Paolo Pin

pin@unive.it
http://venus.unive.it/pin
August, 2005
Rangaraian K. Sundaran, 1996, A First Course in
Optimization Theory, Cambridge University Press:
Solutions of (some) exercises
Appendix C (pp. 330-347): Structures on Vector Spaces.
1.
1
4
_
x +y
2
x y
2
_
=
1
4
_
< x +y, x +y > < x y, x y >
_
=
1
4
_
< x, x > +2 < x, y > + < y, y > (< x, x > 2 < x, y > + < y, y >)
_
=
1
4
_
4 < x, y >
_
= < x, y > 2
2.
x +y
2
+x y
2
= x +y
2
x y
2
+ 2x y
2
Polarization Identity = = 4 < x, y > +2x y
2
= 2 < x, x > +2 < y, y >
= 2
_
x
2
+y
2
_
2
3. Lets take e.g. R
2
, x = (1, 0) and y = (0, 2):
x +y
2
1
+x y
2
1
= 3
2
+ 3
2
= 18 = 10 = 2 (1
2
+ 2
2
) = 2
_
x
2
1
+y
2
1
_
2
1
4. a) {x
n
} x in (V, d
1
) if and only if:
lim
n
d
1
(x
n
, x) = 0 = lim
n
d
2
(x
n
, x) lim
n
c
1
d
1
(x
n
, x) = c
1
lim
n
d
1
(x
n
, x) = 0
since d
2
(x
n
, x) 0, n: lim
n
d
2
(x
n
, x) = 0 ;
b) A is open in (V, d
1
) if and only if:
x A, r > 0 s.t. B
1
(x, r) = {y V | d
1
(x, y) < r} A
= x A,
r
c
2
> 0 s.t. B
2
(x,
r
c
2
) = {y V | c
2
d
2
(x, y) r} B
1
(x, r) A
the reverse of (a) and (b) is equivalent. 2
5. Consider R with the usual metric d(x, y) |x y|
and with the other one dened as (x, y) max{d(x, y), 1};
is a metric, to prove triangle inequality consider that:
(x, z) = max{d(x, z), 1} max{d(x, y) +d(x, z), 1}
max{d(x, y) +d(x, z), 1 +d(x, y), 1 +d(y, z), 2}
= max{d(x, y), 1} + max{d(x, z), 1} = (x, y) +(y, z) ;
B

(x, r) R, B
d
(x, r) B

(x, r),
similarly B
d
(x, r) R, B

(x, min{r,
1
2
}) B
d
(x, r),
so they generate the same open sets;
nevertheless c R
+
such that d(x, y) < c (x, y), x, y R,
suppose by absurd it exists,
then d(0, c) = c < c (x, y) is impossible since (x, y) 1, x, y R. 2
6. d

(x, y) = max{|x
1
y
1
|, |x
2
y
2
|} is equivalent to any
d
p
(x, y) =
_
|x
1
y
1
|
p
+|x
2
y
2
|
p
_1
p
, with p N, p 1, because:
d

d
p
d
p

1
2
d

all the metrics are equivalent by symmetry and transitivity (see exercise 7). 2
7. If d
1
and d
2
are equivalent in V , b
1
, b
2
R such that x, y V :
2
d
2
(x, y)
b
1
d
1
(x, y) b
2
d
2
(x, y)
similarly if d
2
and d
3
are equivalent in V , c
1
, c
2
R such that x, y V :
d
3
(x, y)
c
1
d
2
(x, y) c
2
d
3
(x, y)
hence (b
1
c
1
), (b
2
c
2
) R such that x, y V :
d
3
(x, y)
b
1
c
1
d
1
(x, y) b
2
c
2
d
3
(x, y)
= d
1
and d
3
are equivalent. 2
8.
(x, y) =
_
1 x = y
0 x = y
Positivity and Simmetry come from the denition;
for Triangle inequality consider the exhaustive cases:
x = y = z = d(x, z) = 0 = 0 + 0 = d(x, y) +d(y, z)
x = y = z = d(x, z) = 1 = 0 + 1 = d(x, y) +d(y, z)
x = y = z = symmetric
x = z = y = d(x, z) = 0 1 + 1 = d(x, y) +d(y, z)
all dierent = d(x, z) = 1 1 + 1 = d(x, y) +d(y, z) 2
9. We generalize from R to any V ;
every subset X in (V, ) is closed because X
C
is open (every subset is open in (V, ));
in (V, ) the only convergent sequences are those constant from a certain point on
(not only constant sequences as stated at page 337),
consider a nite subset A of V , every sequence in A have a constant (hence con-
verging) subsequence,
consider now an innite subset B of V , (by the Axiom of choice) we can construct
a sequence with all dierent elements, where all subsequence will have all dierent
elements,
= compact subsets in (V, ) are all and only the nite ones. 2
10. Since that every subset X in (V, ) is closed (exercise 9), then cl(X) =
X, X V , and
X V, A X s.t. A = X and cl(A) = X
3
neither for V itself, so that if V is uncountable, there exists no countable subset of
V whose closure is V . 2
11. The correct statement of Corollary C.23 (page 340) is:
A function f : V
1
V
2
is continuous if and only if, open set
U
2
V
2
, f
1
(U
2
) = {x V
1
|f(x) U
2
} is an open set in V
1
.
(The inverse function of every open set is an open set.)
Since every subset of (R, ) is open, every function (R, ) (R, d) and (R, )
(R, ) is continuous, that is F = G = {f | f : R R};
clearly not every function (R, d) (R, d) is continuous (here continuity has its
standard meaning), then H F = G and H = F. 2
12. See exercise 11 for the correct statement of Corollary C.23 (page 340);
the open sets in (R
n
, d

) and (R
n
, d
2
) coincide, because:
B
d
x,r
= {y R
n
| max{|y
i
x
i
|}
i{1,...n}
r}
B
d
2
x,r
= {y R
n
| (
n

i=1
(y
i
x
i
)
2
)
1
2
r} B
d
x,r
and
B
d
2
x,r
= {y R
n
| (
n

i=1
(y
i
x
i
)
2
)
1
2
r}
q
_
r
2
n
s.t. B
d
x,q
= {y R
n
| max{|y
i
x
i
|}
i{1,...n}
q} B
d
2
x,r
;
hence also the continuous functions in (R
n
, d

