Nonlinear_Optimization_Introduction_Linear_vs_nonlinear_：非线性优化介绍线性与非线性.pdf

Nonlinear Optimization: Introduction Linear vs. nonlinear objective functions Linear Nonlinear S S When objective function is linear Optimum always attained at constraint boundaries A local optimum is also a global optimum When objective function is nonlinear Optima may be in the interior as well as at boundaries of constraints A local optimum is not necessarily a global optimum September 12, 2007 (1 : 6) Nonlinear Optimization: Introduction Convexity and optimality f(x) A convex function f on a x) ( 2 convex set S : f ) ¡® 1 ( f is below or on the linear + x) ( 1 interpolant between any two ®f points in the set x x 1 2 x1 ,x2 ∈ S ⇒ f αx + (1 − α)x ≤ αf (x ) + (1 − α)f (x ) ∀α ∈ [0, 1] 1 2 1 2 Examples of convex functions on Rn (a) f (x ) = cTx (also concave!) (b) f (x ) = γ + cTx + 1x T Qx (Q positive semidefinite matrix)