Paul Schrimpf. October 18, UBC Economics 526. Unconstrained optimization. Paul Schrimpf. Notation and definitions. First order conditions

Similar documents
UNCONSTRAINED OPTIMIZATION PAUL SCHRIMPF OCTOBER 24, 2013

Math (P)refresher Lecture 8: Unconstrained Optimization

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

Lecture 2 - Unconstrained Optimization Definition[Global Minimum and Maximum]Let f : S R be defined on a set S R n. Then

Paul Schrimpf. October 17, UBC Economics 526. Constrained optimization. Paul Schrimpf. First order conditions. Second order conditions

Here each term has degree 2 (the sum of exponents is 2 for all summands). A quadratic form of three variables looks as

Econ Slides from Lecture 8

Chapter 2: Unconstrained Extrema

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

EC /11. Math for Microeconomics September Course, Part II Problem Set 1 with Solutions. a11 a 12. x 2

EC9A0: Pre-sessional Advanced Mathematics Course. Lecture Notes: Unconstrained Optimisation By Pablo F. Beker 1

8 Extremal Values & Higher Derivatives

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

MATHEMATICAL ECONOMICS: OPTIMIZATION. Contents

Math 102, Winter Final Exam Review. Chapter 1. Matrices and Gaussian Elimination

Linear Algebra Practice Problems

Nonlinear Programming (NLP)

EC /11. Math for Microeconomics September Course, Part II Lecture Notes. Course Outline

Convex Functions and Optimization

CS 143 Linear Algebra Review

1 Overview. 2 A Characterization of Convex Functions. 2.1 First-order Taylor approximation. AM 221: Advanced Optimization Spring 2016

Lakehead University ECON 4117/5111 Mathematical Economics Fall 2002

Mathematical Economics: Lecture 16

MATH 221, Spring Homework 10 Solutions

Eigenvalues, Eigenvectors, and Diagonalization

Lecture 4: Optimization. Maximizing a function of a single variable

5 More on Linear Algebra

Numerical Optimization

September Math Course: First Order Derivative

Analysis and Linear Algebra. Lectures 1-3 on the mathematical tools that will be used in C103

Symmetric Matrices and Eigendecomposition

A matrix is a rectangular array of. objects arranged in rows and columns. The objects are called the entries. is called the size of the matrix, and

Example: Filter output power. maximization. Definition. Eigenvalues, eigenvectors and similarity. Example: Stability of linear systems.

A matrix is a rectangular array of. objects arranged in rows and columns. The objects are called the entries. is called the size of the matrix, and

DIAGONALIZATION. In order to see the implications of this definition, let us consider the following example Example 1. Consider the matrix

MATH 304 Linear Algebra Lecture 33: Bases of eigenvectors. Diagonalization.

Basics of Calculus and Algebra

1. Let m 1 and n 1 be two natural numbers such that m > n. Which of the following is/are true?

Fundamentals of Unconstrained Optimization

Calculus 221 worksheet

x +3y 2t = 1 2x +y +z +t = 2 3x y +z t = 7 2x +6y +z +t = a

Preliminary draft only: please check for final version

Boston College. Math Review Session (2nd part) Lecture Notes August,2007. Nadezhda Karamcheva www2.bc.

AMS526: Numerical Analysis I (Numerical Linear Algebra)

Functions of Several Variables

Chapter 7. Extremal Problems. 7.1 Extrema and Local Extrema

10.34 Numerical Methods Applied to Chemical Engineering Fall Quiz #1 Review

Econ Slides from Lecture 7

2 Eigenvectors and Eigenvalues in abstract spaces.

Math 308 Practice Final Exam Page and vector y =

MA 265 FINAL EXAM Fall 2012

Lecture 7: Positive Semidefinite Matrices

Linear Algebra: Linear Systems and Matrices - Quadratic Forms and Deniteness - Eigenvalues and Markov Chains

Math Matrix Algebra

Linear Algebra- Final Exam Review

Linear Algebra - Part II

SPRING 2006 PRELIMINARY EXAMINATION SOLUTIONS

1. What is the determinant of the following matrix? a 1 a 2 4a 3 2a 2 b 1 b 2 4b 3 2b c 1. = 4, then det

1 Convexity, concavity and quasi-concavity. (SB )

Transpose & Dot Product

Static Problem Set 2 Solutions

Calculating determinants for larger matrices

Transpose & Dot Product

3 (Maths) Linear Algebra

LINEAR ALGEBRA QUESTION BANK

Chapter 5. Linear Algebra. A linear (algebraic) equation in. unknowns, x 1, x 2,..., x n, is. an equation of the form

