Elements of Economic Analysis II Lecture III: Cost Minimization, Factor Demand and Cost Function
|
|
- Shauna Davis
- 5 years ago
- Views:
Transcription
1 Elements of Economic Analysis II Lecture III: Cost Minimization, Factor Demand and Cost Function Kai Hao Yang 10/05/ Cost Minimization In the last lecture, we saw a firm s profit maximization problem. In fact, the profit maximization problem can be decomposed into two parts Fix a quantity to be produced and minimize total production cost, and then maximize profit by choosing an optimal quantity. Such decomposition is sometimes more informative about the firm s behavior. This is the topic for this lecture. 1.1 Long Run Cost Minimization Formally, let F be the firm s production function. Fix any y 0, the firm s cost minimization problem is given by: min wl + rk s.t. F (L, K) = y. That is, the cost minimization problem aims to find the optimal combination that minimizes the firm s total cost in order to produce y units of outputs. For any w, r, y, we let L (w, r, y) and K (w, r, y) denote the solution of the cost minimization problem and let c(w, r, y) := wl (w, r, y) + rk (w, r, y) Department of Economics, University of Chicago; khyang@uchicago.edu 1
2 2 be the optimal value of the cost minimization problem. We say the L (w, r, y) and K (w, r, y) are the conditional factor demand of the firm and that c(w, r, y) is the cost function of the firm. Indeed, fix any w, r, for a firm that will minimize total cost when producing y units, our theory predicts that this firm will need L (w, r, y) units of labor and K (w, r, y) units of capital. Furthermore, we can conclude from the cost minimization problem that the (smallest possible) total cost to produce y units of output is c(w, r, y). We can learn more about the conditional factor demands and the cost function by examining the first-order (and second-order) condition of the cost minimization problem. Recall that we can use the Lagrangian to solve a constrained optimization problem. That is, let L = wl + rk + µ(y F (L, K)). Assume that L (w, r, y) > 0 and K (w, r, y) > 0, first order condition then gives: w = µ(w, r, k)f L (L (w, r, y), K (w, r, y)), r = µ(w, r, y)f K (L (w, r, y), K (w, r, y)), which implies: F L (L (w, r, y), K (w, r, y)) F K (L (w, r, y), K (w, r, y)) = w r. That is, the technical rate of substitution must be equal to relative input price at optimum. Indeed, suppose that the technical rate of substitution is not the same as relative price, say, T RS < w. If the firm gives up δ amount of labor, it will reduce its cost by wδ. In order r to maintain the same production level y, the firm needs to rent T RS δ units more capital, which costs it r T RS δ. As T RS < w r, this cost is less then r w r firm can further reduce its total cost while maintaining y units of production. δ = wδ. As such, the Exercise 1. What does this remind you of? Can you think of any analogy of L and K? Example 1. Suppose the F (L, K) = L α K β becomes: for some α, β (0, 1). The Lagrangian then L = wl + rk µ(y x α y β ).
3 3 First-order condition then gives: [L] : w = µαl α 1 K β (1) [K] : r = µβl α K β 1 (2) [µ] : y = L α K β (3) After multiplying L, K on both sides of (1) and (2), respectively, we have: wl = µαl α K β = µαy, rk = µβl α K β = µβy. and therefore Substituting back into (3), we have: L = µαy w, K = µβy r. ( αµy w ) ( ) α β βµy = y. r Rearranging, µ = [α α β β w α r β y 1 α β ] 1. Thus, using (1) and (2), L (w, r, y) = ( ) β α ( w ) β y 1, K (w, r, y) = β r ( ) α α ( w ) α y 1 β r and c(w, r, y) = κw α r β y 1, where κ := ( ) β α β + ( α β ) α. There are few noticeable features of the solution L, K and the value c under this case. For instance, we can see that the conditional factor demand of labor and capital are decreasing in wage and rental rate, respectively. Also, the cost function is increasing as y increases and has constant return to scale with respect to the factor prices. Furthermore, if α + β = 1 (i.e. the production function is constant return to scale), the cost function is also constant return to scale in y. We will examine more about these features later.
4 4 Exercise 2. Derive the conditional factor demands and cost functions for the following production functions: F (L, K) = al + bk. F (L, K) = min{al, bk}. F (L, K) = [αl σ + (1 α)k σ ] 1 σ. 1.2 Short Run Cost Minimization The discussions above assume that the firm can choose labor and capital flexibly. This is often not the case for a firm in the short run. As introduced in the last lecture, in the short run, firms often are not able to adjust the amount of capital. As such, for a fixed amount of capital K, the firm s cost minimization problem in the short run is given by: min wl + r K s.t. F (L, K) = y. L 0 Since we are focusing on the case with two inputs, the short run cost minimization problem is in fact very straightforward. Indeed, if the marginal productivity of labor is strictly positive so that F L (L, K) > 0, L 0, then there exists a unique L SR (y K) such that F (L SR (w, r, y K), K) = y. As such, there is only one feasible amount of labor in the cost minimization problem and hence the solution is clearly L SR (w, r, y K). Even if F L (L, K) = 0 for some range of L, whenever it is still possible to reach output level y by some L, the set F 1 (y, K) := {L 0 F (L, K) = y} is still nonempty. As such, the solution is simply: L SR (y K) = min F 1 (y, K).
