IE501, Optimization Models

Assignment 2, August 18, 2016

Due Friday, August 24, 2016 in class

Note: There are 7 questions on 1 pages.

1. Let z1 = minx f (x), x S1 , and let z2 = minx f (x), x S1 S2 , where S1 , S2 are given sets.
Suppose both z1 and z2 are finite. Show that z1 z2 .

2. Suppose f1 , f2 are continuous functions and the following three values are finite for a given set S.

z1 = min f1 (x), x S,
x
z2 = min f2 (x), x S,
x
z3 = min f1 (x) + f2 (x), x S.
x

Prove that z1 + z2 z3 .

3. Consider the optimization problem

cT x + d
min
x gTx + h

s.t. Ax b, (P)

where c Rn , d R, g Rn , h R, A Rmn , b Rm are given. Assume that problem (P) has a

solution. Now Suppose we solve a different optimization problem

min cT y + dz
y,z

s.t. Ay bz, (Q)

to obtain an optimal solution (y , z ). Show that x = yz is an optimal solution of problem (P).
Clearly state the assumption that you make in order to prove the result.

4. For each of the following statements, either prove it or provide a example to show it is false.
(a) Let f1 and f2 be convex functions. Then the function 1 f1 (x) + 2 f2 (x) is a convex function
when 1 , 2 are nonnegative constants.
(b) If f : R R is a convex function, then the set S = {x R | f (x) k}, where k is a given
scalar, is convex.

5. Consider the set S = {x R2 | x1 x2 1, x1 0, x2 0}. Is S convex? Is the function f : R2 R

defined as f (x) = x1 x2 convex? Prove your claims.

6. Explain whether each of the following statements are true or false.

(a) The function f : R R defined as f (x) = x3 is convex.
(b) The function f : R R defined as f (x) = |x|3 is convex.

7. Suppose f1 : Rn R and f2 : Rn R are convex functions. For each of the following statements,
either prove it or provide a example to show it is false.
(a) The function f3 (x) = min{f1 (x), f2 (x)} is convex.
(b) The function f4 (x) = max{f1 (x), f2 (x)} is convex.

THE EN D