) (R, d) and the continuous func-

tions in (R
n
, d
2
) (R, d) coincide. 2
13. [The p-adic valuation here is not well dened:
if r = 0, a = 0 and any n would do;
if r = 1 there are no a, b, n such that 1 = p
n
_
a
b
_
, a is not a multiple of p.
For a survey: http://en.wikipedia.org/wiki/P-adic_number ]
14. Since V with the discrete topology is metrizable from (V, ), topological com-
pactness is equivalent to compactness in the sequential sense (page 343), hence
exercise 9 proves that the compact subsets in (V, ) are all and only the nite
ones. 2
4
15. As seen in exercise 11, every such function is continuous. 2
16.
d[(x, y), (x

, y

)] =
_
d
1
(x, y)
2
+d
2
(x

, y

)
2
_1
2
positivity and symmetry are straightforward from positivity of d
1
and d
2
;
triangle inequality:
d[(x, z), (x

, z

)] =
_
d
1
(x, z)
2
+d
2
(x

, z

)
2
_1
2

_
(d
1
(x, y) +d
1
(y, z))
2
+d
2
(x

, z

)
2
_1
2

_
(d
1
(x, y) +d
1
(y, z))
2
+ (d
2
(x

, y

) +d
2
(y

, z

))
2
_1
2
=
_
d
1
(x, y)
2
+ 2d
1
(x, y)d
1
(y, z) +d
1
(y, z)
2
+d
2
(x

, y

)
2
+ 2d
2
(x

, y

)d
2
(y

, z

) +d
2
(y

, z

)
2
_1
2
=
_
d
1
(x, y)
2
+d
2
(x

, y

)
2
+d
1
(y, z)
2
+d
2
(y

, z

)
2
+ 2
_
d
1
(x, y)d
1
(y, z) +d
2
(x

, y

)d
2
(y

, z

)
__1
2

_
d
1
(x, y)
2
+d
2
(x

, y

)
2
+d
1
(y, z)
2
+d
2
(y

, z

)
2
+. . .
. . . + 2
_
d
1
(x, y)d
1
(y, z) +d
1
(x, y)d
2
(y

, z

) +d
2
(x

, y

)d
1
(y, z) +d
2
(x

, y

)d
2
(y

, z

)
__1
2
=
_
d
1
(x, y)
2
+d
2
(x

, y

)
2
+d
1
(y, z)
2
+d
2
(y

, z

)
2
+ 2
_
d
1
(x, y) +d
2
(x

, y

)
__
d
1
(y, z) +d
2
(y

, z

)
__1
2
since
_
a +b + 2

ab =

a +

b
=
_
d
1
(x, y)
2
+d
2
(x

, y

)
2
_1
2
+
_
d
1
(y, z)
2
+d
2
(y

, z

)
2
_1
2
= d[(x, y), (x

, y

)] +d[(y, z), (y

, z

)] . 2
17. The base of a metric space (X, d
1
) is the one of its balls B(x, r),
every ball in (X, d
1
) (Y, d
2
) = (X Y, (d
2
1
+d
2
2
)
1
2
) is of the form:
B((x

, y

), r) = {(x, y) X Y | (d
1
(x, x

)
2
+d
2
(y, y

)
2
)
1
2
r}
{(x, y) X Y | max{d
1
(x, x

), d
2
(y, y

)} r}
= B(x

, r) B(y

, r)
for every open set in (X, d
1
) (Y, d
2
) there is a couple of open sets, one in (X, d
1
)
and one in (Y, d
2
), whose product contains them,
moreover
5
B(x

, r
1
) B(y

, r
2
) = {(x, y) X Y | d
1
(x, x

) r
1
d
2
(y, y

) r
2
}
{(x, y) X Y | (d
1
(x, x

)
2
+d
2
(y, y

)
2
)
1
2
r
1
+r
2
}
= B((x

, y

), r
1
+r
2
)
then for every couple of open sets in (X, d
1
) and (Y, d
2
), there is an open set in the
product space containing their product,
then the two topologies coincide. 2
18. [(a) is not hard only for f compact = f sequentially compact,
the other way round and (b) are really non trivial;
see e.g.:
http://www-history.mcs.st-and.ac.uk/john/MT4522/Lectures/L22.html ]
19. f topological continuous = f sequentially continuous:
consider x
n
x V , and an open O
f(x)
containing f(x) V

,
f
1
O
f(x)
contains x and all of the x
n
after a certain n
0
,
then all of the f(x
n
), after the same n
0
, are in O
f(x)
,
f is sequelntially continuous;
f sequentially continuous = f topological continuous:
non trivial. . . 2
20. a) 1) Clearly , [0, 1] ;
2) if O
1
, O
2
, O
C
1
and O
C
2
are nite,
but then also their union O
C
1
O
C
2
= (O
1
O
2
)
C
is, = O
1
O
2
;
3) if {O

}
A
, O
C

is nite A,
but then also their intersection

A
O
C

= (

A
O

)
C
is, =

A
O

;
b) suppose x [0, 1] with a countable base {B
i
}
iN
,
since B
C
i
is nite i N,

iN
B
C
i
is countable,
since [0, 1] is uncountable, y = x, y [0, 1] such that y

iN
B
C
i
,
= y B
i
i N,
{y}
C
contains x but is not contained in any element of its base. 2
6
Chapter 3 (pp. 90-99): Existence of Solutions.
1. As a counterexample consider f : (0, 1) R such that f(x) =
1
x
:
sup
(1,0)
f(x) = lim
x0
1
x
= +. 2
2. It can be shown (e.g. by construction) that in R (in any completely ordered set)
sup and inf of any nite set coincide respectively with max and min.
If D R
n
is nite also f(D) = {x R | x D s.t. f(x) = x} is.
The result is implied by the Weierstrass theorem because every nite set A is com-
pact, i.e. every sequence in A have a constant (hence converging) subsequence. 2
3. a) Consider x = max{D}, which exists because D is compact subset of R,
f( x) is the desired maximum, because x D such that x x,
= x D such that f(x) f( x);
b) consider D {(x, y) R
2
+
| x +y = 1} R
2
,
D is the closed segment from (0, 1) to (1, 0), hence it is compact,
there are no two points in D which are ordered by the partial ordering,
hence every function D R is nondecreasing,
consider:
f(x, y) =
_
1
x
if x = 0
0 if x = 0
max f on D is lim
x0
f(x, y) = lim
x0
1
x
= +. 2
4. A nite set is compact, because every sequence have a constant (hence converg-
ing) subsequence.
Every function from a nite set is continuous, because we are dealing with the
discrete topology, and every subset is open (see exercise 11 of Appendix C for the
correct statement of Corollary C.23 (page 340)).
We can take a subset A of cardinality k in R
n
and construct a one-to-one function
assigning to every element of A a dierent element in R.
A compact and convex subset A R
n
cannot have a nite number k 2 of
elements (because otherwise

