Data Science Asked on June 21, 2021
I am self-learning basic optimization theory and algorithms from "An Introduction to Optimization" by Chong and Zak. I would like someone to verify my solution to this problem, on finding the minimizer/maximizer of a function of two variables, or any tips/hint to proceed ahead.
For each value of the scalar $beta$, find the set of all stationary points of the following two variables $x$ and $y$
$$f(x,y) = x^2 + y^2 + beta xy + x + 2y$$
Which of those stationary points are local minima? Which are global minima and why? Does this function have a global maximum for some value of $beta$.
Solution.
We have:
begin{align*}
f(x,y) &= x^2 + y^2 + beta xy + x +2y
f_x(x,y) &= 2x+beta y + 1
f_y(x,y) &= beta x + 2y + 2
f_{xx}(x,y) &= 2
f_{xy}(x,y) &= beta
f_{yy}(x,y) &= 2
end{align*}
By the first order necessary condition(FONC) for optimality, we know that if $nabla f(mathbf{x})=0$, then $mathbf{x}$ is a critical point.
Thus,
begin{align*}
f_x(x,y) &= 2x+beta y + 1 = 0
f_y(x,y) &= beta x + 2y + 2 = 0
end{align*}
Solving for $x$ and $y$, we find that:
begin{align*}
x = frac{begin{array}{|cc|}
-1 & beta
-2 & 2
end{array}}{begin{array}{|cc|}
2 & beta
beta & 2
end{array}}=frac{-2+2beta}{4-beta^2}=frac{2beta-2}{4 -beta^2}
end{align*}
begin{align*}
y = frac{begin{array}{|cc|}
2 & -1
beta & -2
end{array}}{begin{array}{|cc|}
2 & beta
beta & 2
end{array}}=frac{-4+beta}{4-beta^2}=frac{beta -4}{4 – beta^2}
end{align*}
The second order necessary and sufficient conditions for optimality are based on the sign of the quadratic form $Q(mathbf{h})=mathbf{h}^T cdot Hf(mathbf{a}) cdot mathbf{h}$.
The Hessian of $f$ is given by,
$$Hf(mathbf{x})=begin{array}{|c c|}
2 & beta
beta & 2
end{array}$$
Thus, $d_1 = 2 > 0$ and $d_2 = 4 – beta^2$. Thus, $f$ has a local minimizer if and only if $4 – beta^2 > 0$. $g(beta) = 4 – beta^2$ is a downward facing parabola. So, the values of this expression positive, if and only if $-2 < beta < 2$. The function $f$ has no global maximum.
Question. How do I find the actual global minima?
If the function is convex, then all local minimum are global minimum.
If $4-beta^2 >0$, then the function is convex and hence the local minimum is indeed the global minimum.
If $beta = pm 2$, then we have $f(x,y)=(xpm y)^2+x+2y$, $f(x, mp x)=xmp2x$ of which we can make it arbitrary large or small.
If $4-beta^2 < 0$, then it is indefinite, the stationary point is a saddle point.
It can't be negative definite, it doesn't have global maximum.
Correct answer by Siong Thye Goh on June 21, 2021
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