INVEX FUNCTIONS AND CONSTRAINED LOCAL MINIMA

Similar documents
On constraint qualifications with generalized convexity and optimality conditions

GENERALIZED CONVEXITY AND OPTIMALITY CONDITIONS IN SCALAR AND VECTOR OPTIMIZATION

GLOBAL JOURNAL OF ENGINEERING SCIENCE AND RESEARCHES

Some Properties of the Augmented Lagrangian in Cone Constrained Optimization

OPTIMALITY CONDITIONS AND DUALITY FOR SEMI-INFINITE PROGRAMMING INVOLVING SEMILOCALLY TYPE I-PREINVEX AND RELATED FUNCTIONS

Nondifferentiable Higher Order Symmetric Duality under Invexity/Generalized Invexity

Introduction to Optimization Techniques. Nonlinear Optimization in Function Spaces

NONDIFFERENTIABLE SECOND-ORDER MINIMAX MIXED INTEGER SYMMETRIC DUALITY

Symmetric and Asymmetric Duality

Mathematical Programming Involving (α, ρ)-right upper-dini-derivative Functions

SECOND ORDER DUALITY IN MULTIOBJECTIVE PROGRAMMING

HW1 solutions. 1. α Ef(x) β, where Ef(x) is the expected value of f(x), i.e., Ef(x) = n. i=1 p if(a i ). (The function f : R R is given.

I.3. LMI DUALITY. Didier HENRION EECI Graduate School on Control Supélec - Spring 2010

Convex Optimization M2

CONSTRAINED OPTIMALITY CRITERIA

E5295/5B5749 Convex optimization with engineering applications. Lecture 5. Convex programming and semidefinite programming

A Note on Nonconvex Minimax Theorem with Separable Homogeneous Polynomials

Nonlinear Optimization: What s important?

Chap 2. Optimality conditions

Optimization Theory. Lectures 4-6

OPTIMIZATION THEORY IN A NUTSHELL Daniel McFadden, 1990, 2003

4. Algebra and Duality

The Nearest Doubly Stochastic Matrix to a Real Matrix with the same First Moment

SWFR ENG 4TE3 (6TE3) COMP SCI 4TE3 (6TE3) Continuous Optimization Algorithm. Convex Optimization. Computing and Software McMaster University

Convex Optimization & Lagrange Duality

On the relation between concavity cuts and the surrogate dual for convex maximization problems

Lecture Note 5: Semidefinite Programming for Stability Analysis

Structural and Multidisciplinary Optimization. P. Duysinx and P. Tossings

Additional Homework Problems

ON SOME SUFFICIENT OPTIMALITY CONDITIONS IN MULTIOBJECTIVE DIFFERENTIABLE PROGRAMMING

CHAPTER 2: CONVEX SETS AND CONCAVE FUNCTIONS. W. Erwin Diewert January 31, 2008.

Optimality, Duality, Complementarity for Constrained Optimization

Example: feasibility. Interpretation as formal proof. Example: linear inequalities and Farkas lemma

1. J. Abadie, Nonlinear Programming, North Holland Publishing Company, Amsterdam, (1967).

Lagrange Duality. Daniel P. Palomar. Hong Kong University of Science and Technology (HKUST)

Convex Optimization Theory. Chapter 5 Exercises and Solutions: Extended Version

Lectures 9 and 10: Constrained optimization problems and their optimality conditions

Duality (Continued) min f ( x), X R R. Recall, the general primal problem is. The Lagrangian is a function. defined by

EE 227A: Convex Optimization and Applications October 14, 2008

Numerisches Rechnen. (für Informatiker) M. Grepl P. Esser & G. Welper & L. Zhang. Institut für Geometrie und Praktische Mathematik RWTH Aachen

Mathematical Economics: Lecture 16

NONDIFFERENTIABLE MULTIOBJECTIVE SECOND ORDER SYMMETRIC DUALITY WITH CONE CONSTRAINTS. Do Sang Kim, Yu Jung Lee and Hyo Jung Lee 1.

4TE3/6TE3. Algorithms for. Continuous Optimization

Optimality Conditions for Constrained Optimization

c 2000 Society for Industrial and Applied Mathematics

Extreme Abridgment of Boyd and Vandenberghe s Convex Optimization

Constrained optimization: direct methods (cont.)

Optimization. A first course on mathematics for economists

The general programming problem is the nonlinear programming problem where a given function is maximized subject to a set of inequality constraints.

