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and consider f (x). Relative extrema for f (x) are defined in a manner analogous to that for a function
of one variable.
Definition: The function f (x) has a relative maximum at a if f (x) < f (a) for all x close to a;
that is, if f (x) f (a) < 0 for all x close to a. The function f (x) has a relative minimum at (a) if
f (x) > f (a) for all x close to a; that is, if f (x)
f (a) > 0 for all x close to a. If f (x) has either
a relative maximium or a relative minimum at a, then f (x) has a relative extremum at a.
To find these points (if they exist), examine the tangent plane to the surface z
The gradient of f at a is the vector
x) at x = a.
f(
f(
where f1 and f2 are the partial derivatives of f taken with respect to x 1 and x2. The equation for
the tangent plane at x = a may be written in a convenient form:
z
f(
a) + rf (a) (x
1
a)
Analogously with the y = f (x) case, critical points are found where the tangent plane is horizontal.
As can be seen from the equation of the plane, this will happen exactly when rf (a) = 0. In this
case a is called a critical point of f (x). The behavior of a function at a critical point a is now
important; linear algebra will assume a prominent role in developing a strategy to determine this
behavior.
Assume that f has first and second partial derivatives and that these functions are continuous. A
multivariable version of Taylors Theorem says that
x) = p2 (x) + R2 (x; a)
f(
where
p2 (
x) = f (a) + rf (a) (x
a) +
1
2
(x
a)
a)
f21 (a)
f11 (
a)
f22 (a)
f12 (
(x
a)
j 2(x a)j ! 0 as x ! a
jjx ajj2
R
The second partial derivatives of f are denoted f11, f12, f21 , and f22 . Since the matrix in the
expression on p2 will figure prominently in the analysis, it is given a name.
Definition: The Hessian of a function f : R 2 !
is fij (a). That is,
H
i; j )
a)
f21 (a)
a)
f22 (a)
f11 (
f12 (
entry
The Hessian determines the behavior of f at a critical point a. Since a is a critical point, rf (a) = 0,
and
f(
so
x)
f(
f(
a) =
1
2
(x
1
2
(x
a)T H (x
a)T H (x
a) + R2 (x; a)
a) + R2 (x; a)
f(
If f (x)
at a.
If f (x)
at a.
If f (x) f (a) is negative for some choices of x near a and positive for some choices of x
near a then f does not have a relative extremum at a. In this situation it is said that f has a
saddle point at a.
a) is negative for all choices of x near a, then f will have a relative maximum
f(
a) is positive for all choices of x near a, then f will have a relative minimum
f(
If (x
at a.
a)T H (x a) is negative for any choice of x near a, then there is a relative maximum
If (x
at a.
a)T H (x a) is positive for any choice of x near a, then there is a relative minimum
If (x a)T H (x a) is positive for some choices of x and negative for other choices of x
arbitrarily close to a, then there is a saddle point at a, but not a relative extremum.
If (x
a)T H (x
x) = x21
f(
x1 x2
+ x2 + 2x1 + 2x2
Then rf (x) = (2x1 x2 + 2; 2x2 x1 + 2), and rf (x) = 0 is solved to find that a = (
is the only critical point. Differentiate again to find f 11(a) = 2, f12(a) = f21(a) =
f22 (a) = 2. Thus the Hessian of f at a is
H
and
x)
f(
f(
a) =
1
2
(x
a)T
(x
2;
2)
and
a)
Analyzing this situation is difficult because of all the possible choices for x near a; however, the
notion of a quadratic form cleans up matters considerably.
If z = x a, then the term (x a)T H (x a) = zT H z, so there is a quadratic form Q(z) = zT H z
and the Hessian H is the matrix of that quadratic form. Notice then that the above observation
about relative maxima, relative minima, and saddle points may be summarized quite nicely.
Finally, note that the first three conditions given above are the definitions for a negative definite
quadratic form, a positive definite quadratic form, and an indefinite quadratic form.
Example (cont.): The standard matrix for this quadratic form Q is
H
The Principal Axes Theorem says that there is an orthogonal change of variable z = P y that
transforms the quadratic form z T H z into a quadratic form y T Dy, where D is a diagonal matrix
with the eigenvalues of H (with multiplicities) as its diagonal entries.
Example (cont): The eigenvalues of H are 1 and 3, and the standard matrix H may be diqagonalized
to find that H = P DP 1 , where
1
1
1 0
P =
and D =
1
If y = (y1; y2), then the quadratic form has been converted into
yT Dy = [
y1
y2
y1
y2
= y1 + 3y2
which is positive for all choices of y1 and y2, thus for all choices of y. And so Q(z) > 0 for all
choices of z (i.e., Q is a positive definite quadratic form), and f (x) = x 21 x1x2 + x22 + 2x1 + 2x2 4
has a relative minimum at the point a = ( 2; 2).
Finally note that, by Theorem 5 in Section 7.2, the behavior of
summarized by determining the eigenvalues of the Hessian
H
a)
f21 (a)
f11 (
f(
a)
f22 (a)
f12 (
a)
a)
f32 (a)
at a point a is
a)
a) 5
f33 (a)
determine the behavior of f (x) at a critical point (where rf (a)
H
a)
a)
f31 (a)
f11 (
f12 (
f13 (
f21 (
f22 (
f23 (
Questions: Locate all relative extrema and saddle points for the following functions.
4
0)
1.
f(
2.
f(
3.
f(
4.
f(
5.
f(
6.
f(
7.
f(
8.
f(
3x2 + 4
x) = 2x1 + 2x2
x) = x31
x2
x) = 6x21
x) = x21
2x21
2x1 x2
x2
+3
2x1 x2 + 6
+ x22
x1 x3
+ x23
3x21 x2
3x22 x3
Hint: the critical points for this function are the following 8 points:
(1; 1; 1)
(1:53868;
(:0838115;
:0838115 ; 2:15069)
2:15069;
(2:15069; 1:53868;
1:53868)
:0838115)
1;
1:53868; :0838115;
1;
1)
2:15069;
2:15069)
1:53868; :0838115)
Reference:
1. Finney, Ross L., Weir, Maurice D., and Giordano, Frank R. Thomas Calculus. Tenth Edition.
Boston: Addison-Wesley, 2001.