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Local vs. Global Optima Explained

This document discusses local vs global optima and convexity. It defines local and global optima, and notes that for minimization problems, if the objective function is convex and the feasible region is convex, then a locally optimal solution is also globally optimal. It provides examples of convex and concave functions, and notes that for convex (concave) functions on a convex feasible region, a local minimum (maximum) is guaranteed to be a global minimum (maximum).

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Xiaoqin Zhou
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124 views17 pages

Local vs. Global Optima Explained

This document discusses local vs global optima and convexity. It defines local and global optima, and notes that for minimization problems, if the objective function is convex and the feasible region is convex, then a locally optimal solution is also globally optimal. It provides examples of convex and concave functions, and notes that for convex (concave) functions on a convex feasible region, a local minimum (maximum) is guaranteed to be a global minimum (maximum).

Uploaded by

Xiaoqin Zhou
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd

Local vs.

Global Optima
Defn: Let x be a feasible solution, then
x is a global max if f(x) f(y) for every feasible y. x is a local max if f(x) f(y) for every feasible y sufficiently close to x (i.e., xj-eyj xj+ e for all j and some small e).
z
B A C

z = f(x)

max f(x) s.t. 0 x 1

x 1
1

There may be several locally optimal solutions.

When is a locally optimal solution also globally optimal?

For minimization problems


The objective function is convex.

The feasible region is convex.

Convexity and Extreme Points


P
14 12 10 8 6

We say that a set S is convex, if for every two points x and y in S, and for every real number l in [0,1], lx + (1-l)y e S.

The feasible region of a linear program is convex.


We say that an element w e S is an extreme point (vertex, corner point), if w is not the midpoint of any line segment contained in S.

x y

4 2

W
2 4 6 8 10 12 14
3

On convex feasible regions

If all constraints are linear, then the feasible region is convex

On Convex Feasible Regions

The intersection of convex regions is convex

Recognizing convex sets

Rule of thumb: suppose for all x, y S the midpoint of x and y is in S. Then S is convex.
It is convex if the entire line segment is always in S.

(x+y)/2

S
6

Which are convex?

B C

B C

B C
7

Joining two points on a curve


The line segment joining two points on a curve. Let f( ) be a function, and let g(ly+(1-l)z)) = l f(y) + (1-l)f(z) for 0l . g(y) = f(y) g(z) = f(z) g(y/2 + z/2) = f(y)/2 + g(z)/2 f(x)
f(z)
f(y)/2 + f(z)/2 f(y)

g(x)

x y (y+z)/2 z

Convex Functions
Convex Functions: f(l y + (1-l)z) l f(y) + (1-l)f(z) for every y and z and for 0l.

e.g., l = 1/2

f(y/2 + z/2) f(y)/2 + f(z)/2


We say strict convexity if sign Line joining any points is < for 0<l<.
is above the curve

f(x) f(z) f(y)/2 + f(z)/2 f(y)

x y (y+z)/2 z

Concave Functions
Concave Functions: f(l y + (1-l)z) l f(y) + (1-l)f(z) for every y and z and for 0 l.

e.g., l = 1/2

f(y/2 + z/2) f(y)/2 + f(z)/2


We say strict concavity if sign is < for 0<l<.

Line joining any points is below the curve


f(z) f(y)/2 + f(z)/2 f(y)

x y (y+z)/2 z

10

Classify as convex or concave or both or neither.

11

More on convex functions


f(x)

f(-x)

If f(x) is convex, then f(-x) is convex.

-x

12

More on convex functions


y

If f(x) is convex, then K - f(x) is concave.

13

Local Minimum Property

A local min of a convex function on a convex feasible region is also a global min.

Strict convexity implies that the global minimum is unique.


The following NLPs can be solved

Minimization Problems with a convex objective function and linear constraints

14

Local minimum property


There is a unique local minimum for the function below. y f(x)

The local minimum is a global minimum x


15

Local Maximum Property

A local max of a concave function on a convex feasible region is also a global max.

Strict concavity implies that the global optimum is unique.


Given this, the following NLPs can be solved

Maximization Problems with a concave objective function and linear constraints

16

Local maximum property


There is a unique local maximum for the function below. y The local maximum is a global maximum

17

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