Professional Documents
Culture Documents
Optimization of
Functions of Multiple
Variables: Unconstrained
Optimization
Objectives
To study the above with the aid of the gradient vector and the
Hessian matrix.
Unconstrained optimization
Necessary condition
)
x
1
f
*
(
)
x
2
0
x f
*
(
dx
n
Sufficient condition
When all eigen values are negative for all possible values of X, then
X* is a global maximum, and when all eigen values are positive for
all possible values of X, then X* is a global minimum.
If some of the eigen values of the Hessian at X* are positive and
some negative, or if some are zero, the stationary point, X*, is neither
a local maximum nor a local minimum.
Example
Analyze the function f ( x) x12 x22 x32 2 x1 x2 2 x1 x3 4 x1 5 x3 2
and classify the stationary points as maxima, minima and points of
inflection
Solution
f
*
(
x
1
2 x1 2 x2 2 x3 4
f
*
x f
( )
2 x2 2 x1
x2
2 x3 2 x1 5
f
*
( )
x
3
0
0
Example contd.
Example contd.
a1n
a2 n
A
M M
M
0
0
L
a
nn
a11
0
det
0
or
a12
a22 L
M
0
L
a1n
a2 n
0
M
ann
Hence 1 a11' ,
2 a22' ,
n ann ' .
Example:
1 1
A
2
4
2 5 6 0
The eigenvalues are therefore
1 2,
2 3
Example contd.
11
Thank you
12