Professional Documents
Culture Documents
08review Nonlin Intro PDF
08review Nonlin Intro PDF
08review Nonlin Intro PDF
f(x)
Local Local
Global
Theorem. For convex functions on convex sets holds that each local minimizer is a global minimizer
Example: min f (x ) such that
x
Iterative algorithms
Problem: min f (x )
x S
Many optimization algorithms are of the type 1. Specify an initial guess x0 2. For k = 0, 1, . . .
2.1 If xk optimal stop 2.2 Determine a search direction pk and a step k and set 2.3 xk +1 = xk + k pk
(2 : 7)
Convergence rate
Denition
n The sequence { xk } k =1 R converges to x with rate p and rate constant C if xk +1 x lim = C. k xk x p
Linear: p = 1 and 0 < C < 1. The error is multiplied by C each iteration. Quadratic: p = 2. Roughly a doubling of the correct digits each iteration. Superlinear: p = 1, C = 0. Faster than linear. Includes quadratic convergence but also intermediate rates.
(3 : 7)
2f 2 x1 . . .
... .. .
...
2f x1 xn . . . 2f , 2 xn
(4 : 7)
A positive denite matrix is nonsingular Matrix A is positive denite if and only if matrix A1 is positive denite A symmetric matrix A is positive denite if and only if All eigenvalues of A are strictly positive A = LLT with L lower triangular and Lii > 0 (Cholesky factorization).
September 18, 2007 (5 : 7)
First-order necessary condition: Assume f : R n R has a local minimum at x = x and that f is dierentiable at x = x . Then f (x ) = 0. Second-order necessary condition: Assume f : R n R has a local minimum at x = x and that f is of class C 2 . Then 2 f (x ) is positive semidenite. Second-order suciency condition: Assume f : R n R is of class C 2 , f (x ) = 0 and 2 f (x ) is positive denite then x is a local minimizer.
(6 : 7)
Quadratic functions
Theorem
If H is symmetric and positive denite, then the solution to Hs = g is the unique minimizer of .
(7 : 7)