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DS2010 Assignment3

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13 views2 pages

DS2010 Assignment3

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kdurgakalyani
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© © All Rights Reserved
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DS2010: Introduction to Optimization Assignment 3 Due: 17 Nov 2024 AoE

1. Non-linear least squares – Consider the following problem:


m
X
minimize ri (x)2
i=1
n
where ri : R → R, i = 1, . . . , m are given functions. Solve using Newton’s method.

Hint: Define r = [r1 · · · rm ]; write the objective function as f (x) = r(x)T r(x) and compute the
gradient and Hessian of f .
Note: You may refer to the textbook (Chapter 9) to answer this question. But make sure you understand the
idea and do not just copy the answer. Points will be awarded only for answers with justification for each step.

2. Quasi-Newton – Use the following “rank one algorithm” to minimize f (x1 , x2 ) = 21 x21 + 31 x22 + 1.
i. Set k = 0; select x(0) and a real symmetric positive definite H0 .
ii. If ∇f (x(k) ) = 0, stop; else let d(k) = −Hk ∇f (xk ).
iii. Compute
αk = arg min f (x(k) + αd(k) )
α≥0
(k+1) (k)
x =x + αk d(k)

iv. Compute
ak = ∇f (x(k+1) ) − ∇f (x(k) )
bk = αk d(k) − Hk ak
bk bTk
Hk+1 = Hk + .
aTk bk
v. Set k = k + 1; go to step (ii).
Start at x(0) = [2 3]T and let H0 be the 2 × 2 identity matrix.

Hint: Since the objective function is quadratic, recall that


∇f (x(k) )T d(k)
αk = arg min f (x(k) + αd(k) ) = − .
α≥0 d(k)T Qd(k)

3. Simplex method – Consider the linear program


maximize 2x1 + x2
subject to
0 ≤ x1 ≤ 5,
0 ≤ x2 ≤ 7,
x1 + x2 ≤ 9.
Convert the problem to standard form and solve it using the simplex method.

1
DS2010: Introduction to Optimization Assignment 3 Due: 17 Nov 2024 AoE

4. Weak duality – State and prove the weak duality lemma in the symmetric case.

5. Dual of dual – Construct the dual D of the following primal problems P . Then construct the
dual of D and check if it is identical to P .

i. (P ) : min cT x subject to Ax ≥ b, x ≥ 0.
ii. (P ) : min cT x subject to Ax ≤ b, x ≥ 0.

6. Complementary slackness – Solve either (a) or (b).

(a) Consider the following primal problem:

maximize x1 + 2x2
subject to
− 2x1 + x2 + x3 =2
− x1 + 2x2 + x4 =7
x1 + x5 = 3
xi ≥ 0, i = 1, 2, 3, 4, 5.

i. Construct the dual problem corresponding to the primal problem above.


ii. It is known that the solution to the primal problem above is

x∗ = [3 5 3 0 0]T .

Find the solution to the dual.

(OR)

(b) Someone claims that


x∗ = [9/7 0 1/7]T
is an optimal solution for the following LP:

maximize x1 − 2x2 + 3x3


subject to
x1 + x2 − 2x3 ≤ 1
2x1 − x2 − 3x3 ≤ 1
x1 + x2 + 5x3 ≤ 2
xi ≥ 0, i = 1, 2, 3.

Verify the claim.

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