5 5 In either cases, we say that L SR (y K) is the short run conditional labor demand and that c SR (w, r, y K) := wl SR (y K) + r K is the short run cost function. Furthermore, since the firm cannot adjust K, we also say that the term r K is the fixed cost. 2 Properties of Conditional Factor Demand and Cost Function As discussed above, we say that the solution L (w, r, y), K (w, r, y) to the cost minimization problem min wl + rk s.t. F (L, K) = y is the conditional factor demand function and that the optimal value c(w, r, y) is the cost function. By examining the nature of this cost minimization problem, we can actually see some noticeable properties of these functions. First, suppose that the production function F is concave. Then it is always true that the cost function c(w, r, y) is also concave in w and r and convex in y. As a result, we must have c ww 0, c rr 0 and c yy 0. Second, recall that the Lagrangian of the cost minimization problem is L = wl + rl + µ(y F (L, K)). By the envelope theorem, we have the following: c w (w, r, y) = L w (L (w, r, y), K (w, r, y), µ(w, r, y)) = L (w, r, y) c r (w, r, y) = L r (L (w, r, y), K (w, r, y), µ(w, r, y)) = K (w, r, y) c y (w, r, y) = L y (L (w, r, y), K (w, r, y), µ(w, r, y)) = µ(w, r, y) Combining the two observations above, we can now see that L w (w, r, y) = c ww (w, r, y), K r (w, r, y) = c rr (w, r, y), which means that the conditional factor demands must be downward-sloping in their own prices. This observation is called Shephard s Lemma.
6 6 On the other hand, since we defined c(w, r, y) as the cost function, c y can be interpreted as the marginal cost the change of total cost in production when the output produced increases in an infinitesimal amount. The observations above imply that c y (w, r, y) = µ(w, r, y) > 0 and that c yy (w, r, y) = µ y (w, r, y) 0, meaning that the cost function is increasing and convex in y, or equivalently, the marginal cost function is nonnegative and increasing in y. Furthermore, since by definition, for any y 0, w, r > 0, c(w, r, y) = for any λ > 0, we then have: c(λw, λr, y) = min wl + rk s.t. F (L, K) = y, min (λw)l + (λr)k s.t. F (L, K) = y = min λ[wl + rk] s.t. F (L, K) = y Notice that since λ > 0, this problem yields exactly the same solution L (w, r, y), K (w, r, y). Therefore, c(λw, λr, y) = λc(w, r, y). That is, c is of constant return to scale with respect to w and r. Finally, if we further suppose that F is of constant return of scale. Again, from for any y 0, any λ > 0, c(w, r, y) = c(w, r, λy) = min wl + rk s.t. F (L, K) = y, min = min = min λ L λ 0, K λ 0 wl + rk s.t. F (L, K) = λy ( L wl + rk s.t. F λ, K ) = y λ ( L λ + K ) ( L s.t. F λ λ, K ) = y λ = min λ[wl + rk] s.t. F (L, K) = y = λc(w, r, y).
7 7 That is, the cost function c(w, r, y) is also of constant return to scale if F exhibits constant return to scale. In particular, c(w, r, y) = y c(w, r, 1), y. This then implies that c y (w, r, y) = c(w, r, 1) for all y. That is, the marginal cost is always a constant. Furthermore, this constant marginal cost is exactly the minimized value of the problem: min wl + rk s.t. F (L, K) = 1. Exercise 3. Give an economic explanation and interpretation of this observation. 3 Summary Technical rate of substitution equals to relative factor prices at optimum. (Shephard s Lemma) L w (w, r, y) = c ww (w, r, y), K r (w, r, y) = c rr (w, r, y). Conditional factor demands are decreasing in their own prices. Assuming that F is concave, cost function is: Concave in (w, r). Constant return to scale in (w, r). Strictly increasing and convex in y. Linear in y if F has constant return to scale and strictly convex if F is not constant return to scale.
