Unconstrained
Optimization: Gradient
Search Method
This presentation introduces the gradient search method, a
fundamental technique in unconstrained optimization. We will
explore how it helps in finding the minima or maxima of
functions without constraints. This method is widely applicable
in various fields, making it an essential tool for students,
engineers, and analysts alike.
We'll cover the basic principles, step-by-step algorithms, and
practical considerations, ensuring a comprehensive
understanding. By the end of this presentation, you'll be
equipped with the knowledge to apply gradient search to solve
real-world optimization problems.
What is Unconstrained Optimization?
Definition Examples
Unconstrained optimization involves finding the This method is used to:
best input values for a function without any
• Minimize cost functions in manufacturing.
restrictions on the input variables. This means that
the variable `x` can take any real number. • Maximize profit in business models.
• Train machine learning algorithms by minimizing loss.
• Finding the best input values
• No restrictions on input variables
• Variable can be any real number
The Idea Behind Gradient
Search
Goal Gradient Intuition
Iteratively move Vector of partial Follow the negative
towards the derivatives pointing gradient to find the
function's minimum towards the minimum or the
or maximum. steepest ascent. positive gradient to
find the maximum.
The fundamental principle of gradient search involves iteratively
adjusting input values to approach the minimum or maximum of a
function. The gradient, a vector of partial derivatives, indicates the
direction of the steepest ascent. By following the negative gradient,
we descend towards the minimum, analogous to a ball rolling
downhill. This iterative process continues until the optimal point is
reached.
Gradient Search Algorithm: Step-by-Step
Initialization
Start with an initial guess `x₀`.
Compute Gradient
Calculate the gradient `∇f(xₖ)` at the current point `xₖ`.
Update
Update the current point using a step size (learning rate) `α`.
Check Convergence
Stop when the change in `xₖ` is small, or the gradient is close to zero.
Repeat
Steps 2-4 until convergence.
The gradient search algorithm involves several key steps. First, an initial guess `x₀` is made. Then, the gradient `∇f(xₖ)` is computed at the current point
`xₖ`. The current point is updated using a step size `α`. Finally, the algorithm checks for convergence, stopping when the change in `xₖ` is small, or the
gradient approaches zero. These steps are repeated until convergence is achieved.
Choosing the Right Step Size
(Learning Rate)
Too Large Too Small
May overshoot the Slow convergence, requiring
minimum/maximum, leading to many iterations.
oscillations or divergence.
Techniques
Fixed step size, line search methods, adaptive methods.
Selecting an appropriate step size, or learning rate, is crucial for the efficiency
and convergence of the gradient search method. A step size that is too large
may cause the algorithm to overshoot the minimum or maximum, leading to
oscillations or divergence. Conversely, a step size that is too small results in
slow convergence, requiring numerous iterations to reach the optimal point.
Techniques such as fixed step size, line search methods, and adaptive
methods can be employed to optimize step size selection.
Example: Minimizing a Simple Quadratic Function
Function
1 `f(x) = x² - 4x + 5`
Gradient
2 `f'(x) = 2x - 4`
Algorithm
3 Start with `x₀ = 0`, set learning rate `α = 0.1`.
Consider the example of minimizing the quadratic function `f(x) = x² - 4x + 5`. The gradient is `f'(x) = 2x - 4`. Starting with
an initial guess of `x₀ = 0` and a learning rate of `α = 0.1`, we iterate using the formula `xₖ₊₁ = xₖ - α(2xₖ - 4)`. After a few
iterations, the algorithm converges to `x = 2`, which corresponds to the minimum value of `f(2) = 1`. This example
illustrates the step-by-step application of the gradient search method to find the minimum of a simple function.
Advantages and Limitations
Advantages Limitations
• Simple to implement • Can get stuck in local minima/maxima
• Works for wide range of functions • Sensitive to initial guess and step size
• Slow convergence for ill-conditioned functions
• Requires calculating the gradient
Gradient search offers several advantages, including its simplicity of implementation and applicability to a
wide range of functions. However, it also has limitations. The algorithm can get trapped in local minima or
maxima and is sensitive to the initial guess and step size. Convergence can be slow for ill-conditioned
functions, and calculating the gradient can be computationally expensive. Alternative optimization methods,
such as Newton's Method, Simulated Annealing, and Genetic Algorithms, may be considered for more
complex problems.
Conclusion
Summary Considerations
Gradient Search is a fundamental optimization technique. Understanding step size selection is key.
Challenges Next Steps
Be aware of limitations (local minima, convergence). Consider more advanced methods for complex problems.
In conclusion, gradient search is a fundamental optimization technique with widespread applications. Key to its successful
implementation is a thorough understanding of step size selection. While it offers simplicity and versatility, it's crucial to be aware of
its limitations, such as the potential for getting trapped in local minima and slow convergence. For more complex problems, exploring
advanced optimization methods is advisable. For further learning, consult optimization textbooks and online courses from platforms
like Coursera and MIT OpenCourseware.
