THE UNIVERSITY OF NEW SOUTH WALES

SCHOOL OF JVIATHEMATICS
SESSION 1, JUNE 2006
MATH3161/MATH5165
Optimization
(1) TIME ALLOWED - Two hours
(2) TOTAL NUMBER OF QUESTIONS - 3
(3) ANSWER ALL
(4) THE QUESTIONS ARE NOT OF EQUAL VALUE
(5) ALL STUDENTS MAY ATTEMPT ALL QUESTIONS. MARKS GAINED
ON ANY QUESTION WILL BE COUNTED. GRADES OF PASS AND
CREDIT CAN BE GAINED BY SATISFACTORY PERFORMANCE ON
UNSTARRED QUESTIONS.
GRADES OF DISTINCTION AND HIGH DISTINCTION WILL REQUIRE
SATISFACTORY PERFORMANCE ON ALL QUESTIONS, INCLUDING
STARRED QUESTIONS
(6) THIS PAPER MAY BE RETAINED BY THE CANDIDATE
(7) ONLY THE PROVIDED ELECTRONIC CALCULATORS MAY BE USED
All answers must be written in ink. Except where they are expressly required pencils
may only be used for drawing, sketching or graphical work.
SESSION 1, JUNE 2006
1. [25 marks]
MATH3161/MATH5165 Page 2
i) Consider the problem of minimizing the function
f(x) = xi + x ~ - 2Xl +1
[_
1;] .
starting from x(1) =
a) Calculate the gradient \lf(x) and Hessian \72f(x) of f.
b) Is the function f convex, concave or neither on ]R2? Give reasons for
your answer.
c) Calculate the steepest descent direction sl at x(1).
d) Show that the Newton direction at x(ll is
e) Is the Newton direction sW a descent direction for f at x(ll? Give
reasons for your answer.
f) Given that the sequence, generated by the Newton method, is {x(k)},
where x(k) = [ 1 ] , find the limit point x* of the sequence {x(k)}.
( ~ ) k
g) Show that x* is a global minimizer of f.
h) Show that the rate of convergence of the sequence is linear, but not
quadratic. Explain why the rate of convergence is only linear.
ii)* Consider the following equality constrained problem
(EP) minimize
xElRn
subject to
where b E ]R, 0 =!=- a E ]Rn and n > 1.
a) Show that the feasible set n := {x E ]Rn I aTx = b} is a convex set.
b) Show that the problem (EP) is a convex programming problem.
c) Using first-order necessary optimality conditions, find the global min-
imizer and global minimum of (EP).
Please see over ...
SESSION 1, JUNE 2006
2. [25 marks]
MATH3161/MATH5165 Page 3
i) Consider the following optimization problem
(P) minimize 3xi + + 2XIX2 - 20XI - 16x2
subject to 5 - Xl - X2 0, Xl 2: 0, X2 2: O.
a) Sketch the feasible region of the problem (P).
b) Can you guarantee that a global minimizer exists for this problem?
Give reasons for your answer.
c) Formulate the (exterior) penalty function problem for (P) with
parameter J.L.
d) Let x(J.L) = .Verify that x(J.L) is a stationary point of the
8J.!+14
3/-,+5
penalty function problem.
e) Find the limit point x* of the vectors x(J.L) as J.L -t 00.
f) Verify that the limit point x* is a constrained stationary point for
(P).
g) Determine whether or not x* is a global minimizer of (P).
ii) A conjugate gradient method with the Fletcher-Reeves updating formula
is being used to minimize a function j on JR2. It is given that
[
3X
I - X2 - 2] 1[26]
g(x) = , X(2) = 17
X2 - Xl 38
30 [3]
and 8(2) = =--
17
2
'
7
where x(2) is the current iterate, S(2) is the current search direction and
g(x) = Vj(x) is the gradient of f.
a) Find the exact minimizer a(2) of j(x(2) + as(2) and X(3) using exact
arithmetic.
b) Is X(3) a minimizer of j7 Give reasons for your answer.
Please see over ...
SESSION 1, JUNE 2006 MATH3161/MATH5165 Page 4
3. [15 marks]
Consider the following optimal control problem
minimize f
o
\ u - 2x) dt
uEU )0
subj ect to x= x +u
x(O) = 1,
with bounded controls U := {u I 0 :::; u(t) :::; 1, Vt E [0, 2]} and a final value
x(2), which is not specified.
i) Write down the Hamiltonian function H for this problem. [You may
assume the problem is normal and set Zo = 1.]
ii) Write down the differential equation for the costate variable z.
iii) State clearly the Pontryagin necessary conditions that an optimal solution
satisfies, including any transversality condition and statement about the
value of H along the optimal path.
iv) From the conditions in (iii) find the optimal control u* as a function of z.
v)* Using the differential equation for z in (ii) and the transversality condi-
tion,
a) find the optimal costate variable z*(t) as a function of t.
b) find z*(O).
c) sketch z*(t) over the interval [0, 2].
vi)* Find the optimal control u*(t) as a function of t and the value of any
switching time. Sketch u*(t) over the interval [0, 2].