Numerical Optimization

Similar documents
Optimality conditions for unconstrained optimization. Outline

Numerical Optimization

MATH 4211/6211 Optimization Basics of Optimization Problems

Numerical Optimization

1 Newton s Method. Suppose we want to solve: x R. At x = x, f (x) can be approximated by:

Lecture 3: Basics of set-constrained and unconstrained optimization

Numerical Optimization

Fundamentals of Unconstrained Optimization

Numerical Optimization

Math 273a: Optimization Basic concepts

Constrained optimization: direct methods (cont.)

Solution Methods. Richard Lusby. Department of Management Engineering Technical University of Denmark

Part 2: Linesearch methods for unconstrained optimization. Nick Gould (RAL)

Line Search Methods for Unconstrained Optimisation

Static Problem Set 2 Solutions

Chapter 2: Unconstrained Extrema

Shiqian Ma, MAT-258A: Numerical Optimization 1. Chapter 3. Gradient Method

CE 191: Civil and Environmental Engineering Systems Analysis. LEC 05 : Optimality Conditions

Computational Optimization. Convexity and Unconstrained Optimization 1/29/08 and 2/1(revised)

Optimization Tutorial 1. Basic Gradient Descent

Structural and Multidisciplinary Optimization. P. Duysinx and P. Tossings

Optimization. Yuh-Jye Lee. March 21, Data Science and Machine Intelligence Lab National Chiao Tung University 1 / 29

Lecture 13 Newton-type Methods A Newton Method for VIs. October 20, 2008

8 Numerical methods for unconstrained problems

, b = 0. (2) 1 2 The eigenvectors of A corresponding to the eigenvalues λ 1 = 1, λ 2 = 3 are

Optimization. Escuela de Ingeniería Informática de Oviedo. (Dpto. de Matemáticas-UniOvi) Numerical Computation Optimization 1 / 30

Unconstrained optimization

Numerical Optimization Prof. Shirish K. Shevade Department of Computer Science and Automation Indian Institute of Science, Bangalore

Numerisches Rechnen. (für Informatiker) M. Grepl P. Esser & G. Welper & L. Zhang. Institut für Geometrie und Praktische Mathematik RWTH Aachen

Accelerating Convergence

CPSC 540: Machine Learning

The Steepest Descent Algorithm for Unconstrained Optimization

Introduction to unconstrained optimization - direct search methods

Part 5: Penalty and augmented Lagrangian methods for equality constrained optimization. Nick Gould (RAL)

Chapter 1. Optimality Conditions: Unconstrained Optimization. 1.1 Differentiable Problems

CONSTRAINED NONLINEAR PROGRAMMING

Monotone Function. Function f is called monotonically increasing, if. x 1 x 2 f (x 1 ) f (x 2 ) x 1 < x 2 f (x 1 ) < f (x 2 ) x 1 x 2

NPTEL web course on Complex Analysis. A. Swaminathan I.I.T. Roorkee, India. and. V.K. Katiyar I.I.T. Roorkee, India

Algorithms for constrained local optimization

Chapter 8 Gradient Methods

MAT 419 Lecture Notes Transcribed by Eowyn Cenek 6/1/2012

Constrained Optimization and Lagrangian Duality

Part 3: Trust-region methods for unconstrained optimization. Nick Gould (RAL)

10. Unconstrained minimization

Optimization Part 1 P. Agius L2.1, Spring 2008

Math (P)refresher Lecture 8: Unconstrained Optimization

AM 205: lecture 18. Last time: optimization methods Today: conditions for optimality

Constrained Optimization

MATH529 Fundamentals of Optimization Unconstrained Optimization II

Course Notes for EE227C (Spring 2018): Convex Optimization and Approximation

Chapter 11. Taylor Series. Josef Leydold Mathematical Methods WS 2018/19 11 Taylor Series 1 / 27

Unconstrained Optimization

Chapter 13. Convex and Concave. Josef Leydold Mathematical Methods WS 2018/19 13 Convex and Concave 1 / 44

Gradient Descent. Dr. Xiaowei Huang

Optimization Problems with Constraints - introduction to theory, numerical Methods and applications

MULTIPLE CHOICE. Choose the one alternative that best completes the statement or answers the question. C) x 8. C) y = x + 3 2

Optimality Conditions for Constrained Optimization

B553 Lecture 1: Calculus Review

Examination paper for TMA4180 Optimization I

NUMERICAL METHODS. x n+1 = 2x n x 2 n. In particular: which of them gives faster convergence, and why? [Work to four decimal places.

