Lecture10 PDF

Jim Lambers MAT 419/519 Summer Session 2011-12 Lecture 10 Notes These notes correspond to Section 3.
2 in the text.
The Method of Steepest Descent

When it is not possible to nd the minimium of a function analytically, and therefore must use an iterative method for obtaining an approximate solution, Newtons Method can be an eective method, but it can also be unreliable. Therefore, we now consider another approach. Given a function f : Rn R that is dierentiable at x0 , the direction of steepest descent is the vector f (x0 ). To see this, consider the function (t) = f (x0 + tu), where u is a unit vector; that is, u = 1. Then, by the Chain Rule, (t) = f x1 f xn + + x1 t xn t f f = u1 + + un x1 xn = f (x0 + tu) u,
and therefore (0) = f (x0 ) u = f (x0 ) cos , where is the angle between f (x0 ) and u. It follows that (0) is minimized when = , which yields f ( x0 ) u= , (0) = f (x0 ) . f (x0 ) We can therefore reduce the problem of minimizing a function of several variables to a singlevariable minimization problem, by nding the minimum of (t) for this choice of u. That is, we nd the value of t, for t > 0, that minimizes 0 (t) = f (x0 tf (x0 )). After nding the minimizer t0 , we can set x1 = x0 t0 f (x0 ) 1
and continue the process, by searching from x1 in the direction of f (x1 ) to obtain x2 by minimizing 1 (t) = f (x1 tf (x1 ), and so on. This is the Method of Steepest Descent: given an initial guess x0 , the method computes a sequence of iterates {xk }, where xk+1 = xk tk f (xk ), where tk > 0 minimizes the function k (t) = f (xk tf (xk )). Example We apply the Method of Steepest Descent to the function f (x, y ) = 4x2 4xy + 2y 2 with initial point x0 = (2, 3). We rst compute the steepest descent direction from f (x, y ) = (8x 4y, 4y 4x) to obtain f (x0 ) = f (2, 3) = (4, 4). We then minimize the function (t) = f ((2, 3) t(4, 4)) = f (2 4t, 3 4t) by computing (t) = f (2 4t, 3 4t) (4, 4) = (8(2 4t) 4(3 4t), 4(3 4t) 4(2 4t)) (4, 4) = (16 32t 12 + 16t, 12 16t 8 + 16t) (4, 4) = (16t + 4, 4) (4, 4) = 64t 32. This strictly convex function has a strict global minimum when (t) = 64t 32, or t = 1/2, as can be seen by noting that (t) = 64 > 0. We therefore set 1 1 x1 = x0 f (x0 ) = (2, 3) (4, 4) = (0, 1). 2 2 Continuing the process, we have f (x1 ) = f (0, 1) = (4, 4), 2 k = 0, 1, 2, . . . ,
and by dening (t) = f ((0, 1) t(4, 4)) = f (4t, 1 4t) we obtain (t) = (8(4t) 4(1 4t), 4(1 4t) 4(4t)) (4, 4) = (48t 4, 32t + 4) (4, 4) = 320t 32. We have (t) = 0 when t = 1/10, and because (t) = 320, this critical point is a strict global minimizer. We therefore set x2 = x 1 1 1 f (x1 ) = (0, 1) (4, 4) = 10 10 2 3 , 5 5 .
2 Repeating this process yields x3 = (0, 10 ). We can see that the Method of Steepest Descent produces a sequence of iterates xk that is converging to the strict global minimizer of f (x, y ) at x = (0, 0). 2
The following theorems describe some important properties of the Method of Steepest Descent. Theorem Let f : Rn R be continuously dierentiable on Rn , and let x0 D. Let t > 0 be the minimizer of the function (t) = f (x0 tf (x0 )), t 0 and let x1 = x0 t f (x0 ). Then f (x1 ) < f (x0 ). That is, the Method of Steepest Descent is guaranteed to make at least some progress toward a minimizer x during each iteration. This theorem can be proven by showing that (0) < 0, which > 0 such that (t) < (0). guarantees the existence of t Theorem Let f : Rn R be continuously dierentiable on Rn , and let xk and xk+1 , for k 0, be two consecutive iterates produced by the Method of Steepest Descent. Then the steepest descent directions from xk and xk+1 are orthogonal; that is, f (xk ) f (xk+1 ) = 0. This theorem can be proven by noting that xk+1 is obtained by nding a critical point t of (t) = f (xk tf (xk )), and therefore (t ) = f (xk+1 ) f (xk ) = 0. That is, the Method of Steepest Descent pursues completely independent search directions from one iteration to the next. However, in some cases this causes the method to zig-zag from the initial iterate x0 to the minimizer x . 3
We have seen that Newtons Method can fail to converge to a solution if the initial iterate is not chosen wisely. For certain functions, however, the Method of Steepest Descent can be shown to be much more reliable. Theorem Let f : Rn R be a coercive function with continuous rst partial derivatives on Rn . Then, for any initial guess x0 , the sequence of iterates produced by the Method of Steepest Descent from x0 contains a subsequence that converges to a critical point of f . This result can be proved by applying the Bolzano-Weierstrauss Theorem, which states that any bounded sequence contains a convergent subsequence. The sequence {f (xk )} k=0 is a decreasing sequence, as indicated by a previous theorem, and it is a bounded sequence, because f (x) is continuous and coercive and therefore has a global minimum f (x ). It follows that the sequence {xk } is also bounded, for a coercive function cannot be bounded on an unbounded set. By the Bolzano-Weierstrauss Theorem, {xk } has a convergent subsequence {xkp }, which can be shown to converge to a critical point of f (x). Intuitively, as xk+1 = xk t f (xk ) for some t > 0, convergence of {xkp } implies that
kp+1 1
0 = lim xkp+1 xkp =

p i=kp
t i f (xi ),
t i > 0,
which suggests the convergence of f (xkp ) to zero. If f (x) is also strictly convex, we obtain the following stronger result about the reliability of the Method of Steepest Descent. Theorem Let f : Rn R be a coercive, strictly convex function with continuous rst partial derivatives on Rn . Then, for any initial guess x0 , the sequence of iterates produced by the Method of Steepest Descent from x0 converges to the unique global minimizer x of f (x) on Rn . This theorem can be proved by noting that if the sequence {xk } of steepest descent iterates does not converge to x , then any subsequence that does not converge to x must contain a subsequence that converges to a critical point, by the previous theorem, but f (x) has only one critical point, which is x , which yields a contradiction.
Exercises
1. Chapter 3, Exercise 8 2. Chapter 3, Exercise 11 3. Chapter 3, Exercise 12

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Jim Lambers MAT 419/519 Summer Session 2011-12 Lecture 10 Notes These notes correspond to Section 3.

The Method of Steepest Descent

0 = lim xkp+1 xkp =

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