Reference no: EM132300000
Assignment - Numerical Optimization Problems
Textbook - Numerical Optimization, Second Edition by Jorge Nocedal and Stephen J. Wright. ISBN-10: 0-387-30303-0.
Problem 1 - do problem 16.17: Consider the quadratic program
max 6x1 + 4x2 - 13 - x12 - x22,
subject to x1 + x2 ≤ 3, x1 ≥ 0, x2 ≥ 0.
First solve it graphically, and then use your program implementing the active-set method given in Algorithm 16.3. (Algorithm 16.3 Active-Set Method for Convex QP).
Problem 2 - do problem 17.8: Prove the second part of Theorem 17.4. That is, if xˆ is a stationary point of φ1(x; µ) for all µ sufficiently large, but xˆ is infeasible for problem (17.6), then xˆ is an infeasible stationary point. (Hint: Use the fact that D(φ1(xˆ; µ); p) = ∇ f (xˆ)T p + µD(h(xˆ); p), where h is defined in (17.27).)
Problem 3 - do problem 19.7: Program the simple interior-point method Algorithm 19.1 and apply it to the problem (18.69). Use the same starting point as in that problem. Try different values for the parameter σ. (Algorithm 19.1 - Basic Interior-Point Algorithm).