CS计算机代考程序代写 algorithm ECEGY 6233

ECEGY 6233
System Optimization Methods
http://engineering.nyu.edu/people/zhong-ping-jiang
Z. P. Jiang
Department of Electrical and Computer Engineering NYU Tandon School of Engineering
Rm 1001/ 370 Jay St. Tel: (646) 997 3646; Email: zjiang@nyu.edu
© No reproduction permitted without written permission of the author.
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What is Optimization?
Selection of the best possible solution from within a set of allowed alternatives.
Course Objective:
Introduction to Practical Optimization Methods * linear and nonlinear programming
* calculus of variations
* dynamic programming
* other optimization problems & methods
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Features of this Course
• Balance between theory and applications • Mix of academic examples and puzzles
• Basic homework vs. open‐ended projects • Independent reading vs. team work
• Numerical algorithms
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What are the basic ingredients of optimization?
• Problem description
• Data and information collection • Definition of design variables
• Optimization criterion
• Formulation of constraints
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Motivational Examples of Optimization
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Linear Equations
Linear Programming
Least Squares Data Fitting
Nonlinear Programming

Linear Equations Goal: a first pass to data fitting
Given three points: (2, 1), (3, 6) and (5, 4), find the corresponding quadratic function
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f(t)x xtxt2 123
withunknownx, 1i3 i

Linear Equations
So, we arrive at the following linear equations:
x  2x  4x 1, 123
x  3x  9x 6, 123
x  5x  25x  4. 123
Do you know how to solve linear equations like the above one? Linear algebra or matrix theory as a prerequisite.
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Comment
A constrained optimization problem often involves
• linear equations
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Linear Programming Manufacturing “bookshelf (x)”, “cabinets with doors
1x (x2)”,“cabinetswithdrawers( 3)”,and“customer‐
designed cabinets ( x4 )”.
Objective: maximize the weekly revenue
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Cabinet
Wood Labor
Revenue
Bookshelf
10 2 100 12 2 150 25 8 200
With Doors With Drawers
Custom- 20 12 400 designed
Only 5000 units of wood and 1500 units of labor are available.
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LP Model
Solve the following linear programming (LP) problem with constraints:
maximize P 100x 150x  200x  400x 1234
subject to 10x 12x  25x  20x  5000 1234
2x  4x  8x 12x 1500 1234
x,x,x,x 0. 1234

Comment 1
An optimization problem usually involves
Objective function Variables or unknowns
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Comment 2
Optimization problems often involve
Constraints (on the unknowns)
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Least Squares Data Fitting
Assume that some, or all, measurements are in error and that there are more data than the number of variables.
Goal: minimize the observation errors e mxxtxt2
ii12i3i 1iN, N3
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Formulation of the Problem
Mathematically, we want to solve
NN2
minimize e2  mxxtxt2  
i12i3i xi1i1 
i
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Comment
Optimization problems may be
Nonlinear (without constraints) In this case, the problem is referred to as:
Unconstrained Nonlinear Programming
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Nonlinear Programming Electrical connections:
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w1 w3
?
w2 w4

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NP Model
P   w
4
minimize
subjectto w= xxyy,1i4
i i1
22 ii0i0
22 x1 y4 4

11 22
x2 9 y2 5 1 2x34, 3y31
6x4 8, 2y4 2 .

Comment
Optimization problems may be
Nonlinear (with constraints)
In this case, the problem is referred to as:
Constrained Nonlinear Programming
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“Blood Diamond” Game Context: 5 pirates robbed 100 diamonds and decide
to distribute these diamonds by the rules:
• Draw lots to give each pirate a number out of 1, 2, 3, 4, 5.
• First, No. 1 pirate proposes a distribution plan for the group of fives to vote. Only when he gets the majority of votes, his proposal will be approved.
Otherwise, he will be thrown into the sea.
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After No. 1 pirate dies, No.2 proposes his distribution plan for the group of four to vote. Only when he gets the majority of votes, his proposal will be approved.