Constrained Optimization
Constrained Optimization Dudley Cooke Trinity College Dublin Dudley Cooke (Trinity College Dublin) Constrained Optimization 1 / 46 EC2040 Topic 5 - Constrained Optimization Reading 1 Chapters 12.1-12.3
More informationAdvanced Operations Research Techniques IE316. Quiz 2 Review. Dr. Ted Ralphs
Advanced Operations Research Techniques IE316 Quiz 2 Review Dr. Ted Ralphs IE316 Quiz 2 Review 1 Reading for The Quiz Material covered in detail in lecture Bertsimas 4.1-4.5, 4.8, 5.1-5.5, 6.1-6.3 Material
More informationAM 221: Advanced Optimization Spring 2016
AM 221: Advanced Optimization Spring 2016 Prof. Yaron Singer Lecture 2 Wednesday, January 27th 1 Overview In our previous lecture we discussed several applications of optimization, introduced basic terminology,
More informationLecture 2 Optimization with equality constraints
Lecture 2 Optimization with equality constraints Constrained optimization The idea of constrained optimisation is that the choice of one variable often affects the amount of another variable that can be
More informationEC5555 Economics Masters Refresher Course in Mathematics September Lecture 6 Optimization with equality constraints Francesco Feri
EC5555 Economics Masters Refresher Course in Mathematics September 2013 Lecture 6 Optimization with equality constraints Francesco Feri Constrained optimization The idea of constrained optimisation is
More informationIn this lecture, we ll look at applications of duality to three problems:
Lecture 7 Duality Applications (Part II) In this lecture, we ll look at applications of duality to three problems: 1. Finding maximum spanning trees (MST). We know that Kruskal s algorithm finds this,
More informationIntroduction to Constrained Optimization
Introduction to Constrained Optimization Duality and KKT Conditions Pratik Shah {pratik.shah [at] lnmiit.ac.in} The LNM Institute of Information Technology www.lnmiit.ac.in February 13, 2013 LNMIIT MLPR
More information1 Linear programming relaxation
Cornell University, Fall 2010 CS 6820: Algorithms Lecture notes: Primal-dual min-cost bipartite matching August 27 30 1 Linear programming relaxation Recall that in the bipartite minimum-cost perfect matching
More information1. Lecture notes on bipartite matching February 4th,
1. Lecture notes on bipartite matching February 4th, 2015 6 1.1.1 Hall s Theorem Hall s theorem gives a necessary and sufficient condition for a bipartite graph to have a matching which saturates (or matches)
More informationLecture 2 - Introduction to Polytopes
Lecture 2 - Introduction to Polytopes Optimization and Approximation - ENS M1 Nicolas Bousquet 1 Reminder of Linear Algebra definitions Let x 1,..., x m be points in R n and λ 1,..., λ m be real numbers.
More informationDivision of the Humanities and Social Sciences. Convex Analysis and Economic Theory Winter Separation theorems
Division of the Humanities and Social Sciences Ec 181 KC Border Convex Analysis and Economic Theory Winter 2018 Topic 8: Separation theorems 8.1 Hyperplanes and half spaces Recall that a hyperplane in
More informationNumerical Optimization
Convex Sets Computer Science and Automation Indian Institute of Science Bangalore 560 012, India. NPTEL Course on Let x 1, x 2 R n, x 1 x 2. Line and line segment Line passing through x 1 and x 2 : {y
More informationMathematical and Algorithmic Foundations Linear Programming and Matchings
Adavnced Algorithms Lectures Mathematical and Algorithmic Foundations Linear Programming and Matchings Paul G. Spirakis Department of Computer Science University of Patras and Liverpool Paul G. Spirakis
More informationPart 4. Decomposition Algorithms Dantzig-Wolf Decomposition Algorithm
In the name of God Part 4. 4.1. Dantzig-Wolf Decomposition Algorithm Spring 2010 Instructor: Dr. Masoud Yaghini Introduction Introduction Real world linear programs having thousands of rows and columns.
More informationFramework for Design of Dynamic Programming Algorithms
CSE 441T/541T Advanced Algorithms September 22, 2010 Framework for Design of Dynamic Programming Algorithms Dynamic programming algorithms for combinatorial optimization generalize the strategy we studied
More informationMath 5593 Linear Programming Lecture Notes
Math 5593 Linear Programming Lecture Notes Unit II: Theory & Foundations (Convex Analysis) University of Colorado Denver, Fall 2013 Topics 1 Convex Sets 1 1.1 Basic Properties (Luenberger-Ye Appendix B.1).........................
