Practice Problem Set 8 044201 Nonlinear Programming Not 1 Problems 1, 2, 5, 6, and 7 are courtesy of Prof. Johannes Royset. Solve Problem 3.1. 1a-b) in Bertsekas, page 298. Note that the problem asks you to find all stationary points with associated Lagrange multiplier vectors. For the stationary points found in Problem 1, determine whether they are local minima. 3. Use Newton’s method to compute a descent direction from an initial solution of x"=[1 1 1} for the following problem: min TY + st. 2x 43x, =5 x t4x=5 4. Use elimination to reformulate the following problem as an unconstrained optimization problem: aif 1k min sin(x, +x) bag +=) x tah + - 3 2) st. 8x, 6x, +4, + 9x, +44, =6 3x, +2 —a, +64, +44, = 4 5. Solve Problem 3.3.1 in Bertsekas, page 356, with a= 1, and b= 2. Note that the problem asks you to find all stationary points with associated Lagrange multiplier vectors, and attempt to classify them as local minima. Hint: You will have to check the cases in the following table: case Mh wl a |e a ye ina active | inactive jo 2 Tinaetive [active | active | inactive | 0 | 3 [inactive [active | inactive _ 0 {4 mE inactive | inactive | active _ 0 [5 Tinactive [active | inactive lo 6 inactive | inactive tive | act o 0 7 Tactive [inactive ive | inactive fo 8 active [active | inactive | inactive [0 [9 Tinactive [inactive | inactive | inactive [0 [06. Consider the one-dimensional problem min2x st. x20 a) a) Remove the inequality in the problem and show that the barrier problem min F, (x) st xeS where F,(x) = f(x) +£B(x) , in this case takes the form min 2x—-elnx » st. x30 . b) Show that the objective function in (2) is convex on {xe 9|.x> 0}. ) Express the globally optimal solution x(¢) of (2) as a function of # . (Hint: Set the gradient equal to zero and determine a stationary point). 4) Determine the optimal solution of (1) by inspection and show that x(¢) converges to that solution as ¢ +0. ©) For general problems, the barrier problem cannot be solved analytically as in ¢). Typically, a version of Newton's method is applied for a finite number of iterations to find an approximation of x(s). This process is repeated for successively smaller ¢ > 0. Let i(e) be this approximation of x(e) Given an ¢ > 0, suppose that the Newton’s method applied to (2) is stopped when an x satisfying || VF.(x)||<¢ is found, i, || VF,(3(@)) |i<¢. Show that this stopping rule ensures that 3(e) converges to the optimal solution of (1) as ¢ > 07. Consider the problem min f(x) 3 st. h(y=0 ® where f(x) xg h(x) =x, +, “1. a) Use the first order KKT condition and find a stationary point. Show that the corresponding Lagrange multiplier 2*=-1. ) Show that the stationary point found in a) is a global minimum of (3). For an c) Consider the augmented Lagrangian function L,(x,A) = f(x) + A'h(x) + clh(x) arbitrary ¢20 and /.€, find all stationary points of the problem min L, (4,2) 2 @ st res? 4) Show that the stationary point found in c) is a global minimum of (4). €) Show that for 4 € 9, the global minimum of (4) found in ¢) converges to the global minimum of 3) as co. ) Show that the global minimum of (4) with A= A* =I is identical to the global solution of (3) for any ¢20