Analysis/Calculus Review Day 3

Geometry optimization

MATH 5720: Unconstrained Optimization Hung Phan, UMass Lowell September 13, 2018

SECTION: CONTINUOUS OPTIMISATION LECTURE 4: QUASI-NEWTON METHODS

Numerical Optimization

Chapter 0. Mathematical Preliminaries. 0.1 Norms

Chapter 2 BASIC PRINCIPLES. 2.1 Introduction. 2.2 Gradient Information

Descent methods. min x. f(x)

Algorithms for nonlinear programming problems II

CHAPTER 2: QUADRATIC PROGRAMMING

Computational Methods CMSC/AMSC/MAPL 460. Solving nonlinear equations and zero finding. Finding zeroes of functions

x x2 2 + x3 3 x4 3. Use the divided-difference method to find a polynomial of least degree that fits the values shown: (b)

E5295/5B5749 Convex optimization with engineering applications. Lecture 8. Smooth convex unconstrained and equality-constrained minimization

5 Quasi-Newton Methods

Lakehead University ECON 4117/5111 Mathematical Economics Fall 2002

Numerical Optimization

Unconstrained optimization I Gradient-type methods

Computational Optimization. Mathematical Programming Fundamentals 1/25 (revised)

The Randomized Newton Method for Convex Optimization

Network Newton. Aryan Mokhtari, Qing Ling and Alejandro Ribeiro. University of Pennsylvania, University of Science and Technology (China)

Mathematical Economics. Lecture Notes (in extracts)

Lecture 2: Convex Sets and Functions

Math 164: Optimization Barzilai-Borwein Method

Scientific Computing: An Introductory Survey

Scientific Computing: An Introductory Survey

Fixed point iteration Numerical Analysis Math 465/565

MATHEMATICAL ECONOMICS: OPTIMIZATION. Contents

QUADRATIC MAJORIZATION 1. INTRODUCTION

Lecture 3. Optimization Problems and Iterative Algorithms

minimize x subject to (x 2)(x 4) u,

Algorithms for nonlinear programming problems II

LECTURE 22: SWARM INTELLIGENCE 3 / CLASSICAL OPTIMIZATION

5 Handling Constraints

Calculus 2502A - Advanced Calculus I Fall : Local minima and maxima

Lecture 5: September 12

Review of Classical Optimization

UNCONSTRAINED OPTIMIZATION

Math 273a: Optimization Netwon s methods

Written Examination

Unconstrained minimization

Transcription:

Unconstrained Optimization Computer Science and Automation Indian Institute of Science Bangalore 560 01, India. NPTEL Course on

Unconstrained Minimization Let f : R n R. Consider the optimization problem: min s.t. f (x) x R n Assumption: f is bounded below. Definition x R n is said to be a local minimum of f if there is a δ > 0 such that f (x ) f (x) x B(x, δ).

0 15 f(x1,x) 10 5 0 3 1 0 x 1 3 3 1 x1 0 1 3 Surface Plot : f (x) = x 1 + x

0.5 f(x1,x) 0 0.5 1 0 x 1 1 x1 0 1 Surface Plot : f (x) = x 1 exp( x 1 x )

3.5 1.5 x 1 0.5 0.1 0. 0.3 0.1 0.1 0.3 0. 0.1 0 0.5 0.1 0. 0.3 0.4 0. 0. 0.4 0.3 0. 0.1 1 1.5 0.1 0.1 1.5 1 0.5 0 0.5 1 1.5 x1 Contour Plot : f (x) = x 1 exp( x 1 x ) The function value does not decrease in the local neighbourhood of a local minimum.

Definition Let x R n. If there exists a direction d R n and δ > 0 such that f ( x + αd) < f ( x) for all α (0, δ), then d is said to be a descent direction of f at x. Result Let f C 1 and x R n. Let g( x) = f ( x). If g( x) T d < 0 then, d is a descent direction of f at x. Proof. Given g( x) T d < 0. Now, f C 1 g C 0. δ > 0 g(x) T d < 0 x LS( x, x + δd). Choose any α (0, δ). Using first order truncated Taylor series, f ( x + αd) = f ( x) + αg(x) T d where x LS( x, x + αd) f ( x + αd) < f ( x) α (0, δ) d is a descent direction of f at x

First Order Necessary Conditions (Unconstrained Minimization) Let f : R n R, f C 1. If x is a local minimum of f, then g(x ) = 0. Proof. Let x be a local minimum of f and g(x ) 0. Choose d = g(x ). g(x ) T d = g(x ) T g(x ) < 0 g(x ) T d < 0 d is a descent direction of f at x Therefore, g(x ) = 0. x is not a local minimum, a contradiction. Provides a stopping condition for an optimization algorithm

Example: Consider the problem g(x) = min f (x) = x 1 exp( x 1 x ) ( exp( x 1 x )(1 x 1) exp( x 1 x )( x 1 x ) g(x) = 0 at ( 1, 0) T and ( 1, 0) T. ).