aA
a
k
is dierent from every a A but should be
in A).
Suppose A is convex and a, b A such that f(a) = f(b), then f
[a,b]
() =
f(a + (1 )b) is a restriction of f : A R but can be also considered as a
function f
[a,b]
: [0, 1] R.
By continuity every element of [f(a), f(b)] R must be in the codomain of f
[a,b]
7
(the rigorous proof is long, see Th. 1.69, page 60), which is then not nite, so that
neither the codomain of f is. 2
5. Consider sup(f), it cannot be less than 1, if it is 1, then max(f) = f(0).
Suppose sup(f) > 1, then, by continuity, we can construct a sequence {x
n

R
+
| f(x
n
) = sup(f)
sup(f)1
n
, moreover, since lim
x
f(x) = 0, x s.t. x >
x, f(x) < 1.
{x
n
} is then limited in the compact set [0, x], hence it must converge to x. f( x) is
however sup(f) and then f( x) = max(f).
f(x) = e
x
, restricted to R
+
, satises the conditions but has no minimum. 2
6. Continuity (see exercise 11 of Appendix C for the correct statement of Corollary
C.23 (page 340)) is invariant under composition, i.e. the composition of continuous
functions is still continuous.
Suppose g : V
1
V
2
and f : V
2
V
3
are continuous, if A V
3
is open then, by
continuity of f, also f
1
(A) V
2
is, and, by continuity of g, also g
1
(f
1
(A)) V
1
is.
g
1
f
1
: V
3
V
1
is the inverse function of f g : V
1
V
3
, which is then also
continuous.
We are in the conditions of the Weierstrass theorem. 2
7.
g(x) =
_
_
_
1 x 0
x x (0, 1)
1 x 1
, f(x) = e
|x|
arg max(f) = 0, max(f) = e
0
= 1 and also sup(f g) = 1, which is however never
attained. 2
8.
min p x subject to x D {y R
n
+
| u(y) u}
s.t. u : R
n
+
R is continuous, p

0
a) p x is a linear, and hence continuous function of x,
there are two possibilities: (i) u is nondecreasing in x, (ii) u is not;
(i) D is not compact,
we can however consider a utility U and dene W
U
{y R
n
+
| u(y) U},
by continuity of u, W
U
is compact,
for U large enough D W
U
is not empty and the minimum can be found in it;
8
(ii) for the components of x where u is decreasing,
maximal utility may be at 0,
so D may be compact, if not we can proceed as in (i);
b) if u is not continuous we could have no maximum even if it is nondecreasing
(see exercise 3);
if p
i
< 0, and u is nondecreasing in x
i
, the problem minimizes for x
i
+. 2
9.
max p g(x) w

x s.t. x R
n
+
with p > 0, g continuous, w

0
a solution is not guaranteed because R
n
+
is not compact. 2
10.
F( p, w) = {(x, l) R
n+1
+
| p

x w(H l), l H}
F( p, w) compact = p 0 (by absurd):
if p
i
0, the constrain could be satised also at the limit x
i
+,
F would not be compact;
p 0 = F( p, w) compact:
F is closed because inequalities are not strict,
l is limited in [0, H],
i {1, . . . n}, x
i
is surely limited in [0,
w(Hl)
p
i
]. 2
11.
max U(y(

)) subject to

{

R
N
| p

0, y(

) 0}
where y
s
(

) =
s
+

N
i=1

i
z
is
, U : R
S
+
R is continuous and strictly increasing
(y y

in R
S
+
if y
i
y

i
i {1, . . . , S} and at least one inequality is strict).
Arbitrage:

R
N
such that p

0 and Z

0.
A solution exists no arbitrage
(=) (by absurd: (A =B) (B =A) )
suppose

R
N
such that p

0 and Z
t

0, then any multiple k

of

has the same property,

9
y(k

) increases linearly with k and then also U(y(k

)) increases with k,
max
_
U(y(k

))
_
is not bounded above;
(=)

R
N
such that p

0 there are two possibilities:
either

N
i=1

i
z
is
= 0 s {1, . . . S},
or s {1, . . . S} such that

N
i=1

i
z
is
< 0;
in the rst case the function of k U(y(k

)) : R R is constant,
then a maximum exists,
in the second case y(

) 0 impose a convex constraint on the feasible set,

by Weierstrass theorem a solution exists. 2
12.
max W
_
u
1
(x
1
, h(x)), . . . u
n
(x
n
, h(x))
_
with h(x) 0, (x, x) [0, w]
n+1
, w x =
n

i=1
x
i
sucient condition for continuity is that W, u and h are continuous,
the problem is moreover well dened only if x [0, w] such that h(x) 0;
the simplex
w
{(x, x) [0, w]
n+1
| x +

n
i=1
x
i
= w} is closed and bounded,
if h(x) is continuous H = {(x, x) [0, w]
n+1
| h(x) 0} is closed because the
inequality is not strict,
then the feasible set
w
H is closed and bounded because intersection of closed
and bounded sets. 2
13.
max (x) = max
xR
+
_
xp(x) c(x)
_
with p : R
+
R
+
and c : R
+
R
+
continuous, c(0) = 0 and p() decreasing;
a) x

> 0 such that p(x

) = 0, then, x > x

, (x) (0) = 0,
the solution can then be found in the compact set [0, x

] R
+
;
b) now x > x

, (x) = (0) = 0, as before;

c) consider c(x) =
p
2
x, now (x) =
p
2
x, so that the maximization problem is
not bounded above. 2
14. a)
max v(c(1), c(2)) subject to c(1)

0, c(2)

