# Chap 2. Optimality conditions

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1 Chap 2. Optimality conditions Version: Optimality conditions in unconstrained optimization Recall the definitions of global, local minimizer. Geometry of minimization Consider for f C 1 a point x D α = with f (x) 0. Then: In a neigborhood of x the solution set D α = is a C 1 -manifold of dimension n 1 and at x we have f (x) D = α i.e., f (x) is perpendicular to D = α. f (x) points into the direction where f (x) has increasing values. CO, Chapter 2 p 1/34

2 Example: the humpback function min x 2 1 (4 2.1x x 4 1 ) + x 1x 2 + x 2 2 ( 4 + 4x 2 2 ). Two global minima: ( ) and ( ), and four strict local minima. CO, Chapter 2 p 2/34

3 Fermat s theorem, Necessary condition Th. 2.5 (Fermat) Let f : R n R be in C 1 (C 2 ). If the point x R n is a local minimizer of the function f then f (x) = 0 (and 2 f (x) is psd). Ex. The conditions f (x) = 0, 2 f (x) psd, are necessary but not sufficient minimality conditions. Take f (x) = x 3 or ±x 4 as examples. Sufficient conditions for local minimizer Cor. 2.8 Let f : R n R be in C 2. If f (x) = 0 and 2 f (x) is positive definite then the point x is a strict local minimizer of the function f. CO, Chapter 2 p 3/34

4 Global minimizer of convex functions For convex functions the situation is easier L2.4 (Ex2.1) Any (strict) local minimizer of a convex function f is a (strict) global minimizer. T.2.6 Let f : R n R be convex and in C 1. The point x R n is a global minimizer of f if and only if f (x) = 0. Ex. (convex quadratic function) With positive definite Q, c R n consider the quadratic function f (x) := 1 2 x T Qx + c T x. Now, f is convex and therefore x is a global minimizer iff f (x) = 0 or Qx + c = 0 The global minimizer is therefore given by x = Q 1 c. CO, Chapter 2 p 4/34

5 2.2 Optimality conditions for constrained (convex) optimization We consider the convex optimization problem: where J = {1,, m}, (CO) min f (x) s.t. g j (x) 0, j J x C, C R n is a convex (closed) set; f, g 1,, g m are convex functions on C (or on an open set containing C). The set of feasible points (feasible set) is: F = {x C g j (x) 0, j = 1,, m}. Ex. Show that F is a convex set. CO, Chapter 2 p 5/34

6 Consider first P 0 : min{ f (x) : x C}, with C, a relatively open convex set and f is convex, differentiable on C. Th.2.9 The point x C is a (global) minimizer of P 0 if and only if f (x) T s = 0 for all s L, where L denotes the linear subspace defined by aff(c) = x + L for any x C. (Here aff(c) is the affine hull of C.) Remark: Essentially, P 0 is an unconstrained problem CO, Chapter 2 p 6/34

7 Example 1 Consider the relative interior of the simplex S = {x R 3 3 i=1 x i = 1, x 0} in R 3 : C = {x R 3 : 3 x i = 1, x > 0}, i=1 and define the (convex!) function f : C R by f (x) = (x 1 1) 2 + (x 2 1) 2 + (x 3 1) 2. By Exercise 1.6: aff(c) = (1, 0, 0) + L, where L is the linear subspace L := {s R 3 : s 1 + s 2 + s 3 = 0} = α β α, β R. Now x C is a minimizer of min x C f (x), if and only if f (x) T s = 0 for all s L. CO, Chapter 2 p 7/34

8 Since f (x) = 2 x 1 1 x 2 1 x 3 1 this holds if and only if x 1 1 = x 2 1 and x 1 1 = x 3 1, which gives x 1 = x 2 = x 3. Since x 1 + x 2 + x 3 = 1, it follows that f has a unique minimizer, namely x = (1/3; 1/3; 1/3). CO, Chapter 2 p 8/34

9 Feasible Directions The next characterization of minimizers is based on the concept of feasible directions Def.2.10 The vector s R n is a feasible direction at a point x F if there is a λ 0 > 0 such that x + λs F for all 0 λ λ 0. The set of feasible directions at x F is denoted by FD(x). Note that 0 FD(x). Recall. K R n is a cone if: x K, λ > 0 λx K. L.2.13 For any x F the set FD(x) is a convex cone. Th.2.14 (Let f C 1.) The feasible point x F is a (global) minimizer of (CO) if and only if δf (x, s) = f (x) T s 0, s FD(x). CO, Chapter 2 p 9/34

