Linearization of a non-linear function

The log-sum-exp function

f(x) = \log(e^{x_1} + e^{x_2})

admits the gradient at the point x^0 given by

\nabla f(x_0) = \frac{1}{e^{x_1^0}+e^{x_2^0}}\left(\begin{array}{c} e^{x_1^0} \\ e^{x_2^0} \end{array}\right).

Hence f can be approximated near x_0 by the linear function

f(x) \approx \log(e^{x_1} + e^{x_2})+ \frac{1}{e^{x_1^0}+e^{x_2^0}}\left((x_1 - x_1^0)e^{x_1^0} + (x_2 - x_2^0)e^{x_2^0}\right)

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Hyper-Textbook: Optimization Models and Applications Copyright © by L. El Ghaoui. All Rights Reserved.

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