0, p(1) c(1) +
p(2)
1 +r
c(2) W
0
10
b) we can consider, in R
2n
, the arrays c = (c(1), c(2)) and p = ( p(1),
p(2)
1+r
), the
conditions
c(1)

0, c(2)

0, p(1) c(1) +
p(2)
1 +r
c(2) W
0
become
c

0, p c W
0
we are in the conditions of example 3.6 (pages 92-93), and p

0 if and only if
p(1)

0 and p(2)

0. 2
15.
max
_
(x
1
) +(x
2
) +(x
3
)
_
subject to
_
_
_
0 x
1
y
1
0 x
2
f(y
1
x
1
)
0 x
3
f(f(y
1
x
1
) x
2
)
lets call A the subset of R
3
+
that satises the conditions, A is compact if it is closed
and bounded (Th. 1.21, page 23).
It is bounded because
A [0, y
1
] [0, max f([0, y
1
])] [0, max f([0, max f([0, y
1
])])] R
3
+
and maxima exist because of continuity.
Consider ( x
1
, x
2
, x
3
) A
c
in R
3
+
, then (if we reasonably suppose that f(0) = 0),
becasue of continuity, at least one of the following holds:
x
1
> y
1
, x
2
> f(y
1
x
1
) or x
3
> f(f(y
1
x
1
) x
2
).
If we take r = max{ x
1
y
1
, x
2
f(y
1
x
1
), x
3
f(f(y
1
x
1
) + x
2
)}, r > 0 and
B(( x
1
, x
2
, x
3
), r) A
c
.
A
c
is open = A is closed. 2
11
Chapter 4 (pp. 100-111): Unconstrained Optima.
1. Consider D = [0, 1] and f : D R, f(x) = x:
arg max
xD
f(x) = 1, but Df(1) = 1 = 0. 2
2.
f

(x) = 1 2x 3x
2
= 0 for x =
1

1 + 3
3
=
_
1
1
3
f

(x) = 2 6x ,
_
f

(1) = 4
f

(
1
3
) = 4
1 is a local minimum and
1
3
a local maximum, they are not global because
lim
x
= + and lim
x+
= . 2
3. The proof is analogous to the proof at page 107, reverting the inequalities. 2
4. a)
f
x
= 6x
2
+y
2
+ 10x
f
y
= 2xy + 2y
_
= y = 0 x = 0
D
2
f(x, y) =
_
12x + 10 2y
2y 2x + 2
_
(0, 0) is a minimum;
b)
f
x
= e
2x
+ 2e
2x
(x +y
2
+ 2y) = e
2x
(1 + 2(x +y
2
+ 2y))
f
y
= e
2x
(2y + 2)
_
= y = 1
1 + 2(x + 1 2) = 0 = x =
1
2
= f(
1
2
, 1) =
1
2
e
since lim
x
f(x, 1) = 0 and lim
x+
f(x, 1) = +, the only critical point
(
1
2
, 1) is a global minimum;
c) the function is symmetric, limits for x or y to are +, a R:
f
x
= ay 2xy y
2
f
y
= ax 2xy x
2
_
= (0, 0) (0, a) (a, 0) (
2
5
a,
1
5
a) (
1
5
a,
2
5
a)
D
2
f(x, y) =
_
2y a 2x 2y
a 2x 2y 2x
_
12
(
2
5
a,
1
5
a) and (
1
5
a,
2
5
a) are local minima a R;
d) when sin y = 0, limits for x are ,
f
x
= sin y
f
y
= xcos y
_
= (0, ky) k Z = {. . . , 2, 1, 0, 1, . . .}
f is null for critical points, adding any (, ) to them ( <

2
), f is positive,
adding (, ) to them, f is negative,
critical points are saddles;
e) limits for x or y to are +, a R,
f
x
= 4x
3
+ 2xy
2
f
y
= 2x
2
y 1
_
= y =
1
2x
2
= 4x
3
=
1
x
= impossible
there are no critical points;
f) limits for x or y to are +,
f
x
= 4x
3
3x
2
f
y
= 4y
3
_
= (0, 0) (
3
4
, 0)
since f(0, 0) = 0 and f(
3
4
, 0) < 0, (
3
4
, 0) is a minimum and (0, 0) a saddle;
g) limits for x or y to are 0,
f
x
=
1x
2
+y
2
(1+x
2
+y
2
)
2
f
y
=
2xy
(1+x
2
+y
2
)
2
_
= (1, 0) (1, 0)
since f(1, 0) =
1
2
and f(1, 0) =
1
2
, the previous is a maximum, the latter a
minimum;
h) limits for x to are +,
limits for y to depends on the sign of (x
2
1),
f
x
=
x
3
8
+ 2xy
2
1
f
y
= 2y(x
2
1)
_
=
_

_
y = 0 = x = 2

x = 1 = y =

7
4

x = 1 = impossible
D
2
f(x, y) =
_
3
8
x
2
+ 2y
2
4xy
4xy 2y(x
2
1)
_
13
D
2
f(2, 0) =
_
3
2
0
0 0
_
= saddle, D
2
f(1,

7
4
) =
_
5
4

7 0
_
= saddle,
D
2
f(1,

7
4
) =
_
5
4

7 0
_
= saddle. 2
5. The unconstrained function is given by the substitution y = 9 x:
f(x) = 2 + 2x + 2(9 x) x
2
(9 x)
2
= 2x
2
+ 18x 61
which is a parabola with a global maximum in x =
9
2
= y =
9
2
. 2
6. a) x

is a local maximum of f if R
+
such that y B(x

, ), f(y) f(x

),
considering then that:
liminf
yx

f(x

) f(y) = liminf
yB(x

,)x

f(x

) f(y) 0
y < x

, x

y > 0 y > x

, x

y < 0
1 liminf = limsup
we have the result;
b) a limit may not exist, while liminf and limsup always exist if the function
is dened on all R;
c) if x

is a strict local maximum the inequality for liminf

yx
is strict, so also
the two inequalities to prove are. 2
7. Consider f : R R:
f(x) =
_
1 x Q
0 otherwise
where Q R are the rational number; x = 0 is a local not strict maximum, f is
not constant in x = 0. 2
8. f is not constant null, otherwise also f

would be constant null,

since lim
y
f(y) = 0, f has a global maximum x, with f( x) > 0 and f

( x)
x is the only point for which f

(x) = 0 = x = x. 2
9. a)