5. Duality. Lagrangian

Generalized Convexity and Invexity in Optimization Theory: Some New Results

Date: July 5, Contents

Constrained Optimization Theory

CONSTRAINED NONLINEAR PROGRAMMING

Lecture 7: Convex Optimizations

Introduction to Machine Learning Lecture 7. Mehryar Mohri Courant Institute and Google Research

Research Article Optimality Conditions and Duality in Nonsmooth Multiobjective Programs

Global Quadratic Minimization over Bivalent Constraints: Necessary and Sufficient Global Optimality Condition

Interior Point Methods. We ll discuss linear programming first, followed by three nonlinear problems. Algorithms for Linear Programming Problems

Convex Optimization and Modeling

Constrained Optimization

THE WEIGHTING METHOD AND MULTIOBJECTIVE PROGRAMMING UNDER NEW CONCEPTS OF GENERALIZED (, )-INVEXITY

LECTURE 12 LECTURE OUTLINE. Subgradients Fenchel inequality Sensitivity in constrained optimization Subdifferential calculus Optimality conditions

Convex Programs. Carlo Tomasi. December 4, 2018

Introduction to Optimization Techniques. Nonlinear Programming

Shiqian Ma, MAT-258A: Numerical Optimization 1. Chapter 4. Subgradient

HIGHER ORDER OPTIMALITY AND DUALITY IN FRACTIONAL VECTOR OPTIMIZATION OVER CONES

Additional Exercises for Introduction to Nonlinear Optimization Amir Beck March 16, 2017

A new ane scaling interior point algorithm for nonlinear optimization subject to linear equality and inequality constraints

Convex Optimization Boyd & Vandenberghe. 5. Duality

Math Camp Lecture 4: Linear Algebra. Xiao Yu Wang. Aug 2010 MIT. Xiao Yu Wang (MIT) Math Camp /10 1 / 88

Centre d Economie de la Sorbonne UMR 8174

UNDERGROUND LECTURE NOTES 1: Optimality Conditions for Constrained Optimization Problems

Motivation. Lecture 2 Topics from Optimization and Duality. network utility maximization (NUM) problem:

2.098/6.255/ Optimization Methods Practice True/False Questions

Duality. Lagrange dual problem weak and strong duality optimality conditions perturbation and sensitivity analysis generalized inequalities

15. Conic optimization

EE/ACM Applications of Convex Optimization in Signal Processing and Communications Lecture 17

Perturbation Analysis of Optimization Problems

Lecture 3. Optimization Problems and Iterative Algorithms

MATHEMATICAL ECONOMICS: OPTIMIZATION. Contents

Generalization to inequality constrained problem. Maximize

The extreme rays of the 5 5 copositive cone

Linear and non-linear programming

Mathematical Economics. Lecture Notes (in extracts)

DUALITY, OPTIMALITY CONDITIONS AND PERTURBATION ANALYSIS

Trust Region Problems with Linear Inequality Constraints: Exact SDP Relaxation, Global Optimality and Robust Optimization

Optimization for Machine Learning

8. Constrained Optimization

1. Introduction and background. Consider the primal-dual linear programs (LPs)

Microeconomics I. September, c Leopold Sögner

Introduction to Nonlinear Stochastic Programming

MATH2070 Optimisation

Algorithms for constrained local optimization

1. Introduction. Consider the following parameterized optimization problem:

Lecture 5. The Dual Cone and Dual Problem

Optimization for Communications and Networks. Poompat Saengudomlert. Session 4 Duality and Lagrange Multipliers

LECTURE 13 LECTURE OUTLINE

Lagrange multipliers. Portfolio optimization. The Lagrange multipliers method for finding constrained extrema of multivariable functions.

Characterizing Robust Solution Sets of Convex Programs under Data Uncertainty

Transcription:

BULL. AUSRAL. MAH. SOC. VOL. 24 (1981), 357-366. 9C3 INVEX FUNCIONS AND CONSRAINED LOCAL MINIMA B.D. CRAVEN If a certain weakening of convexity holds for the objective and all constraint functions in a nonconvex constrained minimization problem, Hanson showed that the Kuhn-ucker necessary conditions are sufficient for a minimum. his property is now generalized to a property, called X-invex, of a vector function in relation to a convex cone K. Necessary conditions and sufficient conditions are obtained for a function / to be X-invex. his leads to a new second order sufficient condition for a constrained minimum. 1. Introduction A real function / : R -* R will be called invex, with respect to H, if for the function n : R" * R n - R*, (1) /(*) - f(u) > f'(umx, u) holds for each x and u in the domain of /. Here f'(u) is the Frechet derivative of / at u. Hanson [5] (see also [6], [7]) introduced this concept, and showed that, if all the functions /. in the (nonconvex) constrained minimization problem, (2) Minimize f n (x) subject to /.(x) 5 (i = 1, 2,..., m), are invex, with respect to the same r, then the Kuhn-ucker conditions Received 27 July 198l. 357