More informationCharacterizing Improving Directions Unconstrained Optimization
Final Review IE417 In the Beginning... In the beginning, Weierstrass's theorem said that a continuous function achieves a minimum on a compact set. Using this, we showed that for a convex set S and y not
More informationMATHEMATICS II: COLLECTION OF EXERCISES AND PROBLEMS
MATHEMATICS II: COLLECTION OF EXERCISES AND PROBLEMS GRADO EN A.D.E. GRADO EN ECONOMÍA GRADO EN F.Y.C. ACADEMIC YEAR 2011-12 INDEX UNIT 1.- AN INTRODUCCTION TO OPTIMIZATION 2 UNIT 2.- NONLINEAR PROGRAMMING
More information11 Linear Programming
11 Linear Programming 11.1 Definition and Importance The final topic in this course is Linear Programming. We say that a problem is an instance of linear programming when it can be effectively expressed
More informationGreedy Algorithms 1. For large values of d, brute force search is not feasible because there are 2 d
Greedy Algorithms 1 Simple Knapsack Problem Greedy Algorithms form an important class of algorithmic techniques. We illustrate the idea by applying it to a simplified version of the Knapsack Problem. Informally,
More informationConvex Optimization and Machine Learning
Convex Optimization and Machine Learning Mengliu Zhao Machine Learning Reading Group School of Computing Science Simon Fraser University March 12, 2014 Mengliu Zhao SFU-MLRG March 12, 2014 1 / 25 Introduction
More informationApplied Lagrange Duality for Constrained Optimization
Applied Lagrange Duality for Constrained Optimization Robert M. Freund February 10, 2004 c 2004 Massachusetts Institute of Technology. 1 1 Overview The Practical Importance of Duality Review of Convexity
More information15.082J and 6.855J. Lagrangian Relaxation 2 Algorithms Application to LPs
15.082J and 6.855J Lagrangian Relaxation 2 Algorithms Application to LPs 1 The Constrained Shortest Path Problem (1,10) 2 (1,1) 4 (2,3) (1,7) 1 (10,3) (1,2) (10,1) (5,7) 3 (12,3) 5 (2,2) 6 Find the shortest
More information1. Show that the rectangle of maximum area that has a given perimeter p is a square.
Constrained Optimization - Examples - 1 Unit #23 : Goals: Lagrange Multipliers To study constrained optimization; that is, the maximizing or minimizing of a function subject to a constraint (or side condition).
More informationCollege of Computer & Information Science Fall 2007 Northeastern University 14 September 2007
College of Computer & Information Science Fall 2007 Northeastern University 14 September 2007 CS G399: Algorithmic Power Tools I Scribe: Eric Robinson Lecture Outline: Linear Programming: Vertex Definitions
More informationCONSUMPTION BASICS. MICROECONOMICS Principles and Analysis Frank Cowell. July 2017 Frank Cowell: Consumption Basics 1
CONSUMPTION BASICS MICROECONOMICS Principles and Analysis Frank Cowell July 2017 Frank Cowell: Consumption Basics 1 Overview Consumption: Basics The setting The environment for the basic consumer optimisation
More informationQEM Optimization, WS 2017/18 Part 4. Constrained optimization
QEM Optimization, WS 2017/18 Part 4 Constrained optimization (about 4 Lectures) Supporting Literature: Angel de la Fuente, Mathematical Methods and Models for Economists, Chapter 7 Contents 4 Constrained
More informationEC 521 MATHEMATICAL METHODS FOR ECONOMICS. Lecture 2: Convex Sets
EC 51 MATHEMATICAL METHODS FOR ECONOMICS Lecture : Convex Sets Murat YILMAZ Boğaziçi University In this section, we focus on convex sets, separating hyperplane theorems and Farkas Lemma. And as an application
More information11.1 Facility Location
CS787: Advanced Algorithms Scribe: Amanda Burton, Leah Kluegel Lecturer: Shuchi Chawla Topic: Facility Location ctd., Linear Programming Date: October 8, 2007 Today we conclude the discussion of local
More informationEconS 301 Homework #8 Answer key
EconS 0 Homework #8 Answer key Exercise # Monopoly Consider a monopolist facing inverse demand function pp(qq) 5 qq, where qq denotes units of output. Assume that the total cost of this firm is TTTT(qq)
More information/ Approximation Algorithms Lecturer: Michael Dinitz Topic: Linear Programming Date: 2/24/15 Scribe: Runze Tang
600.469 / 600.669 Approximation Algorithms Lecturer: Michael Dinitz Topic: Linear Programming Date: 2/24/15 Scribe: Runze Tang 9.1 Linear Programming Suppose we are trying to approximate a minimization
More informationMath 233. Lagrange Multipliers Basics
Math 33. Lagrange Multipliers Basics Optimization problems of the form to optimize a function f(x, y, z) over a constraint g(x, y, z) = k can often be conveniently solved using the method of Lagrange multipliers:
More informationAMS : Combinatorial Optimization Homework Problems - Week V
AMS 553.766: Combinatorial Optimization Homework Problems - Week V For the following problems, A R m n will be m n matrices, and b R m. An affine subspace is the set of solutions to a a system of linear
More informationProgramming, numerics and optimization
Programming, numerics and optimization Lecture C-4: Constrained optimization Łukasz Jankowski ljank@ippt.pan.pl Institute of Fundamental Technological Research Room 4.32, Phone +22.8261281 ext. 428 June
More information6. Lecture notes on matroid intersection
Massachusetts Institute of Technology 18.453: Combinatorial Optimization Michel X. Goemans May 2, 2017 6. Lecture notes on matroid intersection One nice feature about matroids is that a simple greedy algorithm
More informationand 6.855J Lagrangian Relaxation I never missed the opportunity to remove obstacles in the way of unity. Mohandas Gandhi
15.082 and 6.855J Lagrangian Relaxation I never missed the opportunity to remove obstacles in the way of unity. Mohandas Gandhi On bounding in optimization In solving network flow problems, we not only
More informationGreedy Algorithms 1 {K(S) K(S) C} For large values of d, brute force search is not feasible because there are 2 d {1,..., d}.