> 0:
d f
dx
i
=

(f)
df
dx
i
,
df
dx
i
= 0 =
d f
dx
i
= 0
Df(x

) =

0 = D f(x

) =

0
14
b)
d
2
f
dx
i
dx
j
=
d
dx
j
_

(f)
df
dx
i
_
=

(f)
df
dx
i
df
dx
j
+

(f)
d
2
f
dx
i
dx
j
df
dx
i
= 0 =
d
2
f
dx
i
dx
j
=

(f)
d
2
f
dx
i
dx
j
Df(x

) =

0 = D
2
f(x

) =

(f(x

)) D
2
f(x

)
a negative denite matrix is still so if multiplied by a constant. 2
10. Let us check conditions on principal minors (see e.g. Hal R. Varian, 1992,
Microeconomic analysis, Norton, pp.500-501).
D
2
f(x) =
_
_
_
f
x
1
x
1
. . . f
x
1
xn
.
.
.
.
.
.
.
.
.
f
x
1
xn
. . . f
xnxn
_
_
_
is positive denite if:
1) f
x
1
x
1
> 0,
2) f
x
1
x
1
f
x
2
x
2
f
2
x
1
x
2
> 0,
. . .
n) |D
2
f(x)| > 0;
D
2
g(x) =
_
_
_
g
x
1
x
1
. . . g
x
1
xn
.
.
.
.
.
.
.
.
.
g
x
1
xn
. . . g
xnxn
_
_
_ = D
2
f(x) =
_
_
_
f
x
1
x
1
. . . f
x
1
xn
.
.
.
.
.
.
.
.
.
f
x
1
xn
. . . f
xnxn
_
_
_
is negative denite if:
1) f
x
1
x
1
< 0,
2) (f
x
1
x
1
) (f
x
2
x
2
) (f
x
1
x
2
)
2
> 0,
. . .
n) |D
2
f(x)| < 0 if n is odd, |D
2
f(x)| > 0 if n is even;
the i
th
principal minor is a polinimial where all the elements have order i,
it is easy to check that odd principal minors mantain the sign of its arguments,
while even ones are always positive,
hence D
2
f(x) positive denite = D
2
f(x) negative denite. 2
15
Chapter 5 (pp. 112-144): Equality Constraints.
1. a)
L(x, y, ) = x
2
y
2
+(x
2
+y
2
1)
L
x
= 2x + 2x
=0
= = 1 x = 0
L
y
= 2y + 2y
=0
= = 1 y = 0
L

= x
2
+y
2
1
=0
=
_
x = 0 y = 1 = 1
y = 0 x = 1 = 1
when = 1 we have a minimum, when = 1 a maximum;
b)
f(x) = x
2
(1 x
2
) = 2x
2
1 =
_
min for x = 0
max for x =
the solution is dierent from (a) because the right substitution is y

1 x
2
,
admissible only for x [1, 1]. 2
2. a) Substituting y 1 x:
f(x) = x
3
(1 x)
3
= 3x
2
3x + 1 = max for x =
b)
L(x, y, ) = x
3
+y
3
+(x +y 1)
L
x
= 3x
2
+
=0
= = 3x
2
L
y
= 3y
2
+
=0
= = 3y
2
_
= x = y
L

= x +y 1
x=y
= x = y =
1
2
x = y =
1
2
is the unique local minimum, as can be checked in (a). 2
3. a)
L(x, y, ) = xy +(x
2
+y
2
2a
2
)
L
x
= y + 2x
=0
= (y = 0 = 0) y = 2x
L
y
= x + 2y
=0
= (x = 0 = 0) x = 2y
L

= x
2
+y
2
2a
2
=0
=
_
_
_
x = 0 y =

2a
y = 0 x =

2a
y = 2x x = 2y
16
(0,

2a) and (

2a, 0) are saddle points, because f(x, y) can be positive or neg-

ative for any ball around them;
y = 2x x = 2y imply:
=
1
2
, x = y, and x = a,
the sign of x does not matter, when x = y we have a maximum, when x = y a
minimum.
b) substitute x
1
x
, y
1
y
and a
1
a
L( x, y, ) = x + y +( x
2
+ y
2
a
2
)
L
x
= 1 + 2 x
=0
= x =
1
2

L
y
= 1 + 2 y
=0
= y =
1
2
= x
L

= x
2
+ y
2
a
2
=0
= x = y =

2
2
a
for x and y negative we have a minimum, otherwise a maximum.
c)
L(x, y, x, ) = x +y +z +(x
1
+y
1
+z
1
1)
L
x
= 1 x
2
=0
= x =

. . .
=0
= y =

. . .
=0
= z =

we have a minimum when they are all negative (x = y = z = 3) and a maximum

when all positive (x = y = z = 3).
d) substitute xy = 8 (x +y)z = 8 (5 z)z:
f(z) = z(8 (5 z)z) = z
3
5z
2
+ 8z
f
z
= 3z
2
10z + 8
=0
= z =
5

25 24
3
=
_
2
4
3
as z , f(z) ,
f
zz
= 6z 10 is negative for z =
4
3
(local maximum)
and positive for z = 2 (local minimum),
17
when z =
4
3
, x +y = 5 z =
11
3
and xy = 8 (x +y)z =
28
9
= one is also
4
3
and the other
7
3
,
when z = 2, x +y = 5 z = 3 and xy = 8 (x +y)z = 2
= one is also 2 and the other is 1;
e) substituting y
16
x
:
f(x) = x +
16
x
= f
x
= 1
16
x
2
=0
= x = 4
when x = 4 and y =
1
4
we have a minimum, maxima are unbounded for lim
x0
and lim
x
;
f) substituting z 6 x and y 2x:
f(x) = x
2
+ 4x (6 x)
2
= 16x 36 ,
f(x) is a linear function with no maxima nor minima. 2
4. Actually a lemniscate is (x
2
+y
2
)
2
= x
2
y
2
, while (x
2
y
2
)
2
= x
2
+y
2
identies
only the point (0, 0).
1 0.8 0.6 0.4 0.2 0 0.2 0.4 0.6 0.8 1
0.5
0
0.5
x
y
(x
2
+y
2
)
2
x
2
+y
2
= 0
A lemniscate
In the lemniscate x +y maximizes, by simmetry, in the positive quadrant,
in the point where the tangent of the explicit function y = f(x) is 1;
for x and y positive the explicit function becomes:
(x
2
+y
2
)
2
= x
2
y
2
x
4
+ 2x
2
y
2
+y
4
x
2
+y
2
= 0
y
4
+ (2x
2
+ 1)y
2
+x
4
x
2
= 0
y
2
=
2x
2
1 +

