chapter 2-optimization

Chapter 2-OPTIMIZATION

G.Anuradha

Contents• Derivative-based Optimization

– Descent Methods– The Method of Steepest Descent – Classical Newton’s Method– Step Size Determination

• Derivative-free Optimization– Genetic Algorithms– Simulated Annealing– Random Search– Downhill Simplex Search

What is Optimization?

• Choosing the best element from some set of available alternatives

• Solving problems in which one seeks to minimize or maximize a real function

Notation of OptimizationOptimize y=f(x1,x2….xn) --------------------------------1subject to gj(x1,x2…xn) ≤ / ≥ /= bj ----------------------2 where j=1,2,….n

Eqn:1 is objective function Eqn:2 a set of constraints imposed on the solution. x1,x2…xn are the set of decision variables Note:- The problem is either to maximize or minimize the

value of objective function.

Complicating factors in optimization

1. Existence of multiple decision variables2. Complex nature of the relationships

between the decision variables and the associated income

3. Existence of one or more complex constraints on the decision variables

Types of optimization

• Constraint:- Solution is arrived at by maximizing or minimizing the objective function

• Unconstraint:- No constraints are imposed on the decision variables and differential calculus can be used to analyze them

Least Square Methods for System Identification

• System Identification:- Determining a mathematical model for an unknown system by observing the input-output data pairs

• System identification is required– To predict a system behavior– To explain the interactions and relationship between

inputs and outputs – To design a controller

• System identification– Structure identification– Parameter identification

Structure identification

• Apply a priori knowledge about the target system to determine a class of models within which the search for the most suitable model is conducted

• y=f(u;θ) y – model’s output u – Input Vector θ – parameter vector

Parameter Identification

• Structure of the model is known and optimization techniques are applied to determine the parameter vector θ= θ

Block diagram of parameter identification

Parameter identification

• An input ui is applied to both the system and the model

• Difference between the target system’s output yi and model’s output yi is used to update a parameter vector θ to minimize the difference

• System identification is not a one-pass process; it needs to do both structure and parameter identification repeatedly

Classification of Optimization algorithms

• Derivative-based algorithms:-• Derivative-free algorithms

Characteristics of derivative free algorithm

1. Derivative freeness:- repeated evaluation of objective function

2. Intuitive guidelines:- concepts are based on nature’s wisdom, such as evolution and thermodynamics

3. Slower4. Flexibility5. Randomness:- global optimizers6. Analytic Opacity:-knowledge about them are based on

empirical studies7. Iterative nature:-

Characteristics of derivative free algorithm

• Stopping condition of iteration:- let k denote an iteration count and fk denote the best objective function obtained at count k. stopping condition depends on– Computation time– Optimization goal;– Minimal Improvement– Minimal relative improvement

Basics of Matrix Manipulation and Calculus

Gradient of a Scalar Function

Jacobian of a Vector Function

Least Square Estimator

• Method of least squares is a standard approach to approximate solution of overdetermined systems.

• Least Squares- Overall solution minimizes the sum of the squares of the errors made in solving every single equation

• Application—Data Fitting

Types of Least Squares• Least Squares

– Linear:- It is a linear combination of parameters.

– The model may represent a straight line, a parabola or any other linear combination of functions

– Non-Linear:- the parameters appear as functions, such as β2,eβx.

If the derivatives are either constant or depend only on the values of the independent variable, the model is linear else non-linear.

Differences between Linear and Non-Linear Least Squares

Linear Non-LinearAlgorithms Does not require initial values

Algorithms Require Initial values

Globally concave; Non convergence is not an issue

Non convergence is a common issue

Normally solved using direct methods Usually an iterative process

Solution is unique Multiple minima in the sum of squares

Yields unbiased estimates even when errors are uncorrelated with predictor values

Yields biased estimates

Linear regression with one variable

Model representation

Machine Learning

Housing Prices(Portland, OR)

Price(in 1000s of dollars)

Size (feet2)

Supervised Learning

Given the “right answer” for each example in the data.

Regression Problem

Predict real-valued output

Notation:

m = Number of training examples x’s = “input” variable / features y’s = “output” variable / “target” variable

Size in feet2 (x)

Price ($) in 1000's (y)

2104 4601416 2321534 315852 178… …

Training set ofhousing prices(Portland, OR)

Training Set

Learning Algorithm

hSize of house

Estimated price

How do we represent h ?

Linear regression with one variable.Univariate linear regression.

Cost function

Machine Learning


How to choose ‘s ?

Training Set

Hypothesis:

‘s: Parameters

Size in feet2 (x)

Price ($) in 1000's (y)

2104 4601416 2321534 315852 178… …

y

x

Idea: Choose so that is close to for our training examples

Cost functionintuition I

Machine Learning


Hypothesis:

Parameters:

Cost Function:

Goal:

Simplified

y

x

(for fixed , this is a function of x) (function of the parameter )

Cost functionintuition II

Machine Learning


Hypothesis:

Parameters:

Cost Function:

Goal:

(for fixed , this is a function of x) (function of the parameters )

Price ($) in 1000’s

Size in feet2 (x)

Gradient descent

Machine Learning


Have some function

Want

Outline:• Start with some

• Keep changing to reduce

until we hopefully end up at a

minimum

Gradient descent algorithm

Correct: Simultaneous update Incorrect:

Gradient descentintuition

Machine Learning


If α is too small, gradient descent can be slow.

