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Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 1 One-Dimensional Unconstrained Optimization Chapter 13 Credit: Prof. Lale Yurttas, Chemical Eng., Texas A&M University
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 2 Mathematical Background An optimization or mathematical programming problem is generally stated as: Find x, which minimizes or maximizes f(x) subject to Where x is an n-dimensional design vector, f(x) is the objective function, d i (x) are inequality constraints, e i (x) are equality constraints, and a i and b i are constants Optimization problems can be classified on the basis of the form of f(x): –If f(x) and the constraints are linear, we have linear programming. –If f(x) is quadratic and the constraints are linear, we have quadratic programming. –If f(x) is not linear or quadratic and/or the constraints are nonlinear, we have nonlinear programming. When equations(*) are included, we have a constrained optimization problem; otherwise, it is unconstrained optimization problem.
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 3 One-Dimensional Unconstrained Optimization How do we look for the global optimum? By graphing to gain insight into the behavior of the function. Using randomly generated starting guesses and picking the largest of the optima Perturbing the starting point to see if the routine returns a better point Root finding and optimization are related. Both involve guessing and searching for a point on a function. Difference is: –Root finding is searching for zeros of a function –Optimization is finding the minimum or the maximum of a function of several variables. In multimodal functions, both local and global optima can occur. We are mostly interested in finding the absolute highest or lowest value of a function.
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 4 Golden Ratio A unimodal function has a single maximum or a minimum in the a given interval. For a unimodal function: First pick two points that will bracket your extremum [x l, x u ]. Then, pick two more points within this interval to determine whether a maximum has occurred within the first three or last three points
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. Golden Ratio The Parthenon in Athens, Greece was constructed in the 5 th century B.C. Its front dimensions can be fit exactly within a golden rectangle
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 6 Pick two initial guesses, x l and x u, that bracket one local extremum of f(x): Choose two interior points x 1 and x 2 according to the golden ratio Evaluate the function at x 1 and x 2 : If f(x 1 ) > f(x 2 ) then the domain of x to the left of x 2 (from x l to x 2 ) does not contain the maximum and can be eliminated. Then, x 2 becomes the new x l If f(x 2 ) > f(x 1 ), then the domain of x to the right of x 1 (from x 1 to x u ) can be eliminated. In this case, x 1 becomes the new x u. The benefit of using golden ratio is that we do not need to recalculate all the function values in the next iteration. If f(x 1 ) > f(x 2 ) then New x 2 x 1 else New x 1 x 2 Golden-Section Search Stopping Criteria | x u - x l | <
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. Fig 13.5
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. Finding maximum through Quadratic Interpolation If we have 3 points that jointly bracket a maximum (or minimum), then: 1.Fit a parabola to 3 points (using Lagrange approach) and find f(x) 2.Then solve df/dx = 0 to find the optimum point.
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 9 Example (from the textbook): Use the Golden-section search to find the maximum of f(x) = 2 sin x – x 2 /10 within the interval x l =0 and x u =4
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 10 Newton’s Method A similar approach to Newton- Raphson method can be used to find an optimum of f(x) by finding the root of f’(x) (i.e. solving f’(x)=0): Disadvantage: it may be divergent If it is difficult to find f’(x) and f”(x) analytically, then a secant- like version of Newton’s technique can be developed by using finite-difference approximations for the derivatives.
Copyright © 2006 The McGraw-Hill Companies, Inc. Permission required for reproduction or display. 11 Example 13.3 : Use Newton’s method to find the maximum of f(x) = 2 sin x – x 2 /10 with an initial guess of x 0 = 2.5 Solution: ixf(x)f’(x)f”(x)
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