优化 / 数学规划
从一个科学解的集合中,寻找出最优元素
优化问题的通用形式
minimize
f
0
(
x
)
f_0(x)
f0(x)
subject to
f
i
(
x
)
≤
b
i
,
i
=
1
,
.
.
.
,
M
f_i(x) \leq b_i ,i = 1,...,M
fi(x)≤bi,i=1,...,M
优化变量(optimization variable):
x
=
[
x
1
,
.
.
.
,
x
n
]
T
x = [x_1,...,x_n]^T
x=[x1,...,xn]T
目标函数(objective function):
f
0
:
R
n
→
R
f_0: R^n \rightarrow R
f0:Rn→R
可行解集(feasible set): {
f
i
(
z
)
≤
b
i
,
i
=
1
,
.
.
.
,
M
f_i(z) \leq b_i,i=1,...,M
fi(z)≤bi,i=1,...,M }
最优解:
x
∗
⇔
∀
z
,
z
∈
{
f
i
(
z
)
≤
b
i
,
i
=
1
,
.
.
.
,
M
}
,
f
0
(
z
)
⩾
f
0
(
x
∗
)
x^* \Leftrightarrow \forall z, z \in \left \{ f_i(z) \leq b_i,i=1,...,M \right \} , f_0(z) \geqslant f_0(x^*)
x∗⇔∀z,z∈{fi(z)≤bi,i=1,...,M},f0(z)⩾f0(x∗)
优化问题分类
-
分类方法1:线性规划 / 非线性规划
f i ( α x + β y ) = α f i ( x ) + β f i ( y ) , i = 0 , 1 , . . . , M f_i(\alpha x + \beta y) = \alpha f_i(x) + \beta f_i(y) , i = 0,1,...,M fi(αx+βy)=αfi(x)+βfi(y),i=0,1,...,M -
凸优化/非凸优化
f i ( α x + β y ) ≤ α f i ( x ) + β f i ( y ) , i = 0 , 1 , . . . , M f_i(\alpha x + \beta y) \leq \alpha f_i(x) + \beta f_i(y) , i = 0,1,...,M fi(αx+βy)≤αfi(x)+βfi(y),i=0,1,...,M -
光滑 / 非光滑(目标函数)
-
连续 / 离散(可行域)
-
单目标 / 多目标