4x
4
+ 4x
2
+ 1 4x
4
+ 4x
2
2
y = f(x) =

2x
2
+ 1 +

8x
2
+ 1
2
computing f

(x) and nding where it is 1 we nd the arg max = (x

, y

),
(x

, y

) will be the arg min. 2

18
5. a) (x 1)
3
= y
2
implies x 1,
f(x) = x
3
2x
2
+ 3x 1 = f
x
= 3x
2
4x + 3 which is always positive for
x 1,
since f(x) is increasing, min f(x) = f(1) = 1 (y = 0);
b) the derivative of the constraint D((x 1)
3
y
2
) is (3x
2
6x + 3, 2y)

,
which is (0, 0)

in (1, 0) and in any other point satisfying the constraint,

hence the rank condition in the Theorem of Lagrange is violated. 2
6. a)
L(x,

) = c

x +
1
2
x

Dx +

(Ax

b)
=
n

i=1
c
i
x
i
+
1
2
n

i=1
_
n

j=1
x
j
D
ji
_
x
i
+
m

i=1

i
__
n

j=1
A
ij
x
j
_
b
i
_
L
x
i
= c
i
+D
ii
x
i
+
1
2
n

j=1,j=i
x
j
D
ji
+
1
2
n

j=1,j=i
x
j
D
ij
+
m

j=1

j
A
ji
= c
i
+
n

j=1
x
j
D
ij
+
m

j=1

j
A
ji
L

i
=
_
n

j=1
A
ij
x
j
_
b
i
b). . .
7. The constraint is the normalixation |x| = 1, the system is:
f(x) = x

Ax
=
n

i=1
_
n

j=1
x
j
A
ji
_
x
i
f
x
i
= 2
n

j=1
x
j
A
ji
x

i
=

n
j=1,j=i
x

j
A
ji
A
ii

=
_
_
_
_
_
0
A
21
A
11
. . .
A
n1
A
11
A
12
A
22
0 . . .
A
n2
A
22
.
.
.
.
.
.
.
.
.
.
.
.
A
1n
Ann
A
2n
Ann
. . . 0
_
_
_
_
_

B

x

such that |

| = 1
19
for any eigenvectors of the square matrix B, its two normalization (one opposite
of the other) are critical points of the problem;
since D
2
f(x) = 2
_
_
_
A
11
. . . A
n1
.
.
.
.
.
.
.
.
.
A
1n
. . . A
nn
_
_
_ , x is constant,
all critical points are maxima, minima or saddles, according wether A is positive-
denite, negative-denite or neither. 2
8. a)
0 50 100 150 200 250 300 350 400
0
0.1
0.2
0.3
0.4
0.5
0.6
0.7
0.8
0.9
1
s
to
c
k
days
The function s(t) quantifying the stock is periodic of period T = x
dt
dI
,
in this period the average stock is
R
T
0
s(t)
T
=
xT
2T
=
x
2
,
in the long run this will be the total average;
b)
L(x, n, ) = C
h
x
2
+C
0
n +(nx A)
L
x
=
C
h
2
+n
L
n
= C
0
+x
_
=0
= n =
C
h
2
x =
C
0

= nx A
=0
=
C
h
C
0
2
2
= A = =
_
C
h
C
0
2A
x and n negative have no meaning so must be negative. 2
9. The condition for equality constraint to suce is that u(x
1
, x
2
) is nondecreasing,
this happens for 1 1;
if otherwise one of them , say is less than 1,
the problem is unbounded at lim
x
1
0
x

1
+x

2
= +. 2
10.
20
min w
1
x
1
+w
2
x
2
s.t. (x
1
, x
2
) X {(x
1
, x
2
) R
2
+
| x
2
1
+x
2
2
1}
a)
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
0
0.2
0.4
0.6
0.8
1
1.2
1.4
1.6
1.8
2
x
1
x
2
X=x
1
2
+x
2
2
1
w
1
/ w
2

if w
1
< w
2
it is clear from the graph that (1, 0) is the cheapest point in X,
similarly, if w
2
< w
1
, the cheapest point is 0, 1,
if w
1
= w
2
they both cost w
1
= w
2
;
b) if nonnegativity constraints are ignored:
min
x
2
1
+x
2
2
1
w
1
x
1
+w
2
x
2
= lim
(x
1
,x
2
)(,)
w
1
x
1
+w
2
x
2
=
similarly for (x
1
, x
2
) (+, +) if w
1
and w
2
are positive. 2
11. [x
1
2
is not dened if x < 0. . . ]
max x
1
2
+y
1
2
s.t. px +y = 1
L(x, y, ) = x
1
2
+y
1
2
+(px +y 1)
L
x
=
1
2
x

1
2
+p
L
n
=
1
2
y

1
2
+
_
=0
= x = (2p)
2
y = (2)
2
L

= px +y 1
=0
= p(2p)
2
+ (2)
2
= 1
p
4
2
p
2
+
1
4
2
=
p
2
+p
4
2
p
2
= 1 = =
_
p
2
+p
2p
the sign of does not matter to identify x

=
1
p
2
+p
and y

=
p
2
p
2
+p
,
the unique critical point, with both positive components,
x

1
2
+y

1
2
=
1+p

p
2
+p
=
_
1+p
p
is greater e.g. than 0
1
2
+ 1
1
2
= 1,
being the unique critical point it is a maximum. 2
21
Chapter 6 (pp. 145-171): Inequality Constraints.
1. Since the function is increasing in both variables, we can search maxima on the
boundary,
substituting y =

1 x
2
(which means x [0, 1] =y [0, 1]):
f(x) = lnx+ln
_
1 x
2
= ln x+
1
2
ln(1x
2
) = f
x
=
1
x

