Math 273a: Optimization: Instructor: Wotao Yin Department of Mathematics, UCLA Fall 2015
Math 273a: Optimization: Instructor: Wotao Yin Department of Mathematics, UCLA Fall 2015
Examples:
Find the largest area of a rectangular region provided that its perimeter is
no greater than 100.
Given a sequence of n numbers that are not all negative, find two indices
so that the sum of those numbers between the two (including them) is a
maximum.
Optimization formulation
minimize f (x)
x
subject to x C
Most of this course focuses on finding local solutions and, for convex
programs, global solutions. This is seemingly odd but there are good
reasons:
Most global optimization algorithms (often takes long time to run) seeks
the global solution by finding local solutions
Many useful problems are convex, that is, a local solution is global
Solution:
n
X
maximizen ai xi
x,y,z{0,1}
i=1
subject to x0 = xn+1 = 0
n
X
xi 1 select at least one
i=1
n
X
xi xi1 yi , yi = 1 0-to-1 change
i=1
Xn