Quadratic Forms and Extrema

Quadratic forms

Quadratic forms in Python can be represented by an equation or a matrix.

$q(x,y) = a x^2 + bxy + cy^2$


$ \begin{pmatrix} a & b \\ c & d \end{pmatrix} $

x, y = symbols('x y')
q1 = a*x**2 + b*x*y + c*y**2
q2 = Matrix([
    [  a, b/2],
    [b/2,   c]


One way to get the signature of a quadratic form is to diagonalize its matrix and then check the sign of the values in the diagonal (the eigenvals).

📝 Example:

Get the signature of the quadratic form $q(x_1, x_2, x_3, x_4, x_5) = -2x_1^2 + x_2^2 - \sqrt{2}x_4^2$

>>> x1, x2, x3, x4, x5 = symbols('x1:6')
>>> q = -2*x1**2 + x2**2 - sqrt(2)*x4**2
>>> Q = Matrix([
        [-2, 0, 0,        0, 0],
        [ 0, 1, 0,        0, 0],
        [ 0, 0, 0,        0, 0],
        [ 0, 0, 0, -sqrt(2), 0],
        [ 0, 0, 0,        0, 0]
>>> Q.eigenvals()
{-2: 1, 1: 1, 0: 2, -sqrt(2): 1} # 1 +, 2 - and 2 0s

⚠️ Warning: The diagonalization functions in SymPy can give results with precission issues. This means that sometimes the program will return as positive or negative an eigenvalue that is actually zero. It’s suggested to have a function that checks when numbers are small enough to be considered zero and treat them like that.


For forms in two variables $f(x,y) = ax^2 + 2bxy + cy^2$ we can use the discriminant of the quadratic form for characterizing definiteness. The discriminant of a quadratic form is the determinant of its matrix.

M = Matrix( ... )       # Matrix of the quadratic form
discriminant = M.det()


Gradient and Hessian

The gradient of a function $\nabla f$ is the vector of partial derivatives.

x = symbols('x1 x2 ... xn')
grad = [f.diff(xi) for xi in x]

The hessian of a function $\boldsymbol{H}f$ is the following matrix

varlist = symbols('x1 x2 ... xn')

# It can be done manually
hess = [[f.diff(x).diff(y) for x in varlist] for y in varlist]

# Or with a SymPy built-in function
hess = hessian(f, varlist)

Getting critical points

$\boldsymbol{x} \in \Omega$ is a critical point of $f$ if $\nabla f (\boldsymbol{x}) = \boldsymbol{0}$. In python, critical points can be found solving the equation:

varlist = symbols('x1 x2 ... xn')
grad = [f.diff(xi) for xi in x]
solve(grad, varlist, dict=True)

👁️ Note: the dict=True parameter in the solve function is not necessary. It will only make the function return the solutions in a list of dictionaries with the pair variable-value. It will make things easier to work with.

Study of critical points

After finding all the critical points of a function, it’s time to decide if there’s any local maximum or minimum (or saddle point).

One way to decide is to follow the Hessian criterion for extrema, which consists in evaluating the signature if the Hessian matrix at each critical point. In Python, we will be using the subs function and the computation of the signature.

critical_points = solve(grad, varlist, dict=True)
for point in critical_points:
    hess_evaluated = hess.subs(point)
    # Get signature and decide
    # ...

Constrained optimization

Lagrangian formalism

The Lagrangian function $L(\boldsymbol{\lambda}, \boldsymbol{x})$ can be generated using a loop:

x = symbols('x1 x2 ... xn')
f        # function to optimize
glist    # list of restrictions

L = f
for i in range(len(glist)):
    lamda = symbols('lamda'+i)
    L += glist[i]*lamda

👁️ Notice that lamda is misspelled (the name for $\lambda$ is “lambda”). That’s not a typo. The word lambda is reserved by Python and it can’t be used.

The second order sufficient conditions can be stated in terms of the Lagrangian Hessian matrix looking at its minor determinants. In Python we can check the condition by listing all the minor determinants.

HL = hessian(L, varlist)
n, m = hess.shape
minor_dets = [HL[:i,:i].det() for i in range(1, n+1)]
# Check condition ...

⚠️ Warning: Here varlist includes the variables in the function and the variables used for creating the lagrangian with the restrictions ($\lambda_1, \lambda_2, …, \lambda_m$)


Raúl Higueras
Universitat Politècnica de Catalunya, 2020

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