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Check For Matrix Definiteness

The document discusses using the Hessian matrix to determine if a point is a relative minimum or maximum in multivariable optimization without constraints. It states that if the Hessian matrix evaluated at a stationary point is positive definite, then that point is a relative minimum, and if it is negative definite then it is a relative maximum. It provides two tests for determining if a matrix is positive or negative definite based on the signs of its eigenvalues or the signs of the determinants of its leading principal minors.

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39 views1 page

Check For Matrix Definiteness

The document discusses using the Hessian matrix to determine if a point is a relative minimum or maximum in multivariable optimization without constraints. It states that if the Hessian matrix evaluated at a stationary point is positive definite, then that point is a relative minimum, and if it is negative definite then it is a relative maximum. It provides two tests for determining if a matrix is positive or negative definite based on the signs of its eigenvalues or the signs of the determinants of its leading principal minors.

Uploaded by

SudiptaMallick
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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2.

3 Multivariable Optimization with No Constraints 71

will have the same sign as (∂ 2 f/∂xi ∂xj )| X = X∗ for all sufficiently small h. Thus
f (X∗ + h) − f (X∗ ) will be positive, and hence X∗ will be a relative minimum, if
n  n 
 ∂ 2 f 
Q= hi hj (2.11)
∂xi ∂xj X=X∗
i=1 j =1

is positive. This quantity Q is a quadratic form and can be written in matrix form as
Q = hT Jh|X=X∗ (2.12)

where
  
∂ 2 f 
J|X=X∗ = (2.13)
∂xi ∂xj X=X∗
is the matrix of second partial derivatives and is called the Hessian matrix of f (X).
It is known from matrix algebra that the quadratic form of Eq. (2.11) or (2.12)
will be positive for all h if and only if [J] is positive definite at X = X∗ . This means
that a sufficient condition for the stationary point X∗ to be a relative minimum is that
the Hessian matrix evaluated at the same point be positive definite. This completes the
proof for the minimization case. By proceeding in a similar manner, it can be proved
that the Hessian matrix will be negative definite if X∗ is a relative maximum point.
Note: A matrix A will be positive definite if all its eigenvalues are positive; that
is, all the values of λ that satisfy the determinantal equation
|A − λI| = 0 (2.14)

should be positive. Similarly, the matrix [A] will be negative definite if its eigenvalues
are negative.
Another test that can be used to find the positive definiteness of a matrix A of
order n involves evaluation of the determinants
A = |a11 | ,
 
  a11
 a12 a13 · · · a1n 
a11 a12 
A2 =  , a21
 a22 a23 · · · a2n 
a21 a22  a32 a33 · · · a3n 
An = a31

(2.15)
   .. 
a11 a12 a13   . 
   
A3 = a21 a22 a23  , . . . ,
an1 an2 an3 · · · ann 
a31 a32 a32 

The matrix A will be positive definite if and only if all the values A1 , A2 , A3 , . . . , An
are positive. The matrix A will be negative definite if and only if the sign of Aj is
(–1)j for j = 1, 2, . . . , n. If some of the Aj are positive and the remaining Aj are
zero, the matrix A will be positive semidefinite.

Example 2.4 Figure 2.4 shows two frictionless rigid bodies (carts) A and B connected
by three linear elastic springs having spring constants k1 , k2 , and k3 . The springs are
at their natural positions when the applied force P is zero. Find the displacements x1
and x2 under the force P by using the principle of minimum potential energy.

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