If α is too large, gradient descent can overshoot the minimum. It may fail to converge, or even diverge.

at local optima

Current value of

Gradient descent can converge to a local minimum, even with the learning rate α fixed.

As we approach a local minimum, gradient descent will automatically take smaller steps. So, no need to decrease α over time.

Gradient descent for linear regression

Machine Learning


Gradient descent algorithm Linear Regression Model


update and

simultaneously

“Batch” Gradient Descent

“Batch”: Each step of gradient descent uses all the training examples.

Linear Regression with multiple variables

Multiple features

Machine Learning

Size (feet2)

Price ($1000)

2104 4601416 2321534 315852 178… …

Multiple features (variables).

Size (feet2)

Number of

bedrooms

Number of floors

Age of home

(years)

Price ($1000)

2104 5 1 45 4601416 3 2 40 2321534 3 2 30 315852 2 1 36 178… … … … …

Multiple features (variables).

Notation:= number of features= input (features) of training example.= value of feature in training example.

Hypothesis:

Previously:

For convenience of notation, define .

Multivariate linear regression.


Gradient descent for multiple variables

Machine Learning

Hypothesis:

Cost function:

Parameters:

(simultaneously update for every )

Repeat

Gradient descent:

(simultaneously update )

Gradient Descent

Repeat

Previously (n=1):

New algorithm :

Repeat

(simultaneously update for )


Gradient descent in practice I: Feature Scaling

Machine Learning

E.g. = size (0-2000 feet2)

= number of bedrooms (1-5)

Feature ScalingIdea: Make sure features are on a similar scale.

size (feet2)

number of bedrooms

Feature Scaling

Get every feature into approximately a range.

Replace with to make features have approximately zero mean (Do not apply to ).

Mean normalization

E.g.


Gradient descent in practice II: Learning rate

Machine Learning

Gradient descent

- “Debugging”: How to make sure gradient descent is working correctly.

- How to choose learning rate .

Example automatic convergence test:

Declare convergence if decreases by less than in one iteration.

No. of iterations

Making sure gradient descent is working correctly.

Making sure gradient descent is working correctly.

Gradient descent not working.

Use smaller .

No. of iterations

No. of iterations No. of iterations

- For sufficiently small , should decrease on every iteration.

- But if is too small, gradient descent can be slow to converge.

Summary:

- If is too small: slow convergence.- If is too large: may not decrease

on every iteration; may not converge.

To choose , try


Features and polynomial regression

Machine Learning

Housing prices prediction

Polynomial regression

Price(y)

Size (x)

Choice of features

Price(y)

Size (x)


Normal equation

Machine Learning

Gradient Descent

Normal equation: Method to solve for analytically.

Intuition: If 1D

Solve for

(for every )

Size (feet2)

Number of

bedrooms

Number of floors

Age of home

(years)

Price ($1000)

1 2104 5 1 45 4601 1416 3 2 40 2321 1534 3 2 30 3151 852 2 1 36 178

Size (feet2)

Number of

bedrooms

Number of floors

Age of home

(years)

Price ($1000)

2104 5 1 45 4601416 3 2 40 2321534 3 2 30 315852 2 1 36 178

Examples:

examples ; features.

E.g. If

is inverse of matrix .

Octave: pinv(X’*X)*X’*y

training examples, features.

Gradient Descent Normal Equation

• No need to choose .• Don’t need to iterate.

• Need to choose . • Needs many

iterations.• Works well even

when is large.• Need to compute

• Slow if is very large.


Normal equation and non-invertibility (optional)

Machine Learning

Normal equation

- What if is non-invertible? (singular/ degenerate)

- Octave: pinv(X’*X)*X’*y

What if is non-invertible?

• Redundant features (linearly dependent).E.g. size in feet2

size in m2

• Too many features (e.g. ).

- Delete some features, or use regularization.

Linear model

Regression Function

Linear model contd…

Using matrix notationWhere A is a m*n matrix

Due to noise a small amount of error is added

Least Square Estimator

Problem on Least Square Estimator

Derivative Based Optimization

• Deals with gradient-based optimization techniques, capable of determining search directions according to an objective function’s derivative information

• Used in optimizing non-linear neuro-fuzzy models, – Steepest descent– Conjugate gradient

First-Order Optimality ConditionF x F x x+ F x F x T

x x=x+= = 1

2---xT F x

x x=x2 + +

x x x–=

F x x+ F x F x T

x x=x+

For small x:

F x T

x x=x 0

F x T

x x=x 0

If x* is a minimum, this implies:

F x x– F x F x T

x x=x – F x If then

But this would imply that x* is not a minimum. ThereforeF x

T

x x=x 0=

Since this must be true for every x, F x x x=

0=

Second-Order ConditionF x x+ F x 1

2---xT F x

x x=x2 + +=

xT F x x x=

x2 0A strong minimum will exist at x* if for any x ° 0.

Therefore the Hessian matrix must be positive definite. A matrix A is positive definite if:

zTAz 0

A necessary condition is that the Hessian matrix be positive semidefinite. A matrix A is positive semidefinite if:

zTAz 0

If the first-order condition is satisfied (zero gradient), then

for any z ° 0.

for any z.

This is a sufficient condition for optimality.

Basic Optimization Algorithmxk 1+ xk kpk+=

x k xk 1+ x k– kpk= =

pk - Search Direction

k - Learning Rate

or

xk

x k 1+kpk

chapter 2-optimization

Documents

set of decision variables

system behaviorto

unknown system

best objective function

set of constraints

objective function eqn

value of objective function

objective functionunconstraint