10 Example 1. (continued): Reconsider the simplex in R 3 : C = {x R 3 : and f : C R given by 3 x i = 1, x 0}, i=1 f (x) = (x 1 1) 2 + (x 2 1) 2 + (x 3 1) 2. At the point x = (1/3, 1/3, 1/3), the cone of feasible directions is simply FD(x) = {s R 3 : s 1 + s 2 + s 3 = 0}. (why?) Therefore, x = (1/3, 1/3, 1/3) is an optimal solution of min x C f (x), because x 1 1 f (x) = 2 x 2 1 = 4 1 1, x and hence f (x) T s = 0 for all s FD(x). CO, Chapter 2 p 10/34

11 Optimality conditions based on the Karush-Kuhn-Tucker relations: The conditions in Theorem 2.9/2.14 are not easy to check (in practice). We are thus interested in easier minimality conditions. Definition 2.15 With respect to (CO), an index j J is called active in x F if g j (x) = 0. The set of all active indices, also called active index set in x, is denoted by J x. CO, Chapter 2 p 11/34

12 Let us assume: C = R n, f, g j C 1 (in the rest of this subsection) Def. The feasible point x F satisfies the Karush-Kuhn-Tucker (KKT) conditions if there exist multipliers y j, j J such that: y j 0, j J and f (x) = j J y j g j (x), y j g j (x) = 0, j J. The KKT-conditions can equivalently be given as f (x) = j J x y j g j (x), y j 0, j J x. Th.2.16 (Sufficient condition) If x F satisfies the KKT conditions then x is a minimizer of (CO) (with C = R n ). CO, Chapter 2 p 12/34

13 Ex. The KKT conditions are not necessary for minimality. Take as example: min{x : x 2 0}. The minimum occurs at x = 0 (which is the only feasible point!). But there is no y such that 1 = y 0, y 0 = 0, y 0. (The problem here is that the feasible set F = {0} does not have interior points.) CO, Chapter 2 p 13/34

14 Some examples: (Application of the KKT-conditions) Ex. (minimizing a linear function over a sphere) Let a, c R n, c 0. Consider the problem { n } n c i x i (x i a i ) 2 1. min x R n i=1 The objective function is linear (hence convex), and there is one constraint function g 1 (x) (m = 1), which is convex. The KKT conditions give c 1. c n i=1 x 1 a 1 = 2λ. x n a n, λ ( n (x i a i ) 2 1 ) = 0, λ 0. i=1 CO, Chapter 2 p 14/34

15 c 0 implies λ > 0 and n i=1 (x i a i ) 2 = 1. We conclude that x a = αc, for α = 1/(2λ) > 0. Since x a = 1, we have α c = 1. So, the minimizing vector is x = a αc = a c c. Hence, the minimal value of the objective function is: c T x = c T a ct c c = ct a c 2 c = ct a c. CO, Chapter 2 p 15/34

16 Ex. (Exercise 2.7) Find a cylindrical can with height h, radius r and volume at least V such that the total surface area is minimal. Denoting the surface by p(h, r), we want to solve min p(h, r) := 2π(r 2 + rh) s.t. πr 2 h V, (r, h > 0) This is not a convex optimization problem! (why?) Setting r = e x 1 and h = e x 2 the problem becomes: { ) ) } min 2π (e 2x 1 + e x 1+x 2 π (e 2x 1+x 2 V which is equivalent to ) min{2π (e 2x 1 + e x 1+x 2 ln V π 2x 1 x 2 0, x 1 R, x 2 R}. This is a convex optimization problem! (why?) CO, Chapter 2 p 16/34

17 Ex. Exercise 2.7 (ctd) Let ) f (x) = 2π (e 2x 1 + e x 1+x 2 and g(x) = ln V π 2x 1 x 2. Now the problem becomes: { min f (x) g(x) 0, x R 2}. KKT conditions for this problem: we are looking for some x F such that f (x) = y (g(x)) for some scalar y 0, such that yg(x) = 0. The KKT conditions are: f (x) = y g(x), yg(x) = 0, y 0. CO, Chapter 2 p 17/34

