Automatic Control (AC)
Question 3: Optimization
August 2016 Problem 2
Solution
a) From the Optimization textbook, Zak Stanislaw. Lemma 8.3
For fixed step gradient descent algorithms $ \alpha $ should in the range $ (0,\dfrac{2}{\lambda max(Q)}) $
b) $ f(x)-\dfrac{1}{2}x^TQx-b^Tx=\dfrac{1}{2}x^T\begin{bmatrix} 12 & 0 \\ 0 & 4 \end{bmatrix}-5 $
such that $ \lambda max(Q)=12 \Rightarrow \alpha \in (0, \dfrac{1}{6}) $
