Mathematical optimization
Mathematical optimization or mathematical programming is the selection of a best element, with regard to some criteria, from some set of available alternatives. It is generally divided into two subfields: discrete optimization and continuous optimization. Optimization problems arise in all quantitative disciplines from computer science and engineering to operations research and economics, and the development of solution methods has been of interest in mathematics for centuries.
In the more general approach, an optimization problem consists of maximizing or minimizing a real function by systematically choosing input values from within an allowed set and computing the value of the function. The generalization of optimization theory and techniques to other formulations constitutes a large area of applied mathematics.
Optimization problems
Optimization problems can be divided into two categories, depending on whether the variables are continuous or discrete:- An optimization problem with discrete variables is known as a discrete optimization, in which an object such as an integer, permutation or graph must be found from a countable set.
- A problem with continuous variables is known as a continuous optimization, in which optimal arguments from a continuous set must be found. They can include constrained problems and multimodal problems.
Such a formulation is called an optimization problem or a mathematical programming problem. Many real-world and theoretical problems may be modeled in this general framework.
Since the following is valid:
it suffices to solve only minimization problems. However, the opposite perspective of considering only maximization problems would be valid, too.
Problems formulated using this technique in the fields of physics may refer to the technique as energy minimization, speaking of the value of the function as representing the energy of the system being modeled. In machine learning, it is always necessary to continuously evaluate the quality of a data model by using a cost function where a minimum implies a set of possibly optimal parameters with an optimal error.
Typically, is some subset of the Euclidean space, often specified by a set of constraints, equalities or inequalities that the members of have to satisfy. The domain of is called the search space or the choice set, while the elements of are called candidate solutions or feasible solutions.
The function is variously called an objective function, criterion function, loss function, cost function, utility function or fitness function, or, in certain fields, an energy function or energy functional. A feasible solution that minimizes the objective function is called an optimal solution.
In mathematics, conventional optimization problems are usually stated in terms of minimization.
A local minimum is defined as an element for which there exists some such that
the expression holds;
that is to say, on some region around all of the function values are greater than or equal to the value at that element.
Local maxima are defined similarly.
While a local minimum is at least as good as any nearby elements, a global minimum is at least as good as every feasible element.
Generally, unless the objective function is convex in a minimization problem, there may be several local minima.
In a convex problem, if there is a local minimum that is interior, it is also the global minimum, but a nonconvex problem may have more than one local minimum not all of which need be global minima.
A large number of algorithms proposed for solving the nonconvex problems – including the majority of commercially available solvers – are not capable of making a distinction between locally optimal solutions and globally optimal solutions, and will treat the former as actual solutions to the original problem. Global optimization is the branch of applied mathematics and numerical analysis that is concerned with the development of deterministic algorithms that are capable of guaranteeing convergence in finite time to the actual optimal solution of a nonconvex problem.
Notation
Optimization problems are often expressed with special notation. Here are some examples:Minimum and maximum value of a function
Consider the following notation:This denotes the minimum value of the objective function, when choosing from the set of real numbers. The minimum value in this case is 1, occurring at.
Similarly, the notation
asks for the maximum value of the objective function, where may be any real number. In this case, there is no such maximum as the objective function is unbounded, so the answer is "infinity" or "undefined".
Optimal input arguments
Consider the following notation:or equivalently
This represents the value of the argument in the interval that minimizes the objective function . In this case, the answer is, since is infeasible, that is, it does not belong to the feasible set.
Similarly,
or equivalently
represents the pair that maximizes the value of the objective function, with the added constraint that lie in the interval . In this case, the solutions are the pairs of the form and, where ranges over all integers.
Operators and are sometimes also written as and, and stand for argument of the minimum and argument of the maximum.
History
and Lagrange found calculus-based formulae for identifying optima, while Newton and Gauss proposed iterative methods for moving towards an optimum.The term "linear programming" for certain optimization cases was due to George B. Dantzig, although much of the theory had been introduced by Leonid Kantorovich in 1939. Dantzig published the Simplex algorithm in 1947, and also John von Neumann and other researchers worked on the theoretical aspects of linear programming around the same time.
