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Rajesh P Mishra 2152A: Classical Optimization Theory

Rajesh P Mishra gave a lecture on classical optimization theory at BITS Pilani. The lecture covered topics including convexity, classification of quadratic forms, and dichotomous and golden section search methods. Specifically, the document discussed how any local minimizer is a global minimizer if a function is convex, and how the properties of positive/negative definite and semidefinite quadratic forms relate to the eigenvalues and principal minors of the matrix.

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50 views

Rajesh P Mishra 2152A: Classical Optimization Theory

Rajesh P Mishra gave a lecture on classical optimization theory at BITS Pilani. The lecture covered topics including convexity, classification of quadratic forms, and dichotomous and golden section search methods. Specifically, the document discussed how any local minimizer is a global minimizer if a function is convex, and how the properties of positive/negative definite and semidefinite quadratic forms relate to the eigenvalues and principal minors of the matrix.

Uploaded by

shashankmay18
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Classical Optimization theory

Rajesh P Mishra
2152A
[email protected]

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Convexity

When f is convex, any local


minimizer x* is a global minimizer of
f.
In addition, if f is differentiable, then
any stationary point x* is a global
minimizer of f.

2/24/17 7
Classification of Quadratic Form
Importance of Determinant, Eigen Values and
Diagonal Element

2. Positive Semi-definite:(a) A quadraticY form


xT Ax
is positive semi-definite iff the nested
principal minors of A is given as
a11 a12 ... a1n
a11 a12 a21 a22 a2 n
a11 0, 0,........, ....
0
a21 a22 ... ... ... ...
an1 an 2 ... ann

(b). A quadratic form Y=XTAX is positive semi-


definite iff at least one eigen value of A is zero
while the remaining roots are positive.

8
Continued
Y xT Ax
3. Negative Definite: (a). A quadratic form
is negative definite iff the nested principal minors of A
are given as
a11 a12 a13
a11 a12
a11 0, 0, a21 a22 a23 0,........
a21 a22
a31 a32 a33

Evidently a matrix A is negative definite only if (-1) n


det(A)>0; where det(A) is either negative or positive
depending on the order n of A.
(b). A quadratic form Y=XTAX be negative definite iff all
the eigen Roots of A are negative.

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Continued
4. Negative Semi-definite:(a)A quadratic form
Y xT Ax
is negative semi-definite iff the nested principal minors
of A is given as
a11 a12 a13
a11 a12
a11 0, 0, a21 a22 a23 0,........
a21 a22
a31 a32 a33
Evidently a matrix A is negative semi-definite
only if
(1) n A 0
,that is, det(A)0 ( det(A)0 ) when n is
( 1)n A 0

odd( even).
Y xT Ax
(b). A quadratic form is negative semi-
definite iff at least one eigen value of A is zero while
the remaining roots are negative.

10
Two closely related algorithms are
presented in this section:
dichotomous and golden section
search methods

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