1
2
2x
1 x
2
=
1 2x
2
(1 x
2
)x
=0
= x =

2
2
= y =

2
2
which is the argument of the maximum. 2
2. The function is increasing, we search maxima on the boundary,
we can substitute to polar coordinates y

xsin , z

x cos :
f() =

x(p
y
sin +p
z
cos ) = f

x(p
y
cos p
z
sin)
=0
=
sin
cos
=
p
y
p
z
=
y
z
=
p
y
p
z
economically speaking, marginal rate of substitution equals the price ratio,
sin =
p
y
p
2
y
+p
2
z
cos =
p
z
p
2
y
+p
2
z
y =

x
p
y
p
2
y
+p
2
z
z =

x
p
z
p
2
y
+p
2
z
(

x
py
p
2
y
+p
2
z
,

x
pz
p
2
y
+p
2
z
) is a maximum and (

x
py
p
2
y
+p
2
z
,

x
pz
p
2
y
+p
2
z
) is a minimum. 2
3. a) We can search maxima on the boundary determined by I:
max x
1
x
2
x
3
s.t. x
1
[0, 1], x
2
[2, 4], x
3
= 4 x
1
x
2
max f(x
1
, x
2
) = 4x
1
x
2
x
2
1
x
2
x
1
x
2
2
s.t. x
1
[0, 1], x
2
[2, 4]
consider only x
1
,
f(x
1
) = 4x
1
x
2
x
2
1
x
2
x
1
x
2
2
has a maximum for x
1
=
4x
2
x
2
2
2x
2
= 2
1
2
x
2
,
by simmetry a maximum is for x
1
= x
2
=
4
3
, which is however not feasible,
nevertheless, for x
1
[0, 1] the maximum value for x
2
[2, 4] is 2,
we get then x
1
= 1 and x
3
= 1;
b)
22
max x
1
x
2
x
3
s.t. x
1
[0, 1], x
2
[2, 4], x
3
=
6 x
1
2x
2
3
max f(x
1
, x
2
) = 2x
1
x
2

1
3
x
2
1
x
2

2
3
x
1
x
2
2
s.t. x
1
[0, 1], x
2
[2, 4]
f(x
1
) has a maximum when x
1
=
2x
2

2
3
x
2
2
2
3
x
2
= 3 x
2
,
f(x
2
) when x
2
=
2x
1

1
3
x
2
2
4
3
x
2
=
3
2

1
4
x
1
,
the two together give x
1
= 3
3
2
+
1
4
x
1
= x
1
= 2 and x
2
= 1, not feasible,
nevertheless, for x
1
[0, 1] the maximum value for x
2
[2, 4] is again 2,
hence x
1
is again 1 and x
3
= 1. 2
4. The argument of square-root must be positive, the function is increasing in all
variables, so we can use Lagrangean method:
L(x, ) =
T

t=1
2
t

x
t
+
_
T

t=1
x
t
1
_
L
x
i
= 2
i1
x

1
2
i
+
if = 0 all x
i
are 0 (minimum);
otherwise, for i < j, i, j {1, . . . T}:
2
i1
x

1
2
i
= 2
j1
x

1
2
j
=
_
x
i
x
j
_1
2
=
2
j+1
2
i+1
= 2
ji
=
x
i
x
j
= 2
2(ji)
the system becomes x
1
= x
1
, x
2
=
1
4
x
1
, . . . x
T
=
1
2
2(T1)
x
1
,
since they must sum to 1:
x
1
= 1/
T1

i=0
4
i
, x
2
=
1
4
/
T1

i=0
4
i
, . . . x
T
=
1
4
(T1)
/
T1

i=0
4
i
as T increases the sum quickly converges to
1
1
1
4
=
4
3
. 2
5. a)
min w
1
x
1
+w
2
x
2
s.t. x
1
x
2
= y
2
, x
1
1, x
2
> 0
the feasible set is closed but unbounded as x
1
+
b) substituting x
2
=
y
2
x
1
we get:
23
f(x
1
) = w
1
x
1
+w
2
y
2
x
1
f

(x
1
) = w
1
w
2
y
2
x
2
1
=0
= x
1
= +
_
w
2
w
1
y since x
1
> 1
f

(x
1
) = 2w
2
y
2
x
3
1
> 0 since x
1
> 1
if
_
w
2
w
1
y 1, this is the solution, and x
2
=
_
w
1
w
2
y,
otherwise 1 is, and x
2
= y
2
,
in both cases

satisfying Kuhn-Tucker conditions:

L(x
1
, x
2
,
1
,
2
) = w
1
x
1
+w
2
x
2
+
1
( y
2
x
1
x
2
) +
2
(x
1
1)
for
_
_
w
2
w
1
y,
_
w
1
w
2
y
_
L
x
2
= w
2

1
x
1
=0
=
1
=
w
2
y
_
w
1
w
2
L
x
1
= w
1

1
x
2
+
2
=0
=
2
= 0
for (1, y
2
)
L
x
2
= w
2

1
x
1
=0
=
1
= w
2
L
x
1
= w
1

1
x
2
+
2
=0
=
2
= w
2
y
2
w
1
. 2
6.
max
(x
1
,x
2
)R
2
+
f(x
1
, x
2
) = max
(x
1
,x
2
)R
2
+
p
1
x
1
2
1
+p
2
x
1
2
1
x
1
3
2
w
1
x
1
w
2
x
2
substitute x x
1
2
1
and y x
1
3
2
, the problem becomes
max
(x,y)R
2
+
f(x, y) = max
(x,y)R
2
+
x(p
1
+p
2
y) w
1
x
2
w
2
y
3
f
x
= p
1
+p
2
y 2w
1
x
=0
= x =
p
1
+p
2
y
2w
1
f
y
= xp
2
3w
2
y
2
=
p
2
p
1
2w
1
+
p
2
2
y
2w
1
3w
2
y
2
=0
= y =

p
2
2
2w
1

_
_
p
2
2
2w
1
_
2
+ 6
w
2
p
2
p
1
w
1
3w
2
only the positive value will be admissible;
for p
1
= p
2
= 1 and w
1
= w
2
= 2 we have:
24
y =

1
4
+
_
1
16
+ 6
6
=

97 1
24
= x =

97
96
it is a maximum, because D
2
f(x, y) =
_
4 1
1 12y
_
is negative semidenite for
every y 0,
it is a global one for positive values because it is the only critical point. 2
7. a) Substituting x x
1
2
1
and y x
2
, considering that utility is increasing in both
variables, the problem is:
max
(x,y)R
2
+
f(x, y) = x +x
2
y such that 4x
2
+ 5y = 100
substituting y = 20
4
5
x
2
the problem becomes:
max
xR
+
f(x) = x + 20x
2