Greedy Algorithms 1 Simple Knapsack Problem Greedy Algorithms form an important class of algorithmic techniques. We illustrate the idea by applying it to a simplified version of the Knapsack Problem. Informally,
More informationApproximation Algorithms
Approximation Algorithms Prof. Tapio Elomaa tapio.elomaa@tut.fi Course Basics A 4 credit unit course Part of Theoretical Computer Science courses at the Laboratory of Mathematics There will be 4 hours
More informationLocally convex topological vector spaces
Chapter 4 Locally convex topological vector spaces 4.1 Definition by neighbourhoods Let us start this section by briefly recalling some basic properties of convex subsets of a vector space over K (where
More informationLecture 2 September 3
EE 381V: Large Scale Optimization Fall 2012 Lecture 2 September 3 Lecturer: Caramanis & Sanghavi Scribe: Hongbo Si, Qiaoyang Ye 2.1 Overview of the last Lecture The focus of the last lecture was to give
More informationChapter 15 Introduction to Linear Programming
Chapter 15 Introduction to Linear Programming An Introduction to Optimization Spring, 2015 Wei-Ta Chu 1 Brief History of Linear Programming The goal of linear programming is to determine the values of
More informationPOLYHEDRAL GEOMETRY. Convex functions and sets. Mathematical Programming Niels Lauritzen Recall that a subset C R n is convex if
POLYHEDRAL GEOMETRY Mathematical Programming Niels Lauritzen 7.9.2007 Convex functions and sets Recall that a subset C R n is convex if {λx + (1 λ)y 0 λ 1} C for every x, y C and 0 λ 1. A function f :
More informationConvexity. 1 X i is convex. = b is a hyperplane in R n, and is denoted H(p, b) i.e.,
Convexity We ll assume throughout, without always saying so, that we re in the finite-dimensional Euclidean vector space R n, although sometimes, for statements that hold in any vector space, we ll say
More informationCOLUMN GENERATION IN LINEAR PROGRAMMING
COLUMN GENERATION IN LINEAR PROGRAMMING EXAMPLE: THE CUTTING STOCK PROBLEM A certain material (e.g. lumber) is stocked in lengths of 9, 4, and 6 feet, with respective costs of $5, $9, and $. An order for
More informationMTAEA Convexity and Quasiconvexity
School of Economics, Australian National University February 19, 2010 Convex Combinations and Convex Sets. Definition. Given any finite collection of points x 1,..., x m R n, a point z R n is said to be
More informationUnconstrained Optimization Principles of Unconstrained Optimization Search Methods
1 Nonlinear Programming Types of Nonlinear Programs (NLP) Convexity and Convex Programs NLP Solutions Unconstrained Optimization Principles of Unconstrained Optimization Search Methods Constrained Optimization
More informationORIE 6300 Mathematical Programming I September 2, Lecture 3
ORIE 6300 Mathematical Programming I September 2, 2014 Lecturer: David P. Williamson Lecture 3 Scribe: Divya Singhvi Last time we discussed how to take dual of an LP in two different ways. Today we will
More informationOptimization Methods: Optimization using Calculus Kuhn-Tucker Conditions 1. Module - 2 Lecture Notes 5. Kuhn-Tucker Conditions
Optimization Methods: Optimization using Calculus Kuhn-Tucker Conditions Module - Lecture Notes 5 Kuhn-Tucker Conditions Introduction In the previous lecture the optimization of functions of multiple variables
More informationConvexity Theory and Gradient Methods
Convexity Theory and Gradient Methods Angelia Nedić angelia@illinois.edu ISE Department and Coordinated Science Laboratory University of Illinois at Urbana-Champaign Outline Convex Functions Optimality
More informationIn this chapter we introduce some of the basic concepts that will be useful for the study of integer programming problems.