18 Ex. Exercise 2.7 (ctd.) Calculate the gradients to get: ( ) [ 2e 2x 1 + e 2π x 1+x 2 e x 1+x 2 ] = y [ 2 1 ] = y [ 2 1 and yg(x) = 0, y 0. From ( ) we derive: y > 0 and therefore 2e 2x 1 + e x 1+x 2 = 2y e x 1+x 2 y = 2. This implies 2e x 1 = e x 2, whence 2r = h. Conclusion: The surface is minimal if 2r = h. Now use g(x) = 0, to get r and h in terms of V. Remark Later (in Chapter 6 Nonlinear Optimization ) we will be able to solve the problem without the transformation trick. ], CO, Chapter 2 p 18/34

19 Question to be answered now: Under which condition is the KKT-relation necessary for minimality? The Slater condition Def.2.18 x 0 C 0 is called a Slater point of (CO) if g j (x 0 ) < 0, j where g j is nonlinear, g j (x 0 ) 0, j where g j is (affine) linear. We say that (CO) satisfies the Slater condition (constraint qualification) if a Slater point exists. CO, Chapter 2 p 19/34

20 Example. (Slater regularity:) Consider the optimization problem min f (x) s.t. x x x 1 x 2 2 x 2 1 C = R 2. The points (1, 1) and ( 3 2, 3 4 ) are Slater points, (2, 0) not. CO, Chapter 2 p 20/34

21 Definition Some constraints g j (x) 0 may take the value zero at all feasible points. Each such constraint can be replaced by the equality constraint g j (x) = 0, without changing the feasible region. These constraints are called singular while the others are called regular. Under the Slater condition, we define the index sets J s of singular- and J r of regular constraints: J s := {j J g j (x) = 0, x F}, J r := J \ J s = {j J g j (x) < 0 for some x F}. Remark: Note, that if (CO) satisfies the Slater condition, then all singular constraints must be linear. CO, Chapter 2 p 21/34

22 Ideal Slater points Def.2.20 A Slater point x C 0 is called an Ideal Slater point of (CO) if g j (x ) < 0 for all j J r, g j (x ) = 0 for all j J s. L.2.21 If (CO) has a Slater point then it also has an ideal Slater point x F. Rem: An ideal Slater point is in the relative interior of F (Exercise 2.10). CO, Chapter 2 p 22/34

23 Example. (Slater regularity, continued:) Reconsider the program min f (x) s.t. x x x 1 x 2 2 x 2 1 C = R 2. The point (1, 1) is a Slater point, but not an ideal Slater point. The point ( 3 2, 3 4 ) is an ideal Slater point. CO, Chapter 2 p 23/34

24 2.2.3 Convex Farkas Lemma Remark The so-called convex Farkas Lemma is the basis for the duality theory in convex optimization We begin with an auxiliary result. Th.2.23 (see also [FKS,Th10.1) Let = U R n be convex and w / U. Then there exists a separating hyperplain H = {x a T x = α}, 0 a R n, α R such that a T w α a T x x U and α > a T u 0 for some u 0 U. Proof: See pdf-file extraproofs for a proof. CO, Chapter 2 p 24/34

25 Observation: A number a is a lower bound for the optimal value of (CO) if and only if the system (1) has no solution. f (x) < a g j (x) 0, x C j = 1,..., m Lemma.2.25 (Farkas) Let (CO) satisfy the Slater condition. Then the inequality system (1) has no solution if and only there exists a vector y = (y 1,, y m ) such that (2) y 0, f (x) + m y j g j (x) a, x C. j=1 The systems (1) and (2) are called alternative systems, because exactly one of them has a solution. CO, Chapter 2 p 25/34

26 Proof of the (convex) Farkas lemma We need to show that precisely one of the systems (1) or (2) has a solution. First we show (easy part) that not both systems can have a solution: Otherwise for some x C and y 0, the relation a f (x) + m y j g j (x) f (x) < a, j=1 would hold, a contradiction. Then we show that at least one of the two systems has a solution. To do so, we show that if (1) has no solution. then (2) has a solution. CO, Chapter 2 p 26/34

