3
.
B2
.
B1
x x
a b a b
Fig. 2
7 1/28/2016
Functions of a single variable
8 1/28/2016
Functions of a single variable …contd.
Some Notes:
The theorem does not consider if
the maxima or minima occurs at
the end point of the interval of
definition.
The theorem does not say that the
function will have a maximum or
minimum at every point where
f ’(x) = 0, since this condition
f ’(x) = 0 is for stationary points
which include inflection points
which do not mean a maxima or
a minima.
10 1/28/2016
Sufficient condition
11 1/28/2016
Example 1
12 1/28/2016
Example 2
f '''( x=
*) 24( x * −=
2) 0 at x* = 2
( )
f ′′′′ x * = 24 at x* = 2
Consider x = x* = 1
f '' ( x* ) =
240( x* )3 − 540( x* ) 2 + 240 x* =
−60 at x* = 1
Since the second derivative is negative the point x = x* = 1 is a point of
local maxima with a maximum value of f(x) = 12 – 45 + 40 + 5 = 12
Consider x = x* = 2
f '' ( x* )= 240( x* )3 − 540( x* ) 2 + 240 x*= 240 at x* = 2
Since the second derivative is positive, the point x = x* = 2 is a point of
local minima with a minimum value of f(x) = -11
15 1/28/2016
Example 4
16 1/28/2016
Functions of two variables
17 1/28/2016
A contour plot
18 1/28/2016
A contour plot
19 1/28/2016
Necessary conditions
20 1/28/2016
Necessary conditions …contd.
∂f
Which gives us= ∂f
0;= 0 at the stationary points. i.e. the
∂x1 ∂x2
21 1/28/2016
Sufficient conditions
22 1/28/2016
Sufficient conditions …contd.
23 1/28/2016
Example 5
Solution
24 1/28/2016
Example 5 …contd.
∂f
From (X) = 0,
∂x1
8 x22 + 14 x2 + 3 =0
(2 x2 + 3)(4 x2 + 1) =
0
x2 =
−3 / 2 or x2 =
−1/ 4
25 1/28/2016
Example 5 …contd.
∂2 f ∂2 f ∂2 f ∂2 f
The Hessian of f(X) is = 4 x1 ; 2 = 4; = = −2
∂x12
∂x2 ∂x1∂x2 ∂x2 ∂x1
4 x1 −2
H=
−2 4
λ − 4 x1 2
λI - H =
2 λ −4
2 λ+4
At X1 = [-1,-3/2] , λ I - H = = (λ + 4)(λ − 4) − 4 = 0
2 λ −4
Since one eigen value is positive
λ − 16 − 4 =
2
0 and one negative, X1 is neither
λ1 =
+ 12 λ2 =− 12 a relative maximum nor a
relative minimum
26 1/28/2016
Example 5 …contd.
At X2 = [3/2,-1/4]
λ −6 2
λI - H = = (λ − 6)(λ − 4) − 4 = 0
2 λ −4
λ1 =
5+ 5 λ2 =
5− 5
Since both the eigen values are positive, X2 is a local minimum.
Minimum value of f(x) is -0.375
27 1/28/2016
Example 6
Maximize f(X) = 20 + 2 x1 − x1 + 6 x2 − 3 x2 / 2
2 2
∂f
∂x ( Χ*) 2 − 2 x 0
∆x f
= 1
= = 1
6 − 3x2 0
X* = [1,2]
∂f
∂x ( Χ*)
2
∂2 f ∂2 f ∂2 f −2 0
=
−2; 2 = −3; =
0; H=
∂x12
∂x2 ∂x1∂x2 0 −3
28 1/28/2016
Example 6 …contd.
λ+2 0
λI - H = = (λ + 2)(λ + 3) = 0
0 λ +3
λ1 =
−2 and λ2 =
−3
Since both the eigen values are negative, f(X) is concave and
the required ratio x1:x2 = 1:2 with a global maximum strength
of f(X) = 27
29 1/28/2016