Chapter 10Optimization
I envy you your self-confidence and assurance, but I mistrust exceedingly the soundness of your judgment.
— Alcon of Thrale in Edward E. Smith, Second Stage Lensmen, 1943
Many predictive modeling techniques of Chapter 4 and clustering methods of Chapter 9 require that certain numerical optimization problems be solved (at least approximately). This chapter presents several classes of optimization techniques.
The problem of optimization is, given a known1 objective function,
, find a minimizer2
of
, defined by
. The minimizer may be unique, or it may not. In some cases, the minimum value
is of interest, but in the context of Chapters 3, 4, 6, and 9, we are usually more interested in the minimizer,
.
All of the methods of this chapter are iterative: that is, they begin with an initial guess of the minimizer, , and for each iteration , they construct a new approximation ...
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