4
5
x
4
f
x
= 1 + 40x
16
5
x
3
with numerical methods it is possible to calculate that the only positive x for which
f
x
= 0 is x

3.5480,
where f(x) 128.5418,
since f
xx
= 40
48
5
x
2
< 40
48
5
5 < 0, it is a maximum,
we obtain x

1
12.5883 and x

2
9.9294;
b) buying the coupon the problem is:
max
(x,y)R
2
+
f
a
(x, y) = x +x
2
y such that 3x
2
+ 5y = 100 a
which becomes:
max
xR
+
f
a
(x) = x +
100 a
5
x
2

3
5
x
4
f

a
= 1 + (200 2a)x
12
5
x
3
the value of a that makes the choice indierent is when f
a
(x) 128.5418 (as
without coupon) and f

a
= 0,
for lower values of a the coupon is clearly desirable. 2
8. a)
max u(f, e, l) s.t. l [0, H], u
f
> 0, u
e
> 0, u
l
> 0
25
if is the amount of income spent in food, f =
wl
p
and e =
(1)wl
q
:
max u
_
wl
p
,
(1 )wl
q
, l
_
s.t. l [0, H], [0, 1], u
f
> 0, u
e
> 0, u
l
< 0 ;
b)
L(l, ,

) = u
_
wl
p
,
(1 )wl
q
, l
_
+
1
l +
2
(H l) +
3
+
4
(1 )
L
l
=
du
dl
+
1

2
L

=
du
d
+
3

4
and the constraints;
c) the problem is
max
l[0,16], [0,1]
f(l, ) = (3l)
1
3
((1 )3l)
1
3
l
2
= ()
1
3
(1 )
1
3
(3l)
2
3
l
2
we can decompose the two variables function:
f(l, ) = g()(3l)
2
3
l
2
, where g() ()
1
3
(1 )
1
3
since (3l)
2
3
is always positive, for l [0, 16],
and g() is always positive, for [0, 1],
g() maximizes alone for =
1
2
, where f(
1
2
) = 64;
now we have:
f(l) 64(3l)
2
3
l
2
= f
l
= 128 (3l)

1
3
2l
=0
= l

= 64 3

1
3
l

1
3
= l

4
3
64 0.6934 = l

17.1938
f
ll
= 128 (3l)

4
3
2 always negative
l

is a maximum but is not feasible,

however, since the function is concave, f(l) is increasing in [0, 16],
the agent maximizes working 16 hours (the model does not include the time for
leisure in the utility) and splitting the resources on the two commodities. 2
9.
max x
1
3
1
+ min{x
2
, x
3
} s.t. p
1
x
1
+p
2
x
2
+p
3
x
3
I
26
in principle Weierstrass theorem applies but not Kuhn-Tucker because min is con-
tinuous but not dierentiable.
The cheapest way to maximize min{x
2
, x
3
} is however when x
2
= x
3
, the problem
becomes:
max x
1
3
1
+x
2
s.t. p
1
x
1
+ (p
2
+p
3
)x
2
I
now also Kuhn-Tucker applies. 2
10. a)
max p f(L

+l) w
1
L

w
2
l s.t. l 0, f C
1
is concave = f
l
< 0
b)
L(l, ) = p f(L

+l) w
1
L

w
2
l +l
L
l
= p f
l
(L

+l) w
2
+
L

= l
l = 0 and = w
2
p f
l
(L

+l);
c) pf(L

+l)w
1
L

w
2
l maximizes once (by concavity) for pf
l
(L

+l) = w
2
,
when this happens for l 0, the maximum is (by chance) the Lagrangean point,
when instead this happens for l > 0, the maximum is not on the boundary. 2
11. a)
max p
y
x
1
4
1
x
1
4
2
p
1
(x
1
K
1
) p
2
(x
2
K
2
) s.t. x
1
K
1
, x
2
K
2
L(x
1
, x
2
,
1
,
2
) = p
y
x
1
4
1
x
1
4
2
p
1
(x
1
K
1
) p
2
(x
2
K
2
) +
1
(K
1
+x
1
) +
2
(K
2
+x
2
)
L
x
1
=
1
4
p
y
x

3
4
1
x
1
4
2
p
1
x
1
+
1
x
1
L
x
2
=
1
4
p
y
x
1
4
1
x

3
4
2
p
2
x
2
+
2
x
2
L

1
= K
1
+x
1
L

2
= K
2
+x
2
b) the unbounded maximum of f(x
1
, x
2
) = x
1
4
1
x
1
4
2
x
1
x
2
+ 4 is for:
27
f
x
1
=
1
4
x

3
4
1
x
1
4
2
1 = 0 = x
3
4
1
=
1
4
x
1
4
2
f
x
2
=
1
4
x
1
4
1
x

3
4
2
1 = 0 = x
3
4
2
=
1
4
x
1
4
1
_
= x
1
= x
2
=
_
1
4
_
2
=
1
16
bounds are respected,
the rm sells most of x
1
and buys only
1
16
units of x
2
to produce
1
4
units of y;
c) is analogous to (b) since the problem is symmetric. 2
12. a)
max p
y
(x
1
(x
2
+x
3
)) w

x
L(x,

) = p
y
(x
1
(x
2
+x
3
)) w

x +

x
L
x
1
= p
y
(x
2
+x
3
) w
1
+
1
L
x
i
i={2,3}
= p
y
x
1
w
i
+
i
L

i
= x
i
x
1
=
w
2

2
p
y
=
w
3

3
p
y
=
3

2
= w
3
w
2
x
2
+x
3
=
w
1

1
p
y
b) [ w
4
??? ] x R
3
+
and

R
3
are not dened by the equations;
c) the problem can be solved considering the cheapest between x
2
and x
3
,
suppose it is x
2
, the problem becomes:
max p
y
x
1
x
2
w
1
x
1
w
2
x
2
which has critical point (
w
2
py
,
w
1
py
) but its Hessian
_
0 p
y
p
y
0
_
is not negative semidef-
inite.
The problem maximizes at (+, +) for any choice of p
y
R
+
and w R
3
+
. 2
28