0.5 f(x1,x) 0 0.5 1 0 x 1 1 x1 0 1 The function has a local minimum at ( 1, 0) T and a local maximum at ( 1, 0) T

Consider the problem g(x) = min f (x) = x 1 exp( x 1 x ) ( exp( x 1 x )(1 x 1) exp( x 1 x )( x 1 x ) g(x) = 0 at ( 1, 0) T and ( 1, 0) T. If g(x ) = 0, then x is a stationary point. ). Need higher order derivatives to confirm that a stationary point is a local minimum

Second Order Necessary Conditions Let f : R n R, f C. If x is a local minimum of f, then g(x ) = 0 and H(x ) is positive semi-definite. Proof. Let x be a local minimum of f. From the first order necessary condition, g(x ) = 0. Assume H(x ) is not positive semi-definite. So, d such that d T H(x )d < 0. Since H is continuous near x, δ > 0 such that d T H(x + αd)d < 0 α (0, δ). Using second order truncated Taylor series around x, we have for all α (0, δ), x f (x + αd) = f (x ) + αg(x ) T d + 1 α d T H( x)d f (x + αd) < f (x ) where x LS(x, x + αd) is not a local minimum, a contradiction.

Second Order Sufficient Conditions Let f : R n R, f C. If g(x ) = 0 and H(x ) is positive definite, then x is a strict local minimum of f. Proof. Since H is continuous and positive definite near x, δ > 0 such that H(x) is positive definite for all x B(x, δ). Choose some x B(x, δ). Using second order truncated Taylor series, f (x) = f (x ) + g(x ) T (x x ) + 1 (x x ) T H( x)(x x ) where x LS(x, x ). Since (x x ) T H( x)(x x ) > 0 x B(x, δ), f (x) > f (x ) x B(x, δ). This implies that x is a strict local minimum.

Example: Consider the problem g(x) = min f (x) = x 1 exp( x 1 x ) ( exp( x 1 x )(1 x 1) exp( x 1 x )( x 1 x ) ). g(x) = 0 at x 1 T = ( 1, 0) T and x T = ( 1, 0) T. ( exp( H(x 1 ) = ) 0 ) 0 exp( 1 ) is positive definite x is a strict local minimum ( exp( H(x 1 1) = ) 0 ) 0 exp( 1) is negative definite x 1 is a strict local maximum

Example: Consider the problem g(x) = min f (x) = (x x1) + x1 5 ( ) 5x 4 1 4x 1 (x x1) (x x1). Stationary Point: (0, 0) T Hessian matrix at (0, 0) T : ( 0 0 0 Hessian is positive semi-definite at (0, 0) T ; (0, 0) T is neither a local minimum nor a local maximum of f (x). )

Example: Consider the problem min f (x) = x 1 + exp(x 1 + x ) g(x) = ( x1 + exp(x 1 + x ) exp(x 1 + x ) Need an iterative method to solve g(x) = 0. ).

An iterative optimization algorithm generates a sequence {x k } k 0, which converges to a local minimum. Unconstrained Minimization Algorithm (1) Initialize x 0, k := 0. () while stopping condition is not satisfied at x k (a) Find x k+1 such that f (x k+1 ) < f (x k ). (b) k := k + 1 endwhile Output : x = x k, a local minimum of f (x).

Unconstrained Minimization Algorithm (1) Initialize x 0, k := 0. () while stopping condition is not satisfied at x k (a) Find x k+1 such that f (x k+1 ) < f (x k ). (b) k := k + 1 endwhile Output : x = x k, a local minimum of f (x). How to find x k+1 in Step (a) of the algorithm? Which stopping condition can be used? Does the algorithm converge? If yes, how fast does it converge? Does the convergence and its speed depend on x 0?

Stopping Conditions for a minimization problem: g(x k ) = 0 and H(x k ) is positive semi-definite Practical Stopping conditions Assumption: There are no stationary points g(x k ) ɛ g(x k ) ɛ(1 + f (x k ) ) f (x k ) f (x k+1 ) f (x k ) ɛ

Speed of Convergence Assume that an optimization algorithm generates a sequence {x k }, which converges to x. How fast does the sequence converge to x? Definition The sequence {x k } converges to x with order p if x k+1 x lim k x k x p = β, β < Asymptotically, x k+1 x = β x k x p Higher the value of p, faster is the convergence.

(1) p = 1, 0 < β < 1 (Linear Convergence) Some Examples: β =.1, x 0 x =.1 Norms of x k x : 10 1, 10, 10 3, 10 4,... β =.9, x 0 x =.1 Norms of x k x : 10 1,.09,.081,.079,... () p =, β > 0 (Quadratic Convergence) Example: β = 1, x 0 x =.1 Norms of x k x : 10 1, 10, 10 4, 10 8,... (3) Suppose an algorithm generates a convergent sequence {x k } such that x k+1 x lim k x k x x k+1 x = 0 and lim k x k x = then this convergence is called superlinear convergence