What is on this week. 1 Vector spaces (continued) 1.1 Null space and Column Space of a matrix

Premiliminary Examination, Part I & II

1. In this problem, if the statement is always true, circle T; otherwise, circle F.

MATH 220 FINAL EXAMINATION December 13, Name ID # Section #

Mathematical Economics: Lecture 3

Matrix Vector Products

Chapter 8 Nonlinear programming. Extreme value theorem. Maxima and minima. LC Abueg: mathematical economics. chapter 8: nonlinear programming 1

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

Matrices and Linear transformations

Week 4: Calculus and Optimization (Jehle and Reny, Chapter A2)

In English, this means that if we travel on a straight line between any two points in C, then we never leave C.

Chapter 6. Eigenvalues. Josef Leydold Mathematical Methods WS 2018/19 6 Eigenvalues 1 / 45

Chapter 3. Determinants and Eigenvalues

Nonlinear Programming Algorithms Handout

IMPORTANT DEFINITIONS AND THEOREMS REFERENCE SHEET

Matrices and Linear Algebra

LECTURE 9 LECTURE OUTLINE. Min Common/Max Crossing for Min-Max

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

Math 4A Notes. Written by Victoria Kala Last updated June 11, 2017

Remark By definition, an eigenvector must be a nonzero vector, but eigenvalue could be zero.

Chapter 3 Transformations

235 Final exam review questions

MATH 423 Linear Algebra II Lecture 33: Diagonalization of normal operators.

Semidefinite Programming Basics and Applications

YORK UNIVERSITY. Faculty of Science Department of Mathematics and Statistics MATH M Test #1. July 11, 2013 Solutions

MATH529 Fundamentals of Optimization Unconstrained Optimization II

REVIEW OF DIFFERENTIAL CALCULUS

MATH 369 Linear Algebra

Announcements. Topics: Homework: - sections , 6.1 (extreme values) * Read these sections and study solved examples in your textbook!

Linear and non-linear programming

Notes taken by Graham Taylor. January 22, 2005

Chapter 7. Canonical Forms. 7.1 Eigenvalues and Eigenvectors

IMPORTANT DEFINITIONS AND THEOREMS REFERENCE SHEET

Lecture 6 Positive Definite Matrices

Transcription:

Unconstrained UBC Economics 526 October 18, 2013

.1.2.3.4.5

Section 1

Unconstrained problem x U R n F : U R. max F (x) x U Definition F = max x U F (x) is the maximum of F on U if F (x) F for all x U and F (x ) = F for some x U Definition x U is a maximizer of F on U if F (x ) = max x U F (x). The set of all maximizers is denoted arg max x U F (x).

Definition x U is a strict maximizer of F on U if F (x ) > F (x) for all x U with x x. Definition F has a local maximum at x if δ > 0 such that F (y) F (x) for all y N δ (x) U. Each such x is called a local maximizer of F. If F (y) < F (x) for all y x, y N δ (x) U, then we say F has a strict local maximum at x.

Example Here are some examples of functions from R R and their maxima and minima. 1. F (x) = x 2 is minimized at x = 0 with 0. 2. F (x) = c has and maximum c. Any x is a maximizer. 3. F (x) = cos(x) has maximum 1 and 1. 2πn for n Z is a maximizer.. 4 F (x) = cos(x) + x/2 has no global maximizer or minimizer, but has many local ones.

Supremum vs maximum The supremum of F on U is sup x U F (x) = S if S F (x) x U, and for any S < S, x s.t. F (x) > S. When max x U F (x) exists, sup x U F (x) = max x U F (x) Sometimes maximum does not exist, but supremum does e.g. F (x) = x, U = (0, 1) The infinum is to the as the supremum is to the maximum

Section 2

Theorem Let U R n, F : U R, and suppose F has a local maximum or at x, F is differentiable at x, and x interior(u). Then DF x = 0. Definition Any point such that DF x = 0 is call a critical point of F. F cannot have local minima or maxima (=local extrema) at interior non-critical points. F might have a local extrema its critical points, but it does not have to. e.g. F (x) = x 3, F (x) = x 2 1 x 2 2

Section 3

F : R n R, x is a critical point DF x = 0 To check if x is a local maximum, need to look at F (x + h) for small h Taylor expansion: F (x + h) = F (x ) + DF x h + h T D 2 F x h + r(x, h) D 2 F x is the matrix of second derivatives, called the Hessian of F. r is small, so ignore it, then F (x + h) < F (x ) if h T D 2 F x h < 0 for all h

