[Math] Minimize function / Find α resulting in lowest value for formula

functionsmaxima-minimaoptimization

I think it's called minimizing a function, but I'm not sure. What I want is to find the value of $\alpha$ so that the result of the formula (the formula on the right side of the equal symbol) will be the lowest value possible.

\begin{align}
V(\alpha) = {} & \alpha^2 x_1 + (1-\alpha)^2 x_2 + 2\alpha(1-\alpha)x_3
\end{align}
 

I do already know the values of $x_1, x_2$ and $x_3$. These values are fixed. By using statistics software, I was able to calculate both the value of $\alpha$ and the result of the formula when said $\alpha$ is inserted into the formula. However, it would be nice to know how to solve this by hand/formulas.

I have been trying to search around for a while now, and even though there's many examples to find, I'm stuck.

Could anyone point me in the right direction or show me how it's done step by step?

Thank you.

Best Answer

Notice that $V(\alpha)$ is quadratic in $\alpha$ - you have an $\alpha^{2}$ term, a $(1-\alpha)^{2}=\alpha^{2}-2\alpha+1$ term, and a $\alpha(1-\alpha)=\alpha-\alpha^{2}$ term. So you can complete the square, then set the squared term to zero. However, this will only give you a minimum if the squared term's coefficient is positive.

You can also solve it via calculus, like DMcMor did. In general calculus is the way to go, but for quadratics completing the square is a nice alternative.

Answer in spoilers:

$V(\alpha) = (x_{1}+x_{2}-2x_{3})\alpha^{2} - (2x_{2}-2x_{3})\alpha + x_{2} = a(\alpha - b)^{2} + c$ where $a = x_{1}+x_{2}-2x_{3}$, $b = (x_{2}-x_{3})/a$ and $c = x_{2} - ab^{2} = (x_{1}x_{2} - x_{3}^{2})/a$. Only if $a>0$ will you actually get a minimum, in which case you have $\alpha = b$ and $V(\alpha_{min})=c$.

EDIT:

Since OP has stated $\alpha$ is restricted to the interval $[0,1]$ (correct me if the interval is not closed), it might be the case that the minimum obtained by either this method or calculus will lie outside that interval. In this case, one would pick the value that is as close as possible to that minimum - say you got $1.5$, you would choose $\alpha=1$. If you got $-0.5$, you'd pick $\alpha=0$. You can do this because a quadratic is monotonic either side of its turning point. In fact, if you don't find any turning points in the allowed interval, the function must be monotonic if it is continuous, so the minimum in that interval must be one of the two endpoints (and it's usually simple to determine which).

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