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Chap1 Lec1 Introduction To NLO

This summary provides an overview of the key points from the document: 1) The document introduces the topic of optimization which is the computation of minimum or maximum values of an objective function subject to constraints, with applications in business problems. 2) An example problem is presented to find the maximum value of a function subject to constraints, which is solved by substituting one constraint for a variable and then taking derivatives. 3) Concepts are introduced for classifying critical points as local or global minimizers/maximizers based on the first and second derivatives, along with examples to illustrate these concepts.

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89 views3 pages

Chap1 Lec1 Introduction To NLO

This summary provides an overview of the key points from the document: 1) The document introduces the topic of optimization which is the computation of minimum or maximum values of an objective function subject to constraints, with applications in business problems. 2) An example problem is presented to find the maximum value of a function subject to constraints, which is solved by substituting one constraint for a variable and then taking derivatives. 3) Concepts are introduced for classifying critical points as local or global minimizers/maximizers based on the first and second derivatives, along with examples to illustrate these concepts.

Uploaded by

Uzair Aslam
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Jim Lambers

MAT 419/519
Summer Session 2011-12
Lecture 1 Notes

These notes correspond to Section 1.1 in the text.

Introduction
This course is about optimization, which is the computation of the minimum or maximum values
of an objective function f (x) of one or several variables, which may or may not be subject to
constraints. Optimization has many applications, such as in business, where quantities such as
revenue or profit need to be maximized while other quantities such as costs need to be minimized.
Example Consider the function f (x, y) = x2 y. We wish to find the maximum value of this function,
subject to the constraints that x + y = 50 and x ≥ 0. This can be accomplished by solving for y in
terms of x, which yields y = 50−x, and then maximizing the function g(x) = x2 (50−x) = 50x2 −x3 .
From
g(x) = 100x − 3x2 , g 00 (x) = 100 − 6x,
we obtain the critical points x = 0 and x = 100/3. Because g 00 (0) = 100 and g 00 (100/3) = −100, we
conclude that the maximum occurs at either x = 100/3 or the endpoint x = 0. Substituting these
values into g(x) yields g(0) = 0 and g(100/3) = 1000/54, so the maximum occurs at x = 100/3. 2

Functions of One Variable


We can obtain conditions that f (x) and its derivatives must satisfy at a minimum or maximum
using Taylor’s Theorem.
Theorem (Taylor’s Formula) Suppose that f (x), f 0 (x) and f 00 (x) exist on the closed interval
[a, b] = {x ∈ R | a ≤ x ≤ b}. If x∗ , x ∈ [a, b], x 6= x∗ , then there exists a point z between x and x∗
such that
1
f (x) = f (x∗ ) + f 0 (x∗ )(x − x∗ ) + f 00 (z)(x − x∗ )2 .
2

It follows from this formula that if f 0 (x∗ ) = 0 and f 00 (x) > 0, then f (x) = f (x∗ ) + d where d is
a positive number. That is, f (x) > f (x∗ ). Therefore, if f 00 (x) > 0 for all x in the domain of f ,
then x∗ is the point at which the value of f (x) is minimized. Similarly, if f 00 (x) < 0 for all x in
the domain of f , then x∗ is the point at which the value of f (x) is maximized. This observation is
known as the Second Derivative Test.

1
2
Example Let f (x) = ex . Then we have
2 2
f 0 (x) = 2xex , f 00 (x) = 2(2x1 + 1)ex .

The only point x∗ at which f 0 (x∗ ) = 0 is at x∗ = 0. Because f 00 (x) > 0, it follows from the preceding
theorem that f (x) > f (0) for all x 6= 0. 2
We now classify types of points at which the value of a function is minimized or maximized.
Definition Suppose f (x) is a real-valued function defined on an interval I. A point x∗ ∈ I is a

1. global minimizer of f (x) on I if f (x∗ ) ≤ f (x) for all x ∈ I;

2. strict global minimizer of f (x) on I if f (x∗ ) < f (x) for all x ∈ I;

3. local minimizer of f (x) if there exists δ > 0 such that f (x∗ ) ≤ f (x) for all x ∈ I whenever
|x − x∗ | < δ;

4. strict local minimizer of f (x) if there exists δ > 0 such that f (x∗ ) < f (x) for all x ∈ I
whenever 0 < |x − x∗ | < δ;

5. critical point of f (x) if f 0 (x∗ ) exists f 0 (x∗ ) = 0.

Similar types of maximizers of f (x) can be defined in an entirely analogous manner.


The following theorem helps us to characterize minimizers and maximizers. Theorem (Fer-
mat) SUppose that f (x) is differentiable on an interval I. If x∗ is a local minimizer or maximizer
of f (x), then either x∗ is an endpoint of I, or a critical point of f (x).
This theorem can be proved using the definition of the derivative as a limit.
The following theorem is useful for classifying critical points as minimizers or maximizers.
Theorem SUppose that f (x), f 0 (x) and f 00 (x) are all continuous on an interval I and that x∗ ∈ I
is a critical point of f (x).

1. If f 00 (x) ≥ 0 for all x ∈ I, then x∗ is a global minimizer of f (x) on I.

2. If f 00 (x) > 0 for all x ∈ I such that x 6= x∗ , then x∗ is a strict global minimizer of f (x) on I.

3. If f 00 (x∗ ) > 0, then x∗ is a strict local minimizer of f (x).

This theorem can be proved using Taylor’s Formula. The third part uses the continuity of f 00 (x)
in conjunction with Taylor’s Formula.

2
Example Let f (x) = 3x4 − 4x3 + 1. From

f 0 (x) = 12x3 − 12x2 = 12x2 (x − 1), f 00 (x) = 36x2 − 24x = 12x(3x − 2),

we obtain the critical points x = 0, 1. From f 00 (0) = 0 and f 00 (1) = 12, we see that f has a strict
local minimizer at x = 1. Because f 00 (x) changes sign near x = 0, this point is an inflection point
of f (x). However, f 0 (x) does not change sign near x = 0, so this point is neither a minimizer nor
a maximizer. Finally, because

lim f (x) = lim f (x) = +∞,


x→∞ x→−∞

we can conclude that x = 1 is also a strict global minimizer of f (x). 2


Example Let f (x) = ln(1 − x2 ) on (−1, 1). From

2x 2 + 2x2
f 0 (x) = − , f 00 (x) = − ,
1 − x2 1 − x2
we obtain the critical point x = 0. Because f 00 (x) < 0 on the entire interval (−1, 1), it follows from
the preceding theorem that x = 0 is a strict global maximizer of f (x). 2

Exercises
1. Chapter 1, Exercise 1

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