27 Proof: Define the set U R m+1 as follows. U = {u = (u 0 ;... ; u m ) x C such that f (x) < a + u 0 g j (x) u j if j J r g j (x) = u j if j J s Since (1) is infeasible, 0 / U. One easily checks that U is a nonempty convex set (using that the singular functions are linear). So there exists a hyperplane that separates 0 from U, i.e., there exists a nonzero vector y = (y 0, y 1,, y m ) such that y T u 0 = y T 0 for all u U y T u > 0 for some u U. ( ) The rest of the proof is divided into four parts. CO, Chapter 2 p 27/34

28 I. Prove that y 0 0 and y j 0 for all j J r. II. Establish that holds y 0 (f (x) a) + m y j g j (x) 0, x C. j=1 III. Prove that y 0 must be positive. IV. Show by induction that we can assume y j > 0, j J s. CO, Chapter 2 p 28/34

29 Example. (Illustration of the Farkas lemma) Let us consider the convex optimization problem (CO) min 1 + x s.t. x x R. Then (CO) is Slater regular. The optimal value is 0 (for x = 1). Hence, the system 1 + x < 0, x 2 1 0, x R has no solution. By the Farkas lemma there must exist a real number y 0 such that ( ) 1 + x + y x 2 1 0, x R. Indeed, taking y = 1 2 we get x y(x 2 1) = 1 2 x 2 + x = 1 2 (x + 1)2 0. CO, Chapter 2 p 29/34

30 Exercise 2.11 ( Linear Farkas Lemma ) Let A R m n and b R m. Exactly one of the following alternative systems (I) or (II) is solvable: (I) A T x 0, x 0, b T x < 0, or (II) Ay b, y 0. Proof: Apply Farkas lemma to the special case: f (x) = b T x, ( g j (x) = (A T x) j = a j) T x, j = 1,, m where a j denotes column j of A, and C is the nonnegative orthant (nonnegative vectors) of R m. Make use of: z T x = i z i x i 0 x 0 z 0 ( ) CO, Chapter 2 p 30/34

31 Karush-Kuhn-Tucker theory (Duality theory) Remark: This (Lagrange) Duality Theory is based on the concept of saddle points. Def. We introduce the Lagrangean function of (CO): L(x, y) := f (x) + m y j g j (x), y 0 j=1 Note that L(x, y) is convex in x and linear in y. Note: For any y 0: inf {f (x) + m x C j=1 y j g j (x)} inf {f (x) + x C g j (x) 0, j { 0 }} { m j=1 y j g j (x)} inf {f (x) g j(x) 0, j} x C CO, Chapter 2 p 31/34

32 So: For any y 0, inf {f (x) + m x C j=1 y j g j (x)} inf x C {f (x) g j(x) 0, j} (CO) Note further that for any fixed x: m { f (x) if gj (x) 0, j sup{f (x) + y j g j (x)} = y 0 otherwise j=1 By taking (above) the sup over y 0 we find: Weak Duality: sup y 0 inf L(x, y) inf x C sup x C y 0 L(x, y) ( ) The righthand side is equivalent with (CO); the lefthand side is called the (Lagrangean) dual problem of (CO) (See also Chapter 3) CO, Chapter 2 p 32/34

33 Saddlepoint theory Def A vector pair (x, y), with x C and y 0 is called a saddle point of the Lagrange function L(x, y) if L(x, y) L(x, y) L(x, y), x C, y 0. Lemma 2.28: A saddlepoint (x, y) of L(x, y) satisfies the strong duality relation sup y 0 inf L(x, y) = L(x, y) = inf x C sup x C y 0 L(x, y). Theorem 2.30 Let the problem (CO) satisfy the Slater condition. Then the vector x is a minimizer of (CO) if and only if there is a vector y such that (x, y) is a saddle point of the Lagrange function L. CO, Chapter 2 p 33/34

34 We are now able to prove the converse of Th Cor.2.33 Let C = R n and let f, g j C 1 be convex functions. Suppose (CO) satisfies the Slater condition. Then x is a minimizer of (CO) if and only if with some y 0 the pair (x, y) satisfies the KKT condition. Ex. (without Slater condition) Show that the pair (x, y) (x F, y 0) satisfies the KKT condition if and only if (x, y) (y 0) is a saddle point of L. CO, Chapter 2 p 34/34

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