Definition Let A be a symmetric matrix, then A is Negative definite if x T Ax < 0 for all x 0 Negative semi-definite if x T Ax 0 for all x 0 Positive definite if x T Ax > 0 for all x 0 Positive semi-definite if x T Ax 0 for all x 0 Indefinite if x 1 s.t. x T 1 Ax 1 > 0 and some other x 2 such that x T 2 Ax 2 < 0.

condition Theorem Let F : U R be twice continuously differentiable on U and let x be a critical point in the interior of U. If 1. The Hessian, D 2 F x is negative definite, then x is a strict local maximizer. 2. The Hessian, D 2 F x is positive definite, then x is a strict local minimizer. 3. The Hessian, D 2 F x is indefinite, x is neither a local min nor a local max.. 4 The Hessian is positive or negative semi-definite, then x could be a local maximum,, or neither.

Proof.

F (x + h) F (x ) =h T D 2 F x h + r(x, h) =h T D 2 F x h ± h T h r(x, h) h 2 ( =h T D 2 F x ± r(x ), h) h 2 h h T ( D 2 F x ± ϵ ) h t 2 (q T D 2 F x q) + ϵt 2 wheretq = h, q = 1 Pick ϵ < inf q =1 q T D 2 F x q. The set {q : q = 1} is compact so there is some q that achieves this, and q T D 2 F x q < 0, so ϵ > 0. ( ) F (x + h) F (x ) <t 2 (q T D 2 F x q) + (q T D 2 F x q) <0

Example F : R R, F (x) = x 4. The first order condition is 4x 3 = 0, so x = 0 is the only critical point. The Hessian is F (x) = 12x 2 = 0 at x. However, x 4 has a strict local at 0.

Example F : R 2 R, F (x 1, x 2 ) = x1 2. The first order condition is DF x = ( 2x 1, 0) = 0, so the x1 = 0, x 2 R are all critical points. The Hessian is ( ) D 2 2 0 F x = 0 0 This is negative semi-definite because h T D 2 F x h = 2h1 2 0. Also, graphing the function would make it clear that x1 = 0, x2 R are all (non-strict) local maxima.

Example F : R 2 R, F (x 1, x 2 ) = x1 2 + x 2 4. The first order condition is DF x = ( 2x 1, 4x2 3) = 0, so the x = (0, 0) is a critical point. The Hessian is ( ) D 2 2 0 F x = 0 12x2 2 This is negative semi-definite at 0 because h T D 2 F 0 h = 2h1 2 0. However, 0 is not a local maximum because F (0, x 2 ) > F (0, 0) for any x 2 0. 0 is also not a local because F (x 1, 0) < F (0, 0) for all x 1 0.

Theorem Let F : U R be twice continuously differentiable on U and let x in the interior of U be a local maximizer (or minimizer) of F. Then DF x = 0 and D 2 F x is negative (or positive) semi-definite. Proof. Using the same notation and setup as in the proof of theorem 9, 0 > F (x + tq) F (x ) =t 2 q T D 2 F x q + r(x, tq) ( ) 0 >t 2 q T D 2 r(x, tq) F x q + t 2 r(x,tq) Because lim t 0 = 0, for any ϵ > 0 δ > 0 such that if t 2 t < δ, then ( ) 0 >t 2 q T D 2 r(x, tq) ( ) F x q + t 2 t 2 q T D 2 F x q ϵ t 2 ϵ >t 2 q T D 2 F x q

Section 4

condition depends on checking whether x T Ax is always positive or negative for symmetric A 1 by 1: x T Ax = ax 2, negative definite if a < 0 2 by 2: x T Ax = ( x1 x 2 ) T ( ) ( ) a b x1 b c x 2 =ax 2 1 + 2bx 1 x 2 + cx 2 2 = ( =a x 1 + b ) 2 a x 2 + ac b2 x2 2 a a (x 1 + 2ba x 1x 2 + b2 a 2 x 2 Thus x T Ax < 0 for all x 0 if a < 0 and deta = ac b 2 > 0

Definition Let A by an n by n matrix. The k by k submatrix a 11 a 1k A k =.. a k1 a kk is the kth leading principal submatrix of A. The determinant of A k is the kth order leading principal minor of A.

