Homework 1

ECE6553 Optimal
EE 872 Optimal Control
Control

Magnus Egerstedt
Dr. Usman Ali
Due: February 1, 2011 (and Feb. 8 for DL students)
Due Date: March 06, 2018

1.
In class it was claimed that given a function h : Rm ! R, its derivative

@h T
@u
points in the direction in which h grows the most. Show that this is indeed the case.
Hint: The fact that xT y = kxkkyk cos(✓), where ✓ is the angle between the vectors x and y, might come
in handy.

2
Solve the following minimization problem:
1
minm uT Qu bT u
u2R 2

subject to the constraint that

Au = c,
where Q = QT 0. Moreover, A is a p ⇥ m matrix (p  m), with rank(A) = p.

3
a
Let F (M ) be the matrix function
F (M ) = M T M M T ,
where M is an n ⇥ m matrix. What is the directional derivative of F ?

b
If f is a continuously di↵erentiable function, f : Rm ! R. Show or disprove that the directional derivative
is given by
@f (x)
f (x; y) = y.
@x

1
4
Consider the “volume maximization problem”: Construct a box (closed on all sides) of maximal volume,
with sides x, y, z, given an upper bound c on the area of the boundary of the box.

5
Given an unconstrained optimization problem

min L(u).
u

The “normal” FONC for optimality is

@L
= 0.
@u
But what if we only have directional derivatives instead of “normal”derivatives. What is the FONC in
this case? Motivate your answer!

6
Let L 2 C 1 be convex, i.e.,

L(↵u1 + (1 ↵)u2 )  ↵L(u1 ) + (1 ↵)L(u2 ), 8u1 , u2 2 Rm , ↵ 2 [0, 1].

Assume that
@L ?
(u ) = 0.
@u
Show that u? is a global minimum to L.