Paper 1, Section I, H

Optimization | Part IB, 2019

Suppose that ff is an infinitely differentiable function on R\mathbb{R}. Assume that there exist constants 0<C1,C2<∞0<C_{1}, C_{2}<\infty so that ∣f′′(x)∣⩾C1\left|f^{\prime \prime}(x)\right| \geqslant C_{1} and ∣f′′′(x)∣⩽C2\left|f^{\prime \prime \prime}(x)\right| \leqslant C_{2} for all x∈Rx \in \mathbb{R}. Fix x0∈Rx_{0} \in \mathbb{R} and for each n∈Nn \in \mathbb{N} set

xn=xn−1−f′(xn−1)f′′(xn−1).x_{n}=x_{n-1}-\frac{f^{\prime}\left(x_{n-1}\right)}{f^{\prime \prime}\left(x_{n-1}\right)} .

Let x∗x^{*} be the unique value of xx where ff attains its minimum. Prove that

∣x∗−xn+1∣⩽C22C1∣x∗−xn∣2 for all n∈N.\left|x^{*}-x_{n+1}\right| \leqslant \frac{C_{2}}{2 C_{1}}\left|x^{*}-x_{n}\right|^{2} \quad \text { for all } n \in \mathbb{N} .

[Hint: Express f′(x∗)f^{\prime}\left(x^{*}\right) in terms of the Taylor series for f′f^{\prime} at xnx_{n} using the Lagrange form of the remainder: f′(x∗)=f′(xn)+f′′(xn)(x∗−xn)+12f′′′(yn)(x∗−xn)2f^{\prime}\left(x^{*}\right)=f^{\prime}\left(x_{n}\right)+f^{\prime \prime}\left(x_{n}\right)\left(x^{*}-x_{n}\right)+\frac{1}{2} f^{\prime \prime \prime}\left(y_{n}\right)\left(x^{*}-x_{n}\right)^{2} where yny_{n} is between xnx_{n} and x∗.]\left.x^{*} .\right]

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