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Optimizations in Systems and Control - Sample Exam

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Consider the following optimization problems: P1) P2) P3) P4) P5) P6) P7) P8) P9) P10)

xR2 xR2

xR3 x2

2 + x2 x1 2

1 25 10

2 2 2

x dz

0 , x1 + x2

xR3

min

2 + log(x2 + 1) x2 1

2 4 2 + x2 ) + 14 x2 min cosh(x1

50 50

2 2

xR2 xR2

x1 + x2 x1 + x2

15 0

min 25 x1 +2 x2 +6 x1 x2 +3 x1 x2

10 , x1 , x2 x x

1 2

1 1

xR2

a) Determine for each of the problems P1 up to P10 which of the following optimization methods is best suited: M1. Simplex method for linear programming. M2. Modied simplex method for quadratic programming. M3. Cutting-plane algorithm. M4. Davidon-Fletcher-Powell quasi-Newton algorithm. M5. Levenberg-Marquardt algorithm. M6. Perpendicular method with cubic line search. M7. Penalty function method with Nelder-Mead algorithm. M8. Gradient projection method with Fibonacci line search. M9. Sequential quadratic programming. Explain why the selected algorithm is the best suited for the given problem.

Note that you may have to perform some extra steps rst in order to simplify the optimization problem. If you do this, then you have to indicate it clearly. If it is necessary to use the selected algorithm in a multistart local minimization procedure, you have to indicate this clearly. b) Determine an appropriate stopping criterion for each of the problems P1 up to P10 and the corresponding selected optimization method. Explain your choice!

a) Consider the following optimization problem:

x,yR

min f (x, y)

where f (x, y) = | 2x 2y | + | x + y 2 | . Prove that the function f is convex. Prove that (x, y) = (1, 1) is the global optimum of this optimization problem. Show that the perpendicular search method fails when starting at the initial point (x0 , y0 ) = (0, 0). b) Show that the condition y [0, 1] : with x, y R is satised if and only if

y1 x x y+1

1 x x 1 2 x x 2

0 0 .

,xR

min

1 x x 1 2 x x 2

0 0

and show that this optimization problem is equivalent to the optimization problem min max f (x, y)

xR y[0,1]

x2 . y+1 Hint: Use the Schur complement property for positive semi-denite matrices: if R( ) is invertible, then Q( ) S( ) 0 ST ( ) R( ) f (x, y) = y + 1 + 3

where

a) Consider the system described by y(k) = a u(k) 1 q1

with a R and where q is the forward shift operator. The initial condition is y(0) = y0 . Let the input signal u be dened by u(k) = 1 for all k. Is y(k) convex as a function of a? Why? Let N be a positive integer and dene yav = Is yav convex as a function of a? Why? b) Consider the system described by y(k) = 1 u(k) 1 bq1 1 N y(k) . N k =1 (1)

with b R. The initial condition is y(0) = y0 . Let the input signal u be dened by u(k) = 1 for all k. Is y(k) convex as a function of b? Why? Is yav (cf. (1)) convex as a function of b? Why? c) Consider the system described by y(k) = d 1 bq1 cq2 u(k)

with b, c, d R. The initial condition is y(0) = y0 , y(1) = y1 . Let the input signal u be dened by u(k) = 1 for all k. Is y(k) convex as a function of b, c, and d ? Why? Is yav (cf. (1)) convex as a function of b, c, and d ? Why?

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