Theorem Let A be an n by n symmetric matrix. Then 1. A is positive definite if and only if all n of its leading principal minors are strictly positive. 2. A is positive semi-definite if and only if all n of its leading principal minors are weakly positive. 3. A is negative definite if and only if all n of its leading principal minors alternate in sign as follows: deta 1 < 0, deta 2 > 0, deta 3 < 0, etc. 4. A is negative semi-definite if and only if all n of its leading principal minors weakly alternate in sign as follows: deta 1 0, deta 2 0, deta 3 0, etc. 5 A is indefinite if and only if none of the five above cases hold, and deta k 0 for at least one k.

Positive definite 80 70 60 50 40 30 20 10 010 5 10 0 5 y -5-5 0 x -10-10

Negative definite 0-10 -20-30 -40-50 -60-70 -8010 5 10 0 5 y -5-5 0 x -10-10

Positive semi-definite 40 35 30 25 20 15 10 5 010 5 10 0 5 y -5-5 0 x -10-10

Negative semi-definite 0-5 -10-15 -20-25 -30-35 -4010 5 10 0 5 y -5-5 0 x -10-10

Indefinite 40 30 20 10 0-10 -20-30 -4010 5 10 0 5 y -5-5 0 x -10-10

Eigenvalues and eigenvectors Definition If A is an n by n matrix, λ is a scalar, v R n with v = 1, and Av = λv then λ is a eigenvalue of A and v is an eigenvector.

Lemma Let A be an n by n matrix and λ a scalar. Each of the following are equivalent. 1. λ is a eigenvalue of A. 2. A λi is singular. 3. det(a λi ) = 0. Proof. We know that (2) and (3) from our results on systems of linear equations and. Also, if A λi is singular, then the null space of A λi contains non-zero vectors. Choose v N (A λi ) such that v 0. Then (A λi )v = 0, so A(v/ v ) = λ(v/ v ) as in the definition of.

χ A : R R defined by χ A (x) = det(a xi ) is called the characteristic polynomial of A Polynomial of order n. n roots, possibly not real and not distinct For symmetric nonsingular, the roots are real and distinct Lemma Let A be an n by n matrix with n distinct real then the eigenvectors of A are linearly independent.

So if A has n distinct, it has n linearly independent eigenvectors. Can make the eigenvectors orthogonal Make matrix V with columns composed of the orthogonal eigenvectors, then V is orthogonal, so V 1 = V T. Definition of implies AV = V Λ where Λ is diagonal matrix of. Theorem (Eigendecomposition) Let A be an n by n non-singular symmetric matrix, then A has n distinct real A = V ΛV T where Λ is the diagonal matrix consisting of the of A and the columns of V are the eigenvectors of A, and V is an orthogonal matrix.

Theorem If A is an n by n symmetric non-singular matrix with λ 1,..., λ n, then 1. λ i > 0 for all i, iff A is positive definite, 2. λ i 0 for all i, iff A is positive semi-definite, 3. λ i < 0 for all i, iff A is negative definite, 4. λ i 0 for all i, iff A is negative semi-definite, 5. if some λ i > 0 and some λ j < 0, then A is indefinite.

Proof. Let A = V ΛV T be the eigendecomposition of A. Let x 0 R n. Then x T V = z T 0 because V is nonsingular. Also, x T Ax = x T V ΛV T x = z T Λz. Since Λ is diagonal we have z T Λz = z 2 1 λ 1 +... + z 2 nλ n Thus, x T Ax = z T Λz > 0 for all x iff λ i > 0 for each i. The other parts of the theorem follow similarly.

Section 5

First and second order give nice way of finding local maxima maximum: find all interior local maxima and compare them with each other and the value of F on the boundary Tedious if many local maxima or boundary of U is complicated Generally, no nice necessary and sufficient condition for global maximum One sufficient condition is that concave functions on convex sets have a unique global maximum

Definition Let f : U R. f is convex if for all x, y U with l(x, y) U we have f (tx + (1 t)y) tf (x) + (1 t)f (y) for all t [0, 1]. Definition Let f : U R. f is concave if for all x, y U with l(x, y) U we have f (tx + (1 t)y) tf (x) + (1 t)f (y) for all t [0, 1].

Theorem Let F : U R be twice continuously differentiable and U R n be convex. Then, 1. The following three are equivalent:.1 F is a concave function on U.2 F (y) F (x) DF x (y x) for all x, y U,.3 D 2 F x is negative semi-definite for all x, y U. 2 If F is a concave function on U and DF x = 0 for some x U, then x is the global maximizer of F on U.