Otherwise, he too will be thrown into the sea. Continue this way for No. 3 and No. 4
“Blood Diamond” (cont’d)
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“Blood Diamond” (cont’d) Hypothesis:
All five pirates are equally smart and can make their right judgement.
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“Blood Diamond” (cont’d) Problem:
What should No.1 pirate propose to maximize his profit (and, of course, his chance of survival)?
o Application of Dynamic Programming
o Solution (and systematic theory!) at the end of this
semester 
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Preliminaries
• Basic Notions of Optimality
• Convexity
• Taylor Series
• The General Optimization Algorithm
• Rates of Convergence
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Basic Notions of Optimality
Consider an optimization problem
f (x) P  f (x) performance index xS
minimize
subjectto gi(x)0, iI  constraints
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g j ( x )  0 , j  J  It is worth noting that
maximize f (x)  minimize  f (x) xS xS

• FeasiblesetS:allfeasiblepoints.
Feasibility
• Apointsatisfyingalltheconstraintsissaidtobe feasible.
• Activeconstraints:when gj(x)0.
• Inactiveconstraints:when gj(x)0.
• Boundary:Thesetoffeasiblepointsatwhichat least one inequality is active.
• Interiorpoints:Allotherpointsthanboundary
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X1
B = (3, 0, 1) C = (1, 1, 1).
Bx
g3(x)x2 0 0 X2
X3
g(x)x 2x 3x 60 1123
An Example
g (x)x 0 21
Ax
xC g4(x)x3 0.
Points:
A = (0, 0, 2)

Minimizers
• Global minimizer x if
• Strict global minimizer if, additionally,
f(x) f(x), xS. 
f (x )  f (x), xS, x  x . • Local minimizer if

f(x ) f(x), xS, suchthat |xx |.
• Strictlocalminimizerif 
f(x ) f(x), xS, suchthatxx , |xx |.
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For unconstrained problems, a stationary point of
• •
x
A minimizer (or a maximizer) is a stationary point,
but not vice versa.
Stationary Points
f(x) is such that
f(x)f (x)0
Saddle point: a stationary point that is not minimizer nor maximizer.
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Convexity
• Convex set S, if
x(1)yS forall01.
• Convex function f, if
f (  x  (1   ) y )   f ( x )  (1   ) f ( y )
x,yS and01.
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Convex Programming Problem
For a convex set S and a convex function f over S,
S xn|g(x)0. 
i
f (x) xS
min
For example, such a set S can be defined via concave functions gi ,
Special case of Convex Programming: Linear Programming (LP), where both the objective and the constraints are linear.
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An Important Result
A local minimizer x of a convex programming problem is a global minimizer.
Moreover, if the cost function is strictly convex, then x is the unique global minimizer.
Proof. Prove by contradiction. See the book.
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polynomial around a point
Taylor Series
Goal: Approximate a (sufficiently smooth) function by a
x0.
1 pn
1-variable:
f(x p)f(x)pf'(x) p2f”(x) f(n)(x)
0 0 020 n!0 n-variables:
f(x p)f(x)pTf(x)1pT2f(x)p 00020
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Notation:
The first-order derivative (Gradient) : f (x) f (x) f (x)T
f(x)x ,x ,,x n 12n
The second-order derivative (Jacobian of f (x) or Hessian of f ):
2 f(x)2 f(x)nn. 
xx  ij
Note that the Hessian matrix is symmetric; see Theorem 9.14 in: Rudin, “Principles of Mathematical Analysis”, 1976.
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Example
f(x)x2 3xx x2 1122
Compute its 1st-order derivative f (x) and its 2nd-order derivative 2 f (x)
at x  (1, 1).

Necessary Condition
A necessary condition for optimization is:
f (x0 )  0.
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Sufficient Conditions
Sufficient conditions for minimization are:
f (x0 )  0, 2 f(x )0.
0
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Comments
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 A matrix M nn is said to be positive definite, ifxn, x0, itholdsthat
xT Mx  0.
 The eigenvalues of M are all  such that
det  I  M   0.
 For a symmetric matrix M , M  0 if and only if
all its eigenvalues are positive.

General Optimization Algorithm
Step 0: Specify some initial guess of the solution x0
Step k (k=0,1,…): If x0 is optimal, STOP.
Otherwise, determine an improved estimate of the solution: xk 1  xk  k pk with step length k and search direction pk
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39

Rates of Convergence
• Does an algorithm converge?
• How fast does it converge?
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Sequence xk  x with rate r and rate constant C, if lim ek1  C, wheree x x

Linear convergence if r = 1.
1) 0 < C < 1, the sequence converges. 2) C > 1, the sequence diverges.

Superlinear convergence if r = 1 and C = 0. Quadratic convergence if r = 2.

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k
ek
r
kk

A Brief Introduction to Lagrange Multiplier Method
Lagrange multiplier theory essentially targets
at constrained optimization problems. For example,
maxPfx, xn 0
subject to the constraint c  f1(x).
To this end, introduce the augmented performance index
P  f xT c f (x) a01
with  the vector of Lagrange multipliers.
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A Brief Introduction to Lagrange Multiplier Method
Then, necessary conditions for optimality are
P a
0 and
x
c f1(x).
For more details, wait for
the lectures on “nonlinear programming”.
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