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Optimization Lecture Notes Fixed

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Optimization Methods - Detailed Notes

Section 1

Optimization in one variable involves finding the maximum or minimum value of a function f(x)

by analyzing its critical points and behavior across intervals. This is particularly useful in problems

where outcomes depend on a single input variable.

---

1. **Key Definitions**:

- **Critical Point**: A point x=c is a critical point if f'(c)=0 or f'(c) does not exist. Critical points are candidates

for local maxima, minima, or saddle points.

Example: For f(x) = x^3 - 3x^2 + 2, f'(x) = 3x^2 - 6x. Setting f'(x) = 0, critical points are x=0 and x=2.

- **Local Minimum and Maximum**:

A point x=c is a **local minimum** if f(c) <= f(x) for all x near c.

Similarly, x=c is a **local maximum** if f(c) >= f(x) for all x near c.

Example: For f(x) = x^2, x=0 is a local minimum because the function dips at that point.

- **Global Minimum and Maximum**:

These are the lowest and highest values of f(x) across its entire domain.

---

2. **Finding Critical Points**:

Critical points are found by setting f'(x)=0 and solving for x.

Page 1
Optimization Methods - Detailed Notes

**Example**:

Let f(x) = x^3 - 3x^2 + 4.

1. First, compute f'(x) = 3x^2 - 6x.

2. Set f'(x) = 0: 3x(x-2) = 0. Critical points are x=0 and x=2.

Note: Simply finding critical points doesn't guarantee they're maxima or minima. We need tests.

Section 2

Optimization in multiple variables is similar but involves partial derivatives and additional tools like the

Hessian matrix.

---

1. **Key Definitions**:

- A **critical point** (x, y) is where all partial derivatives are zero: df/dx = 0 and df/dy = 0.

- The **Hessian matrix** is a square matrix of second derivatives:

H=[

[d^2f/dx^2, d^2f/dxdy],

[d^2f/dydx, d^2f/dy^2]

].

---

2. **Second Derivative Test**:

Use the determinant of the Hessian matrix (D):

- D = (d^2f/dx^2)(d^2f/dy^2) - (d^2f/dxdy)^2.

Page 2
Optimization Methods - Detailed Notes

Classification:

- If D > 0 and d^2f/dx^2 > 0, it's a local minimum.

- If D > 0 and d^2f/dx^2 < 0, it's a local maximum.

- If D < 0, it's a saddle point.

- If D = 0, the test is inconclusive.

---

3. **Example**:

Classify critical points of f(x, y) = x^2 + y^2 - 4x - 2y:

- Partial derivatives: df/dx = 2x - 4, df/dy = 2y - 2.

- Critical point: Solve df/dx = 0 and df/dy = 0 to get (x, y) = (2, 1).

- Hessian matrix: [

[2, 0],

[0, 2]

].

- D = (2)(2) - (0)^2 = 4 > 0, and d^2f/dx^2 = 2 > 0.

Therefore, (2, 1) is a local minimum.

Page 3

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