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1 Introduction To Optimization: 1.1 Notations and Definitions

The document introduces optimization problems and provides examples of different types of optimization problems. It defines key concepts like the cost function J, constraints on the variables, and the feasible set U. Optimization problems aim to either minimize or maximize the cost function over the feasible set. Local and global optima are defined. Finite-dimensional examples provided include linear programming and least squares problems. Infinite-dimensional examples given in the calculus of variations include finding optimal trajectories and geodesics. Other examples mentioned are energy principles for PDEs and inverse problems.

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Samuel Alfonzo Gil Barco
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46 views4 pages

1 Introduction To Optimization: 1.1 Notations and Definitions

The document introduces optimization problems and provides examples of different types of optimization problems. It defines key concepts like the cost function J, constraints on the variables, and the feasible set U. Optimization problems aim to either minimize or maximize the cost function over the feasible set. Local and global optima are defined. Finite-dimensional examples provided include linear programming and least squares problems. Infinite-dimensional examples given in the calculus of variations include finding optimal trajectories and geodesics. Other examples mentioned are energy principles for PDEs and inverse problems.

Uploaded by

Samuel Alfonzo Gil Barco
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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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1 Introduction to optimization

1.1 Notations and definitions


1. a criterion, or cost function, or objective function: a function J defined over V
with values in R, where V is the space (normed vector space) in which the problem
lies, also called the space of command variables.
2. some constraints: for example,
(a) v ∈ K, where K is a subset of V
(b) equality constraints: F (v) = 0, where F : V → Rm (m real constraints: Fi (v) =
0)
(c) inequality constraints: G(v) ≤ 0, where G : V → Rp (p constraints Gi (v) ≤ 0).
If Gi (v) = 0, the constraint is active, or saturated.
If Gi (v) < 0, the constraint is inactive.
(d) Functional equation: the constraint is given by an ODE, or a PDE, to be satisfied
optimal command of an evolutive problem.

The different types of constraints can be mixed: v ∈ K and F (v) = 0 and G(v) ≤ 0.

We denote by U the set of admissible elements of the problem:

U = {v ∈ V ; v satisfies all the constraints}.

Minimization problem:

(P) Find u ∈ U such that J(u) ≤ J(v), ∀v ∈ U

Maximization problem: idem.

u is the optimal solution, or the solution of the optimization problem. J(u) is the optimal
value of the criterion.

Local optimum: ū is a local optimum if there exists a neighborhood V(ū) such that
J(ū) ≤ J(v), ∀v ∈ V(ū).

Note that a global optimum is a local optimum, but the converse proposition is not true
(except in a convex case).

1.2 Examples
• Finite dimension: J : Rn → R
• Infinite dimension: J : V → R

Finite dimension:

1.2.1 Example 1: linear problem


Food rationing (e.g. during wars):
n types of food
m food components (proteins, vitamins, . . . )
cj : unitary price of food j

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vj : quantity of food j
aij quantity of component i per unit of food j
bi : minimal (vital) quantity of component i

Food ration of minimal cost: minimize


n
X
J(v) = cj vj ,
j=1

n
X
under the constraints vj ≥ 0, aij vj ≥ bi , i = 1, . . . , m.
j=1

1.2.2 Example 2: least squares problem


Av = b, where A is a m × n matrix, of rank n < m, and v ∈ Rn .

J(v) = kAv − bk2Rm


Infinite dimension:

1.2.3 Calculus of variations


V functional space,
Z
J(v) = L(x, v(x), P v(x), . . . ) dx,
Ω
where P is a differential operator.
Problem: inf J(v).
v∈V

1.2.4 Example 3: optimal trajectory

From point (a, y0 ), reach (b, y1 ) as soon as possible.


The speed at point (x, y(x)) is c(x, y(x)).
Boundary conditions: y(a) = y0 , y(b) = y1 .

p
dx2 + y 02 dx2 dx p
c(x, y(x)) = = 1 + y 02
dt dt
p
1 + y 02 dx
dt =
c(x, y(x))
and then
b
p
1 + y 02
Z
J(y) = dx
a c(x, y(x))
to be minimized under the constraint y(a) = y0 , y(b) = y1 , and y ∈ V = C 1 ([a, b]).

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1.2.5 Example 4: geodesic
A geodesic is the shortest path between points on a given space (e.g. on the Earth’s surface).
x = x(u, v), y = y(u, v), z = z(u, v) ⇒ ds2 = dx2 + dy 2 + dz 2 = (xu du + xv dv)2 +(yu du +
yv dv)2 +(zu du + zv dv)2 = e du2 + 2f dudv + g dv 2 , where e = x2u + yu2 + zu2 , f = xu xv + yu yv +
zu zv , g = x2v + yv2 + zv2 .
The shortest path between points (u0 , v0 ) and (u1 , v1 ) is given by a function v : [u0 , u1 ] → R
solution of Z u1 p
inf J(v) = e + 2f v 0 + gv 02 du
u0

under the constraints v(u0 ) = v0 , v(u1 ) = v1 , and v ∈ C 1 ([u0 , u1 ]).

1.2.6 Other examples


• Energy principle (or variational principle) for a PDE:
Z Z
1 2
inf J(v) = |∇v| dx − f v dx
2 Ω Ω

• Inverse problems: identification and estimation of parameters:

−div(K(x)∇u) = f

where K is unknown: X
J= [u(xi ) − ui ]2
i

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