2 Basics In this chapter we introduce some of the basic concepts that will be useful for the study of integer programming problems. 2.1 Notation Let A R m n be a matrix with row index set M = {1,...,m}
More informationLecture 25 Nonlinear Programming. November 9, 2009
Nonlinear Programming November 9, 2009 Outline Nonlinear Programming Another example of NLP problem What makes these problems complex Scalar Function Unconstrained Problem Local and global optima: definition,
More informationminimise f(x) subject to g(x) = b, x X. inf f(x) = inf L(x,
Optimisation Lecture 3 - Easter 2017 Michael Tehranchi Lagrangian necessity Consider the problem Let minimise f(x) subject to g(x) = b, x X. L(x, λ) = f(x) + λ (b g(x)) be the Lagrangian. Notice that for
More information12.1 Formulation of General Perfect Matching
CSC5160: Combinatorial Optimization and Approximation Algorithms Topic: Perfect Matching Polytope Date: 22/02/2008 Lecturer: Lap Chi Lau Scribe: Yuk Hei Chan, Ling Ding and Xiaobing Wu In this lecture,
More informationThe Fundamentals of Economic Dynamics and Policy Analyses: Learning through Numerical Examples. Part II. Dynamic General Equilibrium
The Fundamentals of Economic Dynamics and Policy Analyses: Learning through Numerical Examples. Part II. Dynamic General Equilibrium Hiroshi Futamura The objective of this paper is to provide an introductory
More informationChapter 16. Greedy Algorithms
Chapter 16. Greedy Algorithms Algorithms for optimization problems (minimization or maximization problems) typically go through a sequence of steps, with a set of choices at each step. A greedy algorithm
More informationLinear Programming. Larry Blume. Cornell University & The Santa Fe Institute & IHS
Linear Programming Larry Blume Cornell University & The Santa Fe Institute & IHS Linear Programs The general linear program is a constrained optimization problem where objectives and constraints are all
More informationConvexity and Optimization
Convexity and Optimization Richard Lusby Department of Management Engineering Technical University of Denmark Today s Material Extrema Convex Function Convex Sets Other Convexity Concepts Unconstrained
More informationLinear Programming: Introduction
CSC 373 - Algorithm Design, Analysis, and Complexity Summer 2016 Lalla Mouatadid Linear Programming: Introduction A bit of a historical background about linear programming, that I stole from Jeff Erickson
More informationLecture 10: SVM Lecture Overview Support Vector Machines The binary classification problem
Computational Learning Theory Fall Semester, 2012/13 Lecture 10: SVM Lecturer: Yishay Mansour Scribe: Gitit Kehat, Yogev Vaknin and Ezra Levin 1 10.1 Lecture Overview In this lecture we present in detail
More informationLecture 19 Subgradient Methods. November 5, 2008
Subgradient Methods November 5, 2008 Outline Lecture 19 Subgradients and Level Sets Subgradient Method Convergence and Convergence Rate Convex Optimization 1 Subgradients and Level Sets A vector s is a
More informationDM545 Linear and Integer Programming. Lecture 2. The Simplex Method. Marco Chiarandini
DM545 Linear and Integer Programming Lecture 2 The Marco Chiarandini Department of Mathematics & Computer Science University of Southern Denmark Outline 1. 2. 3. 4. Standard Form Basic Feasible Solutions
More informationMathematical Programming and Research Methods (Part II)
Mathematical Programming and Research Methods (Part II) 4. Convexity and Optimization Massimiliano Pontil (based on previous lecture by Andreas Argyriou) 1 Today s Plan Convex sets and functions Types
More informationONLY AVAILABLE IN ELECTRONIC FORM
MANAGEMENT SCIENCE doi 10.1287/mnsc.1070.0812ec pp. ec1 ec7 e-companion ONLY AVAILABLE IN ELECTRONIC FORM informs 2008 INFORMS Electronic Companion Customized Bundle Pricing for Information Goods: A Nonlinear
More informationLecture 19: Convex Non-Smooth Optimization. April 2, 2007
: Convex Non-Smooth Optimization April 2, 2007 Outline Lecture 19 Convex non-smooth problems Examples Subgradients and subdifferentials Subgradient properties Operations with subgradients and subdifferentials
More information(1) Given the following system of linear equations, which depends on a parameter a R, 3x y + 5z = 2 4x + y + (a 2 14)z = a + 2
(1 Given the following system of linear equations, which depends on a parameter a R, x + 2y 3z = 4 3x y + 5z = 2 4x + y + (a 2 14z = a + 2 (a Classify the system of equations depending on the values of
More informationMath 233. Lagrange Multipliers Basics
Math 233. Lagrange Multipliers Basics Optimization problems of the form to optimize a function f(x, y, z) over a constraint g(x, y, z) = k can often be conveniently solved using the method of Lagrange
More informationLecture 9: Linear Programming
Lecture 9: Linear Programming A common optimization problem involves finding the maximum of a linear function of N variables N Z = a i x i i= 1 (the objective function ) where the x i are all non-negative
More informationISM206 Lecture, April 26, 2005 Optimization of Nonlinear Objectives, with Non-Linear Constraints
ISM206 Lecture, April 26, 2005 Optimization of Nonlinear Objectives, with Non-Linear Constraints Instructor: Kevin Ross Scribe: Pritam Roy May 0, 2005 Outline of topics for the lecture We will discuss
More informationFMA901F: Machine Learning Lecture 3: Linear Models for Regression. Cristian Sminchisescu
FMA901F: Machine Learning Lecture 3: Linear Models for Regression Cristian Sminchisescu Machine Learning: Frequentist vs. Bayesian In the frequentist setting, we seek a fixed parameter (vector), with value(s)
More informationPRIMAL-DUAL INTERIOR POINT METHOD FOR LINEAR PROGRAMMING. 1. Introduction
PRIMAL-DUAL INTERIOR POINT METHOD FOR LINEAR PROGRAMMING KELLER VANDEBOGERT AND CHARLES LANNING 1. Introduction Interior point methods are, put simply, a technique of optimization where, given a problem
More information5 Day 5: Maxima and minima for n variables.
