= [0, 4, 17/3]
T
.
a) Write the problem (P
1
) in standard form.
b) Show that the point x
.
e)* Using second-order sucient optimality conditions, determine whether
or not x
=
Q
1
a
a
T
Q
1
a
is a constrained stationary point for (P
2
).
e) Determine whether x
=
Q
1
a
a
T
Q
1
a
is a local minimizer, global min-
imizer or neither for the problem (P
2
).
f) Write down the Wolfe dual maximization problem for (P
2
).
g) What is the maximum value of the Wolfe dual maximization problem
in part f)? Give reasons for your answer. [NOTE: You do not need
to solve the dual problem.]
h)* Suppose the constraint in (P
2
) becomes an equality constraint, so
the new problem (P
2
) has the single equality constraint c(x) = 0.
Establish rigorously whether the new feasible region
:= {x R
n
: x
T
Qx 1 = 0}
is convex or not.
Please see over . . .
SESSION 1, 2012 MATH3161/MATH5165 Page 3
2. [25 marks] Consider minimizing the strictly convex quadratic function
q(x) =
1
2
x
T
Gx +d
T
x + c
where G is an (n n) symmetric positive denite constant matrix, d is a
constant n 1 vector and c is a scalar. Let x
(1)
be the starting point, where
q(x
(1)
) = 0, x
(1)
= x
and x
3x
1
x
2
2
x
1
+ x
2
.
a) Write down the Hessian matrix G of q(x).
b) Find the condition number of G.
c)* Given that x
(1)
x
10
10
.
d) Consider applying a conjugate gradient method with the Fletcher-
Reeves updating formula to the quadratic function q(x). It is given
that
x
(2)
=
1
17
26
38
and s
(2)
=
30
17
2
3
7
,
where x
(2)
is the current iterate and s
(2)
is the current search direc-
tion.
) Show that
(2)
=
17
10
is the exact minimizer of q(x
(2)
+ s
(2)
).
) Find x
(3)
using exact arithmetic.
) Is x
(3)
a minimizer of q(x)? Give reasons for your answer.
Please see over . . .
SESSION 1, 2012 MATH3161/MATH5165 Page 4
3. [15 marks]
Consider the optimal control problem
minimize
t
1
0
(x
1
+ u
2
1
) dt
subject to x
1
= x
1
+ u
1
,
x
1
(0) = 4, x
1
(t
1
) = 0,
where u
1
U
u
, the unrestricted control set and t
1
> 0 is free
i) Write down the Hamiltonian function H for this problem. [You may
assume the problem is normal and set the co-state variable z
0
= 1.]
ii) Write down the dierential equation for the co-state z
1
and nd z
1
as a
function of t.
iii) State clearly the Pontryagin Maximum Principle conditions that an op-
timal solution satises, including a statement about the value of H along
the optimal path.
iv)* Assuming that a solution exists, apply the Pontryagin Maximum Prin-
ciple conditions to nd the optimal state x
1
(t), the optimal control u
1
(t)
and the optimal time t
1
.