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## Unconstrained Optimization

Consider the unconstrained minimization problem

 (1)

where . We refer to as the design variable and to as the cost functional. A change in the design variables by introduces a change in the functional which can be written as
 (2)

Here and stands for the Hessian, i.e., the matrix of second derivatives of E. We assume the Hessian is positive definite, i.e., for all to guarantee a unique minimum. For small we can neglect second order terms and higher in and see that a choice of result in a reduction of the functional, that is,
 (3)

This is the basis for the steepest descent method and other gradient based methods. The gradient of the functional to be minimized can be easily computed for this case, say, by finite differences. At a minimum the following equations hold,
 (4)

These equations are called the (first order) necessary conditions for the problem.

Next: Constrained Optimization Up: Review of The Basics: Previous: Review of The Basics:
Shlomo Ta'asan 2001-08-22