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Calculus / Chinese

Extrema of a function of two variables

Charles队长 · Bilibili · 0:53

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The animation connects the Hessian of a two-variable function with bowls, inverted bowls and saddles. At a stationary point of a twice continuously differentiable function, a positive definite Hessian gives a strict local minimum, a negative definite Hessian a strict local maximum, and an indefinite Hessian a saddle. A semidefinite Hessian alone is inconclusive.

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Chapters

0:00Construction and Definiteness Criteria0:14Visualizing Extrema via 3D Surfaces

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Arrange the second partial derivatives in the Hessian matrix HH. Assume ff is twice continuously differentiable near the point and ∇f=0\nabla f=0 there. The leading second-order change along a small displacement hh is 12hTHh\frac12 h^T Hh. Its sign describes how the surface bends in different directions.

A bowl illustrates positive definiteness: the second-order change is positive in every nonzero direction, giving a strict local minimum at the stationary point. An inverted bowl illustrates a strict local maximum with a negative definite Hessian. A saddle has both rising and falling directions. In two variables, set D=fxxfyy−fxy2D=f_{xx}f_{yy}-f_{xy}^2. If D>0D>0, the sign of fxxf_{xx} distinguishes minimum from maximum; D<0D<0 gives a saddle, while D=0D=0 leaves this test inconclusive.

Knowledge cards

01

Hessian matrix

Continuous second partial derivatives make the Hessian symmetric. The matrix records local second-order change.

H=(fxxfxyfyxfyy)H=\begin{pmatrix}f_{xx}&f_{xy}\\f_{yx}&f_{yy}\end{pmatrix}
02

Check stationarity first

The interior stationary-point test requires zero gradient. A positive definite Hessian alone does not make the current point a minimum.

∇f(x0,y0)=0\nabla f(x_0,y_0)=0
03

Definite Hessians

Positive definiteness gives a strict local minimum; negative definiteness gives a strict local maximum. For negative definiteness, leading principal minors alternate in sign, rather than all being negative.

D>0:fxx>0⇒min,fxx<0⇒maxD>0:\quad f_{xx}>0\Rightarrow\text{min},\quad f_{xx}<0\Rightarrow\text{max}
04

Saddles and inconclusive cases

An indefinite quadratic form has directions of opposite signs and gives a saddle. When the determinant is zero, examine higher-order terms or the function directly.

D=fxxfyy−fxy2;D<0⇒saddleD=f_{xx}f_{yy}-f_{xy}^2;\quad D<0\Rightarrow\text{saddle}

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  • Optimization ExplanationAt 0:14
    Why this connection?

    At an interior stationary point of a twice continuously differentiable function, a positive definite Hessian gives a strict local minimum and a negative definite Hessian gives a strict local maximum. An indefinite Hessian gives a saddle, while semidefinite cases are inconclusive. This local test does not guarantee a global optimum.

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