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n
2
1
x
f
x
f
x
f
M
Hessian matrix of a twice differentiable function:
H(x) =
2
f(x) =
2
n
2
2 n
2
1 n
2
n 2
2
2
2
2
1 2
2
n 1
2
2 1
2
2
1
2
x
f
x x
f
x x
f
x x
f
x
f
x x
f
x x
f
x x
f
x
f
K
M M M
K
L
For a quadratic function f(x) =
2
1
x
T
Qx + c
T
x + d
f(x) = Qx + c
2
f(x) = Q
Important definitions:
Point x is a stationary point of f if f(x) = 0.
The symmetric n n -matrix A and the corresponding quadratic form
x
T
Ax are said to be
1) positive definite, if (any of the conditions)
x
T
Ax > 0 for all x = 0
all its eigenvalues are positive
all determinants
D
i
=
ii 2 i 1 i
i 2 22 21
i 1 12 11
a a a
a a a
a a a
L
M O M M
L
L
1 _ i _ n are positive
that is
D
1
= a
11
> 0
D
2
=
22 21
12 11
a a
a a
> 0
D
n
= det(A) > 0
2) negative definite, if (any of the conditions)
x
T
Ax < 0 for all x = 0
all its eigenvalues are negative
D
i
< 0 for odd indices i, and
D
i
> 0 for even indices i
3) indefinite, if (any of the conditions)
x
T
Ax assumes positive and negative values
A has both positive and negative eigenvalues
det(A) = 0 but A is neither pos. nor neg.definite
4) positive semidefinite, if (any of the conditions)
x
T
Ax _ 0 for all x = 0
all its eigenvalues are nonnegative
5) negative semidefinite, if (any of the conditions)
x
T
Ax _ 0 for all x = 0
all its eigenvalues are nonpositive.
6) If det(A) = 0, A may be semidefinite or indefinite.
Order notation (ordo symbol):
A univariate function f(x) is said to be of order x
p
, as x 0, written
f(x) = O(x
p
), as x 0
if there exists a positive number M such that as |x| approaches zero
|f(x)| _ M |x
p
|
TAYLOR'S FORMULA
Let f: R R be r times continuously differentiable.
Then there exists a scalar 0 [0, 1] such that
) h x ( f h ) x ( f h ) x ( f h ) x ( f h ) x ( f ) h x ( f
) r ( r
! r
1
) 1 r ( 1 r
)! 1 r (
1
2
2
1
+ + + + + + = +
L
or
) h ( O ) x ( f h ) x ( f h ) x ( f h ) x ( f ) h x ( f
r ) 1 r ( 1 r
)! 1 r (
1
2
2
1
+ + + + + = +
L
Names: Taylor's formula, Taylor expansion, Taylor series,
Taylor's polynomial.
Taylor's polynomial of second order for a multivariate function:
Let f: R
n
R be twice continuously differentiable function, x a given
point in R
n
, p unit vector in R
n
, and h scalar. Then
f(x + hp) = f(x) + hp
T
f(x) +
2
1
h
2
p
T
H(x)p + O(h
3
)
For any vector d in R
n
f(x + d) = f(x) + d
T
f(x) +
2
1
d
T
H(x)d + O(||d||
3
)
FINITE DIFFERENCE APPROXIMATIONS TO DERIVATIVES
Taylor's formula gives
1) the forward difference approximation for derivative f(x):
h
) x ( f ) h x ( f
) x ( ' f
+
= + O(h)
2) the central-difference approximation for derivative f(x):
h 2
) h x ( f ) h x ( f
) x ( ' f
+
= + O(h
2
)
RATE OF CONVERGENCE OF ITERATIVE SEQUENCES
Assume the sequence {x
k
} converges to x* i.e.
k
lim||x
k
x*|| = 0
The sequence {x
k
} converges with order r when there are positive
constants c and N such that
||x
k+1
x*|| _ c ||x
k
x*||
r
when k _ N
or
<
+
r
k
|| ||
|| ||
lim 0
x* x
x* x
k
1 k
(i.e. finite)
When
0
|| ||
|| ||
lim
k
=
+
x* x
x* x
k
1 k
the convergence is superlinear.
Linear convergence: r = 1
Quadratic convergence: r = 2
Superlinear convergence: r > 1