Linear and Non-Linear Optimization

Department of Electrical Engineering

Tutorial 5
Date 11th Sep 2016

Questions
1. Consider the problem
minimize f (x) subject to x ∈ Ω where Ω = {x ∈ R2 : x21 + x22 ≥ 1}
and f (x) = x2
• Find all point(s) satisfying FONC.
• Which of the point(s) in part a satisfy the SONC?
• Which of the point(s) in part a are local minimizers ?
2. Consider the problem
minimize f (x) subject to x ∈ Ω where x = [x1 , x2 ]T , f : R2 → R is
given by f (x) = 4x21 − x22 and Ω = {x : x21 + 2x1 − x2 ≥ 0, x1 ≥ 0, x2 ≥
0}
• Does the point x∗ = 0 = [0, 0]T satisfy FONC?
• Does the point x∗ = 0 satisfy SONC?
• Is the point x∗ = 0 a local minimizer of the given problem?
3. Consider the problem
maximize c1 x1 + c2 x2
subject to x1 + x2 ≤ 1
x1 , x2 ≥ 0
where c1 and c2 are constants such that c1 > c2 ≥ 0. The above is
a linear programming problem. Assuming that the problem has an
optimal feasible solution, use FONC to show that the unique optimal
feasible solution x∗ is [1, 0]T .
Hint: First show that x∗ cannot lie in the interior of the constraint
set. Then, show that x∗ cannot lie on the line segments L1 = {x :
x1 = 0, 0 ≤ x2 < 1}, L2 = {x : 0 ≤ x1 < 1, x2 = 0}, L3 = {x : 0 ≤
x1 < 1, x2 = 1 − x1 }.
4. Consider the problem
minimize f (x) subject to x ∈ Ω
where f ∈ C2 . For each of the following specifications for Ω, x∗ , and

1
 f , determine if the given point x∗ is: (i) definitely a local minimizer;
(ii) definitely not a local minimizer; or (iii) possibly a local minimizer.
Fully justify your answer.
• f : R2 → R, Ω = {x = [x1 , x2 ]T : x1 ≥ 1}, x∗ = [1, 2]T , and
gradient ∇f (x∗ ) = [1, 1]T .
• f : R2 → R, Ω = {x = [x1 , x2 ]T : x1 ≥ 1, x2 ≥ 2}, x∗ = [1, 2]T ,
and gradient ∇f (x∗ ) = [1, 0]T .
• f : R2 → R, Ω = {x = [x1 , x2 ]T : x1 ≥ 0, x2 ≥ 0}, x∗ = [1, 2]T ,
and gradient ∇f (x∗ ) = [0, 0]T and Hessian F (x∗ ) = I (Identity
matrix).
∗
• f : R2 → R, Ω = {x = [x1 , x2 ]T : x1 ≥ 1, x2 ≥ 2}, x  = [1,
T
 2] ,
1 0
and gradient ∇f (x∗ ) = [1, 0]T and Hessian F (x∗ ) = .
0 −1
5. Consider the problem
minimize −x22
subject to |x2 | ≤ x21
x1 ≥ 0
where x1 , x2 ∈ R
• Does the point [x1 , x2 ]T = 0 satisfy the first-order necessary con-
dition for a minimizer? That is, if f is the objective function, is
it true that dT ∇f (0) ≥ 0 for all feasible directions d at 0?
• Is the point [x1 , x2 ]T = 0 a local minimizer, a strict local mini-
mizer, a local maximizer, a strict local maximizer, or none of the
above?
6. Consider the problem
minimize f (x)
subject to x ∈ Ω
where f : R2 → R is given by f (x) = 5x2 with x = [x1 , x2 ]T , and
Ω = {x = [x1 , x2 ]T : x21 + x2 ≥ 1}. Answer each of the following
questions, showing complete justification.
• Does the point x∗ = [0, 1]T satisfy FONC?
• Does the point x∗ = [0, 1]T satisfy SONC?
• Is the point x∗ = [0, 1]T a local minimizer?