Revision as of 11:10, 25 March 2015

QE2013_AC-3_ECE580-1

Part 1,2,3,4,5

(i)
Solution 1:
$ \alpha_k $ is the solution to $ {d \over d\alpha}f(x^{(k)} + \alpha d^{(k)}) = 0 $

$ {d \over d\alpha}f(x^{(k)} + \alpha d^{(k)}) = (x^{(k)T} + \alpha d^{(k)T}) Q d^{(k)} - d^{(k)T} b = 0 $

$ \therefore \alpha d^{(k)T} Q d^{(k)} = -x^{(k)T} Q d^{(k)} + d^{(k)T} b = (b - Qx^{(k)})^T d^{(k)} = - g^{(k)T} d^{(k)} $

$ \therefore \alpha_k = - \frac {g^{(k)T} d^{(k)}} {d^{(k)T} Q d^{(k)}} $

Solution 2:
Let $ \Phi (\alpha) = f(x^{(k)} + \alpha d^{(k)}) $

then $ {d \over d\alpha} \Phi (\alpha) = d^{(k)T} \nabla f(x^{(k)} + \alpha d^{(k)}) $

$ f(x) = {1 \over 2} x^T Q x - x^T b + c, Q = Q^T > 0 $

$ \nabla f(x) = Qx - b $

so

$ \begin{align} {d \over d\alpha} \Phi (\alpha) & = d^{(k)T} (Q(x^{(k)} + \alpha d^{(k)}) - b) \\ & = d^{(k)T} Q x^{(k)} + \alpha d^{(k)T} Q d^{(k)} - d^{(k)T} b \\ & = d^{(k)T} (Q x^{(k)} - b) + \alpha d^{(k)T} Q d^{(k)} \\ & = d^{(k)T} g^{(k)} + \alpha d^{(k)T} Q d^{(k)} = 0 \\ \end{align} $

$ \alpha_k = - \frac {d^{(k)T} g^{(k)}} {d^{(k)T} Q d^{(k)}} = - \frac {g^{(k)T} d^{(k)}} {d^{(k)T} Q d^{(k)}} = \frac {g^{(k)T} H_k g^{(k)}} {d^{(k)T} Q d^{(k)}} $

(ii)
Solution 1:
$ \because Q > 0,\ \therefore d^{(k)T} Q d^{(k)} > 0 $

$ \therefore \alpha_k > 0 \Leftrightarrow -g^{(k)T} d^{(k)} = g^{(k)T} H_k g^{(k)} > 0 $

Therefore a sufficient condition is $ H_k $ is positive definite.

Solution 2:

$ \alpha_k > 0 \Rightarrow H_k = H_k^T > 0 $

Comment:
Both solutions are similar and have the same result. Back to QE2013 AC-3 ECE580