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OF Fall1403 HW3

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17 views2 pages

OF Fall1403 HW3

Uploaded by

erfanaminifar4
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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In the name of God

Optimization Fundamentals

Homework 3 Deadline: 1403/09/20

1. Consider the following minimization problem:


𝑓(𝑥, 𝑦, 𝑧) = 2𝑥 ! + 𝑥𝑦 + 𝑦 ! + 𝑦𝑧 + 𝑧 ! − 6𝑥 − 7𝑦 − 8𝑧 + 9
a) Find a point that satisfies the first-order optimality condition.
b) Show that this point is a global minimum.
c) Determine the convergence rate of the steepest descent method for this problem.
d) If the steepest descent method starts from the (𝑥" = 0, 𝑦" = 0, 𝑧" = 0) calculate the
maximum number of iterations required such that the change in the function value in
successive iterations becomes less than 10#$" .

2. Consider the following iterative process where 𝑎 ≥ 0.


1 𝑎
𝑥%&$ = \𝑥% + ]
2 𝑥%
a) Assuming this process converges, find the convergence point(s).
b) Determine the convergence rate.

3. Consider the function 𝑓(𝑥, 𝑦) = 4 + 2𝑥 ! + 𝑦 ! + 𝑦 ' . Using Newton's method, prove the
convergence of the method to the global minimum of the function.

4. Consider the following function:


𝑓(𝑥) = 7.5𝑥$! + 3𝑥!! + 5𝑥$ 𝑥! + 10𝑥$ + 3𝑥! + 2.
a) Using the steepest descent method with an optimal direction and step size, perform two
iterations starting from the initial points:(𝑥$ , 𝑥! ) = (0,0) and (𝑥$ , 𝑥! ) = (0,1). (2 steps)
b) Solve the same problem from Part (a) using the Newton method.
c) Compare the solution time and the number of iterations required for both methods.

5. Let {x(k)} be a sequence that converges to x*. Show that there does not exist p < 1 such that

lm𝑥 (%&$) − 𝑥 ∗ ml
𝑙𝑖𝑚 > 0
%→)
lm𝑥 (%) − 𝑥 ∗ ml

6. Minimize the function

1 1 0 1
f(x) = x - p q x − x- p q + 7
2 0 2 −1

using the rank one correction method with the starting point 𝑥 (") = 0.
7. Consider Newton’s algorithm applied to a function 𝑓 ∈ 𝐶 !

#$
𝑥 (%&$) = 𝑥 (%) − α% 𝐹w𝑥 (%) x ∇𝑓w𝑥 (%) x

where 𝛼% is chosen according to a line search. Is this algorithm a member of the quasi-Newton
family?
!
"
8. Consider the problem of minimizing 𝑓(𝑥) = 𝑥 " = √𝑥 ' , 𝑥 ∈ ℛ. Note that 0 is the global
minimizer of f.
a) Write down the algorithm for Newton’s method applied to this problem.
b) Show that as long as the starting point is not 0, the algorithm in part a does not converge
to 0 (no matter how close to 0 we start).

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