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Local and Global Optima: © 2011 Daniel Kirschen and University of Washington
Local and Global Optima: © 2011 Daniel Kirschen and University of Washington
1
Which one is the real maximum?
f(x)
A D x
df d2 f
For x = A and x = D, we have: = 0 and <0
dx dx 2
2
2011 Daniel Kirschen and University of Washington
Which one is the real optimum?
x2
x1
x1 x1
x2
x1 x1
x1min x1max
6
2011 Daniel Kirschen and University of Washington
Example of Non-Convex Feasible Sets
x2 x2
x1 x1
x2
x1
x1 x1
x1a x1b x1c x1d
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2011 Daniel Kirschen and University of Washington
Example of Convex Feasible Sets
A set is convex if, for any two points belonging to the set, all the
points on the straight line joining these two points belong to the set
x2 x2
x1 x1
x2
min max
x1 x1
x1 x1
2011 Daniel Kirschen and University of Washington 8
Example of Non-Convex Feasible Sets
x2 x2
x1 x1
x2
x1
x1
x1 a x1 b x1 x1c d x1
2011 Daniel Kirschen and University of Washington 9
Example of Convex Function
f(x)
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2011 Daniel Kirschen and University of Washington
Example of Convex Function
x2
x1
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function
f(x)
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function
x2
x1
f(y)
xa y xb x
A convex function is a function such that, for any two points xa and xb
belonging to the feasible set and any k such that 0 k 1, we have:
z = kf ( x a ) + (1- k ) f ( x b ) f ( y ) = f [ kx a + ( 1- k ) x b ]
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2011 Daniel Kirschen and University of Washington
Example of Non-Convex Function
f(x)
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2011 Daniel Kirschen and University of Washington
Importance of Convexity
If we can prove that a minimization problem is convex:
Convex feasible set
Convex objective function
Then, the problem has one and only one solution