B.M.S.
COLLEGE OF ENGINEERING, BENGALURU – 560 0 19
Autonomous college, affiliated to VTU
DEPARTMENT OF MATHEMATICS
Course Title: Continuous Optimisation-2
Course Code: 23MA4BSLAO
Optimization
Constrained Unconstrained
Lagrange’s Multipliers Newton-Raphson method
Fibonacci search
KKT Method
Constrained Optimization
Method of Lagrange multipliers
Given, subject to
Step–1: Write the Auxiliary Equation
Step–2: Find , and by differentiating partially w.r.t. ‘ and respectively.
Step–3: Solve the equations and together with
Step–4: The values of and so obtained will give the stationary value of
Note: For multiple constraints
Subject to then
Auxiliary Equation
Follow the same steps as we defined above
Problems:
1. Find the maximum and minimum distances of the points (3, 4, 12) from the sphere
x2 y 2 z 2 1 .
2. Find the maximum and minimum of f ( x, y ) 5 x 3 y subjects to the constraints
x 2 y 2 136 .
3. Find the maximum and minimum values of f ( x, y, z ) 3x 2 y subjects to the constraints
4 x 3 y 9 and x2 z 2 9.
4. Find the maximum and minimum values of f ( x, y, z ) 4 y 2 z subjects to the constraints
2x y z 2 and x y
2 2
1.
5. Find the maximum and minimum values of f ( x, y, z ) 2 x 4 y z 2 subjects to the
constraints y 2 z 2 1 and x2 z 2 1 .
6. Find the maximum and minimum values of f ( x, y, z ) x y z 2 subjects to the
constraints x y z 1 and x 2 z 2 1 .
7. Find the extreme values of f ( x, y, z ) 2x 3 y z subjects to the constraints
x2 y 2 5 and x z 1 .
8. A rectangular box open at the top is to have a volume of 32 cubic units. Find its
dimensions if the total surface area is a minimum.
9. Show that the rectangular solid of maximum volume that can be inscribed in a sphere is
a cube.
10. In ABC, find the maximum value of
KKT optimality conditions:
Necessary Conditions (General Case)
Minimize subject to variables, m constraints)
Define lagrange’s equation is ∑
The necessary conditions are:
f igi 0 (optimality)
for i = 1, 2, ..., m (feasibility)
for i = 1, 2, ..., m(complementary slackness condition)
for i = 1, 2, ..., m (negativity)
Problems:
1. Derive the KKT conditions to solve NLPP maximize
subject to the constraint
2. Derive the KKT conditions to solve NLPP maximize subject to the
constraint
3. Derive the KKT conditions to maximize Z 12 x1 21x2 2 x1 x2 2 x12 2 x22 subject to the
constraints x1 x2 10; x2 8, x1 , x2 0 .
4. Derive the KKT conditions to solve NLPP maximize subject
to the constraint
5. Derive the KKT conditions to Maximize f ( x, y ) xy subject to the constraint x y 2 2;
x, y 0 .
Unconstrained Optimization
Optimization using NR method
Newton’s Method to optimize quadratic functions
Given and
Step-1: Compute the
Step-2: Compute the
Step-3: Compute the
Step-4: Compute the new optimum point using
,
Step-5: Repeat Step-1 to 4 until
Problems:
1. Minimize by taking the starting point as
{ }
2. Minimize by taking the starting point as { }
3. Minimize by taking the starting point as
{ }
4. Minimize starting at [ ]
5. Minimize [ ][ ] taking the initial points
and
Fibonacci Method
Fibonacci numbers
The Fibonacci search is based on the sequence of Fibonacci numbers which are defined by the
equations
Thus the Fibonacci numbers are 1, 1, 2, 3, 5, 8, 13, 21, 34 · · ·.
Algorithm
Step1: Choose Lower bound ‘a’ upper bound ‘b’
Set
Step 2: Compute ( )
Set
Step 3: Compute
Step 4: > If then take new interval as [ ] [ ]
> If then take new interval as [ ] [ ]
If then set go to step 2; else terminate.
Then and corresponding is minimum.
Problems:
1. Apply Fibonacci method to minimize the function over [ ] by taking
2. Apply Fibonacci method to minimize the function in the range by
taking
3. f ( x) x4 14 x3 60 x 2 70 x Use Fibonacci search method to find the value of x that
minimizes f over the range [0, 2]. Within the interval of uncertainty of the initial
interval of uncertainty.
4. Apply Fibonacci method to minimize the function in [0,1] within the
interval of uncertainty of the initial interval of uncertainty.
5. Minimize [ ] using Fibonacci search perform 6
iterations.