Other notable researchers in mathematical optimization include the following:
- Richard Bellman
- Dimitri Bertsekas
- Michel Bierlaire
- Stephen P. Boyd
- Roger Fletcher
- Martin Grötschel
- Ronald A. Howard
- Fritz John
- Narendra Karmarkar
- William Karush
- Leonid Khachiyan
- Bernard Koopman
- Harold Kuhn
- László Lovász
- David Luenberger
- Arkadi Nemirovski
- Yurii Nesterov
- Lev Pontryagin
- R. Tyrrell Rockafellar
- Naum Z. Shor
- Albert Tucker
Major subfields
- Convex programming studies the case when the objective function is convex or concave and the constraint set is convex. This can be viewed as a particular case of nonlinear programming or as generalization of linear or convex quadratic programming.
- * Linear programming, a type of convex programming, studies the case in which the objective function f is linear and the constraints are specified using only linear equalities and inequalities. Such a constraint set is called a polyhedron or a polytope if it is bounded.
- * Second-order cone programming is a convex program, and includes certain types of quadratic programs.
- * Semidefinite programming is a subfield of convex optimization where the underlying variables are semidefinite matrices. It is a generalization of linear and convex quadratic programming.
- * Conic programming is a general form of convex programming. LP, SOCP and SDP can all be viewed as conic programs with the appropriate type of cone.
- * Geometric programming is a technique whereby objective and inequality constraints expressed as posynomials and equality constraints as monomials can be transformed into a convex program.
- Integer programming studies linear programs in which some or all variables are constrained to take on integer values. This is not convex, and in general much more difficult than regular linear programming.
- Quadratic programming allows the objective function to have quadratic terms, while the feasible set must be specified with linear equalities and inequalities. For specific forms of the quadratic term, this is a type of convex programming.
- Fractional programming studies optimization of ratios of two nonlinear functions. The special class of concave fractional programs can be transformed to a convex optimization problem.
- Nonlinear programming studies the general case in which the objective function or the constraints or both contain nonlinear parts. This may or may not be a convex program. In general, whether the program is convex affects the difficulty of solving it.
- Stochastic programming studies the case in which some of the constraints or parameters depend on random variables.
- Robust optimization is, like stochastic programming, an attempt to capture uncertainty in the data underlying the optimization problem. Robust optimization aims to find solutions that are valid under all possible realizations of the uncertainties defined by an uncertainty set.
- Combinatorial optimization is concerned with problems where the set of feasible solutions is discrete or can be reduced to a discrete one.
- Stochastic optimization is used with random function measurements or random inputs in the search process.
- Infinite-dimensional optimization studies the case when the set of feasible solutions is a subset of an infinite-dimensional space, such as a space of functions.
- Heuristics and metaheuristics make few or no assumptions about the problem being optimized. Usually, heuristics do not guarantee that any optimal solution need be found. On the other hand, heuristics are used to find approximate solutions for many complicated optimization problems.
- Constraint satisfaction studies the case in which the objective function f is constant.
- * Constraint programming is a programming paradigm wherein relations between variables are stated in the form of constraints.
- Disjunctive programming is used where at least one constraint must be satisfied but not all. It is of particular use in scheduling.
- Space mapping is a concept for modeling and optimization of an engineering system to high-fidelity model accuracy exploiting a suitable physically meaningful coarse or surrogate model.
- Calculus of variations is concerned with finding the best way to achieve some goal, such as finding a surface whose boundary is a specific curve, but with the least possible area.
- Optimal control theory is a generalization of the calculus of variations which introduces control policies.
- Dynamic programming is the approach to solve the stochastic optimization problem with stochastic, randomness, and unknown model parameters. It studies the case in which the optimization strategy is based on splitting the problem into smaller subproblems. The equation that describes the relationship between these subproblems is called the Bellman equation.
- Mathematical programming with equilibrium constraints is where the constraints include variational inequalities or complementarities.