UNIVERSITAT POMPEU FABRA INTERNATIONAL BUSINESS ECONOMICS MATHEMATICS III. Pelegrí Viader. 2012-201 Updated May 14, 201 5 Day 5: Maxima and minima for n variables. The same kind of first-order and second-order
More informationTangents of Parametric Curves
Jim Lambers MAT 169 Fall Semester 2009-10 Lecture 32 Notes These notes correspond to Section 92 in the text Tangents of Parametric Curves When a curve is described by an equation of the form y = f(x),
More informationConvex Optimization MLSS 2015
Convex Optimization MLSS 2015 Constantine Caramanis The University of Texas at Austin The Optimization Problem minimize : f (x) subject to : x X. The Optimization Problem minimize : f (x) subject to :
More informationSection Notes 5. Review of Linear Programming. Applied Math / Engineering Sciences 121. Week of October 15, 2017
Section Notes 5 Review of Linear Programming Applied Math / Engineering Sciences 121 Week of October 15, 2017 The following list of topics is an overview of the material that was covered in the lectures
More informationAspects of Convex, Nonconvex, and Geometric Optimization (Lecture 1) Suvrit Sra Massachusetts Institute of Technology
Aspects of Convex, Nonconvex, and Geometric Optimization (Lecture 1) Suvrit Sra Massachusetts Institute of Technology Hausdorff Institute for Mathematics (HIM) Trimester: Mathematics of Signal Processing
More information7. The Gauss-Bonnet theorem
7. The Gauss-Bonnet theorem 7.1 Hyperbolic polygons In Euclidean geometry, an n-sided polygon is a subset of the Euclidean plane bounded by n straight lines. Thus the edges of a Euclidean polygon are formed
More informationORIE 6300 Mathematical Programming I November 13, Lecture 23. max b T y. x 0 s 0. s.t. A T y + s = c
ORIE 63 Mathematical Programming I November 13, 214 Lecturer: David P. Williamson Lecture 23 Scribe: Mukadder Sevi Baltaoglu 1 Interior Point Methods Consider the standard primal and dual linear programs:
More informationTopological properties of convex sets
Division of the Humanities and Social Sciences Ec 181 KC Border Convex Analysis and Economic Theory Winter 2018 Topic 5: Topological properties of convex sets 5.1 Interior and closure of convex sets Let
More informationRecap, and outline of Lecture 18
Recap, and outline of Lecture 18 Previously Applications of duality: Farkas lemma (example of theorems of alternative) A geometric view of duality Degeneracy and multiple solutions: a duality connection
More informationSparse Optimization Lecture: Proximal Operator/Algorithm and Lagrange Dual
Sparse Optimization Lecture: Proximal Operator/Algorithm and Lagrange Dual Instructor: Wotao Yin July 2013 online discussions on piazza.com Those who complete this lecture will know learn the proximal
More informationTheorem 2.9: nearest addition algorithm
There are severe limits on our ability to compute near-optimal tours It is NP-complete to decide whether a given undirected =(,)has a Hamiltonian cycle An approximation algorithm for the TSP can be used
More information/633 Introduction to Algorithms Lecturer: Michael Dinitz Topic: Approximation algorithms Date: 11/27/18
601.433/633 Introduction to Algorithms Lecturer: Michael Dinitz Topic: Approximation algorithms Date: 11/27/18 22.1 Introduction We spent the last two lectures proving that for certain problems, we can
More informationDecomposition of log-linear models
Graphical Models, Lecture 5, Michaelmas Term 2009 October 27, 2009 Generating class Dependence graph of log-linear model Conformal graphical models Factor graphs A density f factorizes w.r.t. A if there
More informationLecture 5: Duality Theory
Lecture 5: Duality Theory Rajat Mittal IIT Kanpur The objective of this lecture note will be to learn duality theory of linear programming. We are planning to answer following questions. What are hyperplane
More informationOutline. CS38 Introduction to Algorithms. Linear programming 5/21/2014. Linear programming. Lecture 15 May 20, 2014
5/2/24 Outline CS38 Introduction to Algorithms Lecture 5 May 2, 24 Linear programming simplex algorithm LP duality ellipsoid algorithm * slides from Kevin Wayne May 2, 24 CS38 Lecture 5 May 2, 24 CS38
