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Introduction To Optimization

Introduction to Optimization Optimization is the mathematical discipline which is concerned with finding the maxima and minima of functions, possibly subject to constraints. Where would we use optimization?

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Sushil Thakkar
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37 views

Introduction To Optimization

Introduction to Optimization Optimization is the mathematical discipline which is concerned with finding the maxima and minima of functions, possibly subject to constraints. Where would we use optimization?

Uploaded by

Sushil Thakkar
Copyright
© © All Rights Reserved
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Introduction to Optimization

Sushil Thakkar
IU1441110174
What is Optimization?

 Optimization is the mathematical discipline


which is concerned with finding the maxima
and minima of functions, possibly subject to
constraints.
Where would we use optimization?

 Architecture
 Nutrition
 Electrical circuits
 Economics
 Transportation
 etc.
What do we optimize?

 A real function of n variables

f ( x1 , x2 ,, xn )
 with or without constrains
Unconstrained optimization

min f ( x, y)  x  2 y 2 2
Optimization with constraints
min f ( x, y )  x 2  2 y 2
x0
or
min f ( x, y )  x 2  2 y 2
 2  x  5, y  1
or
min f ( x, y )  x 2  2 y 2
x y 2
Lets Optimize

 Suppose we want to find the minimum of the


function
Review max-min for R2

 What is special about a local max or a local


min of a function f (x)?
at local max or local min f’(x)=0
f”(x) > 0 if local min
f”(x) < 0 if local max
Review max-min for R3
Review max-min for R3

 Second Derivative Test


 Local min, local max, saddle point
 Gradient of f – vector (df/dx, df/dy, df/dz)
direction of fastest increase of f
 Global min/max vs. local min/max
Gradient Descent Method Examples

 Minimize function
f ( x, y )  0.5( x  y )
2 2

 11  x, y  11
 Minimize function

f ( x, y )  cos( x) cos( y )
 4  x, y  4
Gradient Descent Method Examples

 Use function gd(alpha,x0)


 Does gd.m converge to a local min? Is there a
difference if  > 0 vs.  < 0?
 How many iterations does it take to converge to a
local min? How do starting points x0 affect
number of iterations?
 Use function gd2(x0)
 Does gd2.m converge to a local min?
 How do starting points x0 affect number of
iterations and the location of a local minimum?
Thank you

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