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UUM 526 Optimization Techniques in Engineering Spring 2018-2019 Problem Set I

This document outlines the problems for Problem Set 1 of the Optimization Techniques in Engineering course at Istanbul Technical University. It includes 8 problems across various topics like linear transformations, multivariable calculus, optimization basics, and geometry. Students are instructed to submit their solutions through Ninova by March 5th and can earn up to 120 points total depending on their use of LATEX and completing an optional bonus problem. Late submissions within 4 days incur a 30 point penalty per day.

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_MerKeZ_
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49 views

UUM 526 Optimization Techniques in Engineering Spring 2018-2019 Problem Set I

This document outlines the problems for Problem Set 1 of the Optimization Techniques in Engineering course at Istanbul Technical University. It includes 8 problems across various topics like linear transformations, multivariable calculus, optimization basics, and geometry. Students are instructed to submit their solutions through Ninova by March 5th and can earn up to 120 points total depending on their use of LATEX and completing an optional bonus problem. Late submissions within 4 days incur a 30 point penalty per day.

Uploaded by

_MerKeZ_
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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UUM 526

Optimization Techniques in Engineering


Spring 2018-2019
Problem Set I
Asst. Prof. N. Kemal Ure
Department of Aeronautics
Istanbul Technical University

Due date is March 5th.

Homework Policy:

• All homework should be submitted through Ninova. No hard copy submission are needed/allowed.

• Late homeworks can be submitted by email with a −30 points penalty per day. (Hence after 4 late
days you will not gain any scores by submitting your homework)

• If you type the solution in LATEX, you will get +10 points. There are no extra points for hand-
written/scanned solutions or solutions written in MS Word.

• There is a bonus problem at the end, which is worth extra +10 points. The bonus problem is
significantly more difficult than the rest of the PSet. Only attempt at doing it after you have mastered
the subject and solved all the other problems.

• The full score for this PSet is 100 points. However, you can get a total of 120 points if you type the
solutions in LATEXand solve all the problems correctly along with the bonus problem.

• You can discuss the solution strategies with your classmates, however you must completely type
your solutions on your own. If any cheating is detected, you will get a −100 (yes that is a negative
score) from the PSet.

1
Linear Transformations
• Problem 1 (4 points): Let λ1 , λ2 , . . . , λn be the eigenvalues of the matrix A ∈ Rn×n . Show that
eigenvalues of I − A are 1 − λ1 , 1 − λ2 , . . . , 1 − λn .

• Problem 2 (6 points): For each of the following quadratic forms in R3 , determine if it is positive
definite, negative definite, negative semidefinite, or indefinite.

1. f (x) = x22
2. f (x) = x21 + 2x22 − x1 x3
3. f (x) = x21 + x23 + 2x1 x2 + 2x1 x3 + 2x2 x3

• Problem 3 (20 points): Remember that the 1−norm on Rn is defined by


n
X
kxk = |xi |.
i=1

and the associated induced matrix norm for A ∈ Rm×n is given as:

kAk1 = max kAxk1 .


kxk1 =1

Show that kAk1 = maxj m


P
i=1 |aij | (the maximum absolute column sum of A), where aij is the
element of A that corresponds to ith row and jP th
column. Next, solve the same problem using the
infinity norm, that is show that kAk∞ = maxi nj=1 |aij | (the maximum absolute row sum of A).

Multivariable Calculus
• Problem 4 (15 points): Let A be an n × n matrix.

1. Show that if kAk < 1, then


lim Ak = 0.
k→∞

Here k.k is any matrix norm that satisfy norm conditions, and 0 is the zero matrix. (10 points)
2. Show that for any A,
kAk ≥ max |λi (A)|.
1≤i≤n

Here λi (A) denotes the ith eigenvalue of A . (5 points)

• Problem 5 (15 points): Write down the second order Taylor expansion of the following functions
f : R2 → R around the specified x0 .

2
1. f (x) = x1 e−x2 + x2 + 1, x0 = [1, 0]> (5 points)
2. f (x) = x41 + 2x21 x22 + x42 , x0 = [1, 1]> (5 points)
3. f (x) = ex1 −x2 + ex1 +x2 + x1 + x2 + 1, x0 = [1, 0]> (5 points)

Basics of Optimization
• Problem 6 (20 points): Consider the following minimization problem on R2

minimize f (x1 , x2 ) = 3x1


subject to x1 + x22 ≥ 2

1. Does the point x∗ = [2, 0]> satisfy FONC?


2. Does the point x∗ = [2, 0]> satisfy SONC?
3. Is the point x∗ = [2, 0]> a local minimizer?

• Problem 7 (20 points): Consider the following minimization problem on R2

minimize f (x1 , x2 ) = 4x21 − x22


subject to x21 + 2x1 − x2 ≥ 0
x1 ≥ 0, x2 ≥ 0

1. Does the point x∗ = [0, 0]> satisfy FONC?


2. Does the point x∗ = [0, 0]> satisfy SONC?
3. Is the point x∗ = [0, 0]> a local minimizer?

Bonus Problem (Geometry)


• Problem 8 (10 points): In the class we proved that a linear variety {x : Ax = b} contains all the
lines that pass through any of its two points. Prove the converse of this statement. That is; if a set
contains all the lines that pass through any of its two points, then it is a linear variety.

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