Optimization & 1-D Unconstrained Optimization
Optimization & 1-D Unconstrained Optimization
Introduction
&
1-D Unconstrained Optimization
1
Mathematical Background
Objective: Maximize or Minimize f(x)
subject to
d i ( x ) ai i 1,2, , m *
Constraints
ei ( x ) bi i 1,2, , p *
4
Optimization Methods
One-Dimensional Unconstrained Optimization
Golden-Section Search
Quadratic Interpolation
Newton's Method
5
Global and Local Optima
A function is said to be multimodal on a given
interval if there are more than one
minimum/maximum point in the interval.
6
Characteristics of Optima
• Advantages
– Fast convergent rate near solution
– Hybrid approach: Use bracketing method to find an
approximation near the solution, then switch to
Newton's method.
9
Bracketing Method
f (x )
xl xa x b xu x
Suppose f(x) is unimodal on the interval [xl, xu]. That is, there
is only one local maximum point in [xl, xu].
Let xa and xb be two points in (xl, xu) where xa < xb.
10
Bracketing Method
xl xa x b x u x xl xa xb x u x
If f(xa) > f(xb), then the maximum point will not reside in the
interval [xb, xu] and as a result we can eliminate the portion
toward the right of xb.
In other words, in the next iteration we can make xb the new xu
11
Generic Bracketing Method (Pseudocode)
// xl, xu: Lower and upper bounds of the interval
// es: Acceptable relative error
function BracketingMax(xl, xu, es) {
do {
prev_optimal = optimal;
Select xa and xb s.t. xl <= xa < xb <= xu;
return max;
} 12
Bracketing Method
How would you suggest we select xa and xb (with
the objective to minimize computation)?
– Reduce as much interval as possible in each iteration
• Set xa and xb close to the center so that we can halve
the interval in each iteration
• Drawbacks: function evaluation is usually a costly
operation.
17
Quadratic Interpolation
f(x
)
x0 x1 x3 x2 x
Idea:
(i) Approximate f(x) using a quadratic function g(x) = ax2+bx+c
(ii) Optima of f(x) ≈ Optima of g(x)
18
Quadratic Interpolation
• Shape near optima typically appears like a
parabola. We can approximate the original function
f(x) using a quadratic function g(x) = ax2 + bx + c.
20
Quadratic Interpolation