1. Let : R m R k and g : R n R m...

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1. Let ƒ : Rm → Rk and g : Rn → Rm be two maps. Let h : Rn→ Rk be the composite map h = ƒ ο g, with values h(x) = ƒ(g(x)) for x ∈ Rn. Show that the derivatives of h can be expressed via a matrix-matrix product, as Jh(x) = Jƒ (g(x)) · Jg(x), where Jh(x) is the Jacobian matrix of h at x, i.e., the matrix whose (i, j) element is .

2. Let g be an affine map of the form g(x) = Ax + b, for A ∈ Rm,n, b ∈ Rm. Show that the Jacobian of h(x) = ƒ(g(x)) is

3. Let g be an affine map as in the previous point, let ƒ: R→ R (a scalar-valued function), and let h(x) = ƒ(g(x)). Show that

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Optimization Models

ISBN: 9781107050877

1st Edition

Authors: Giuseppe C. Calafiore, Laurent El Ghaoui

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