More informationCalifornia Institute of Technology Crash-Course on Convex Optimization Fall Ec 133 Guilherme Freitas
California Institute of Technology HSS Division Crash-Course on Convex Optimization Fall 2011-12 Ec 133 Guilherme Freitas In this text, we will study the following basic problem: maximize x C f(x) subject
More informationChapter III.C Analysis of The Second Derivative Draft Version 4/19/14 Martin Flashman 2005
Chapter III.C Analysis of The Second Derivative Draft Version 4/19/14 Martin Flashman 2005 In this section we will develop applications of the second derivative that explain more graphical features of
More informationEC422 Mathematical Economics 2
EC422 Mathematical Economics 2 Chaiyuth Punyasavatsut Chaiyuth Punyasavatust 1 Course materials and evaluation Texts: Dixit, A.K ; Sydsaeter et al. Grading: 40,30,30. OK or not. Resources: ftp://econ.tu.ac.th/class/archan/c
More information4 Integer Linear Programming (ILP)
TDA6/DIT37 DISCRETE OPTIMIZATION 17 PERIOD 3 WEEK III 4 Integer Linear Programg (ILP) 14 An integer linear program, ILP for short, has the same form as a linear program (LP). The only difference is that
More informationThe Typed λ Calculus and Type Inferencing in ML
Notes on Types S. Arun-Kumar Department of Computer Science and Engineering Indian Institute of Technology New Delhi, 110016 email: sak@cse.iitd.ernet.in April 14, 2002 2 Chapter 1 The Typed λ Calculus
More informationLecture Notes 2: The Simplex Algorithm
Algorithmic Methods 25/10/2010 Lecture Notes 2: The Simplex Algorithm Professor: Yossi Azar Scribe:Kiril Solovey 1 Introduction In this lecture we will present the Simplex algorithm, finish some unresolved
More informationIncreasing/Decreasing Behavior
Derivatives and the Shapes of Graphs In this section, we will specifically discuss the information that f (x) and f (x) give us about the graph of f(x); it turns out understanding the first and second
More informationChapter II. Linear Programming
1 Chapter II Linear Programming 1. Introduction 2. Simplex Method 3. Duality Theory 4. Optimality Conditions 5. Applications (QP & SLP) 6. Sensitivity Analysis 7. Interior Point Methods 1 INTRODUCTION
More informationThe Simplex Algorithm
The Simplex Algorithm Uri Feige November 2011 1 The simplex algorithm The simplex algorithm was designed by Danzig in 1947. This write-up presents the main ideas involved. It is a slight update (mostly
More informationA PARAMETRIC SIMPLEX METHOD FOR OPTIMIZING A LINEAR FUNCTION OVER THE EFFICIENT SET OF A BICRITERIA LINEAR PROBLEM. 1.
ACTA MATHEMATICA VIETNAMICA Volume 21, Number 1, 1996, pp. 59 67 59 A PARAMETRIC SIMPLEX METHOD FOR OPTIMIZING A LINEAR FUNCTION OVER THE EFFICIENT SET OF A BICRITERIA LINEAR PROBLEM NGUYEN DINH DAN AND
More informationMultiple Vertex Coverings by Cliques
Multiple Vertex Coverings by Cliques Wayne Goddard Department of Computer Science University of Natal Durban, 4041 South Africa Michael A. Henning Department of Mathematics University of Natal Private
More informationIn other words, we want to find the domain points that yield the maximum or minimum values (extrema) of the function.
1 The Lagrange multipliers is a mathematical method for performing constrained optimization of differentiable functions. Recall unconstrained optimization of differentiable functions, in which we want
More information1 Linear Programming. 1.1 Optimizion problems and convex polytopes 1 LINEAR PROGRAMMING
1 LINEAR PROGRAMMING 1 Linear Programming Now, we will talk a little bit about Linear Programming. We say that a problem is an instance of linear programming when it can be effectively expressed in the
More informationConcepts of programming languages
Concepts of programming languages Lecture 5 Wouter Swierstra 1 Announcements Submit your project proposal to me by email on Friday; The presentation schedule in now online Exercise session after the lecture.
More informationA Comparison of Mixed-Integer Programming Models for Non-Convex Piecewise Linear Cost Minimization Problems
A Comparison of Mixed-Integer Programming Models for Non-Convex Piecewise Linear Cost Minimization Problems Keely L. Croxton Fisher College of Business The Ohio State University Bernard Gendron Département
More information