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f( x , y ) := ( 1 x ) + y x dfdx( x , y ) :=
2
Sx ( x , y ) := dfdx( x , y ) Sy ( x , y ) := dfdy( x , y ) x 0 := 3 y 0 := 5
<= The search direction at any (x,y) point is just the negative of the gradient - the direction of steepest descent <= Initial guess obj := f x 0, y 0 0
obj = 32
0
1 Minimize f , x 0 , y 0 = 1
<= location of minimum as found using the Mathcad minimize function - this is the 'right answer'
f( 1 , 1 ) = 0
Iteration 1
( ) Sy ( x 0 , y 0 ) = 8
Sx x 0 , y 0 = 56
x ( d ) := x 0 + d Sx x 0 , y 0 y ( d ) := y 0 + d Sy x 0 , y 0
( (
) )
F( d ) := f( x ( d ) , y ( d ) )
<= Define the objective function in terms of d so that the multi-dimensional problem is now a one-dimensional problem
13
12 F ( d) 11
10 0.01
0.012
0.014 d
0.016
0.018
<= Initial guess for the Mathcad optimizer d star = 0.016 <= d* is the location of the minimum value of the objective function along the line defined by the current search direction x 1 = 2.101 y 1 = 5.128 <= New estimate of x* and y* obj := f x 1 , y 1 obj = 10.126
1
( (
) ) ( (
( (
) )
x ( d ) := x 1 + d Sx x 1 , y 1 y ( d ) := y 1 + d Sy x 1 , y 1
) )
F ( d) 10
2 d
dd := .01
d star := Minimize( F , dd) x 2 := x 1 d star dfdx x 1 , y 1 y 2 := y 1 d star dfdy x 1 , y 1 Iteration 3 Sx x 2 , y 2 = 10.103 Sy x 2 , y 2 = 1.443
( (
) ) ( (
x 2 = 1.658 y 2 = 2.028
obj = 7.587
2
( (
) )
x ( d ) := x 2 + d Sx x 2 , y 2 y ( d ) := y 2 + d Sy x 2 , y 2
) )
15
10 F ( d) 5
0.05
0.1
0.15
0.2 d
0.25
0.3
0.35
dd := .01
d star := Minimize( F , dd) x 3 := x 2 d star dfdx x 2 , y 2 y 3 := y 2 d star dfdy x 2 , y 2 Iteration 4 Sx x 3 , y 3 = 0.256 Sy x 3 , y 3 = 1.792
( (
) ) ( (
x 3 = 1.101 y 3 = 2.108
obj = 5.216
3
( (
) )
x ( d ) := x 3 + d Sx x 3 , y 3 y ( d ) := y 3 + d Sy x 3 , y 3
) )
5 F ( d) 4
0.5
1 d
1.5
dd := .01
( (
) )
x 4 = 0.854 y 4 = 0.379
obj = 3.559
4
( (
) )
x ( d ) := x 4 + d Sx x 4 , y 4 y ( d ) := y 4 + d Sy x 4 , y 4
( (
) )
F ( d) 2
0.1
0.2 d
0.3
0.4
dd := .01
( (
) )
x 5 = 0.848 y 5 = 0.622
obj = 0.033
5
( (
) )
x ( d ) := x 5 + d Sx x 5 , y 5 y ( d ) := y 5 + d Sy x 5 , y 5
( (
) )
F ( d) 0.03
0.025
0.1
0.2 d
0.3
0.4
dd := .01
( (
) )
x 6 = 0.839 y 6 = 0.685
obj = 0.026
6
( (
) )
x ( d ) := x 6 + d Sx x 6 , y 6 y ( d ) := y 6 + d Sy x 6 , y 6
( (
) )
dd := .01
( (
) )
x 7 = 0.876 y 7 = 0.691
obj = 0.021
7
( (
) )
x ( d ) := x 7 + d Sx x 7 , y 7 y ( d ) := y 7 + d Sy x 7 , y 7
( (
) )
0.02 F ( d) 0.018
0.016
0.1
0.2 d
0.3
0.4
dd := .01
( (
) )
x 8 = 0.869 y 8 = 0.74
obj = 0.017
8
( (
) )
x ( d ) := x 8 + d Sx x 8 , y 8 y ( d ) := y 8 + d Sy x 8 , y 8
( (
) )
0.018 F ( d) 0.016
0.014
0.05
0.1
0.15 d
0.2
0.25
dd := .01
d star := Minimize( F , dd) x 9 := x 8 d star dfdx x 8 , y 8 y 9 := y 8 d star dfdy x 8 , y 8 Now, make a convergence plot
( (
) )
x 9 = 0.898 y 9 = 0.744 i := 0 .. 9
obj = 0.014
9
100
10
Iteration Number
obji
0.1
0.01
4 i
Objective Function