358 B.D. Craven necessary for a global minimum of (2) are also sufficient. In fact, Hanson's proof [5] does not require (l) at all points x and u, since u may be fixed at the point where the Kuhn-ucker conditions hold. Define, therefore, a real function f to be invex in a neighbourhood at u if / satisfies (l) for a given u, and for all x such that x-w is sufficiently small. With this definition, the Kuhn-ucker necessary conditions jecome also sufficient for a local minimum; the proof is the same as Hanson's. Craven [2] has shown that / has the invex property when f = h o, with h convex, <p differentiable, and <f' having full rank. hus some invex functions, at least, may be obtained from convex functions by a suitable transformation of the domain space. Such transformations destroy convexity, but not the invex property; the term invex, from invariant convex, was introduced in [2] to express this fact, (in (l), / is convex if r\(x, u) = x - u.) he requirement that all the functions / in (2) are invex with respect to the same function n, may be expressed by forming a vector /, whose components are /. (i =, 1, 2,..., m), and then requiring that (3) /(*) - /(«) - f'iumx, u) ^ where F + denotes the nonnegative orthant in IK. More generally, let K c R"^ be a convex cone. he vector function f : R n * ff* 1 will be called K-invex, with respect to r, if (k) f{x) - f(u) - f'umx, u) K for all x and u. If u is fixed, and (1*) holds whenever x-w is sufficiently small, then f will be called K-invex, with respect to n,, in a neighbourhood at u. It is noted that, if / is.k-invex in a neighbourhood at u, and if V K* (the dual cone of K, thus v{k) c R + E [, ) ), then V f is invex in a neighbourhood at u, with respect to the same n. In this paper, conditions are obtained necessary, or sufficient, for / to be X-invex with respect to some n. his involves an investigation of appropriate functions n for (U). o motivate the generalization to cones, consider problem (2) generalized to

Constrained local minima 359 (5) Minimize /Q( X ) subject to ~g{x) S, where g(x) = [f^x), f^x),..., f m (x)), and S c ff is a convex cone. he Kuhn-ucker conditions necessary (assuming a constraint qualification) for a minimum of (5) at x = u are that a Lagrange multiplier 9 S* exists, for which (6) f^u) + ev("> = ; Q 9(") = Set X = (1, 9), and K = R + x S*. (if S = K^ then K = R^+1.) hen (6) may be rewritten as (7) \ f'{u) = ; \ f(u) = f Q (u) ; H P. he following converse Kuhn-ucker theorem then holds. HEOREM 1. Let u be feasible for problem (5); let the Kuhn-ucker conditions (7) hold at u } with X = 1 ; let f be K-invex, with respect to some n, in a neighbourhood at u. hen u is a local minimum of (5). Proof. Let x be any feasible point for (5) 5 with x-w sufficiently small. hen f Q (x) - f Q (u) > X /(x) - X f(u) since B g(x) 5 and \ f(u) = f Q (u) > \ f'(u)r\(x, u) by the invex hypothesis = by the Kuhn-ucker conditions. So u is a local minimum for (5). D he result generalizes [7], heorem 2, which applies to polyhedral cones S only. If the problem (5) is not convex, then the hypotheses (and proof) of heorem 1 lead to a local (but not necessarily global) minimum. minimum also follows if / is i/-invex, where U is a convex cone containing K, and X U*. Here the vector function / is less A local restricted than in heorem 1, and the Lagrange multiplier X is more restricted. he problem (2) is equivalent to the transformed problem,

36 B.O. Craven (8) Minimize <(>- o f ( x ) subject to cf>. o f.[x) < (i = 1, 2,..., m), U U Is Is in the sense that both problems (2) and (8) have the same feasible set and the same minimum (local or global), provided that <J> : R -> R is strictly increasing and, for i = 1, 2,..., m, (j).(r + ) c R + and <)>.(-F + ) c -R. ("he 4>., for = 1,2,..., m, may be monotone, but need not be so.) Let F denote the vector whose components are <j>_ /Q, <f>, /,,, $ m f m iie converse Kuhn-ucker property will hold for the original problem (2) if it holds for the transformed problem (8), thus if F is R^ -invex, with respect to some r). Although (8) is not generally a convex problem, a local minimum for (8) at u follows, as in heorem 1; and this implies a local (and hence global) minimum at u for the convex problem (2). 2. Conditions necessary or sufficient for an invex function Assume now that the vector functions / and n are twice continuously differentiable. For fixed u, the aylor expansion of r\(x, u) in terms of v = x - u gives, up to quadratic terms (9) nu, u) = n Q + Av + \v Qy + o[\\v\\ 2 ) (v = x - u), where A is an n x n matrix of first partial derivatives, and V Q m V is a coordinate-free notation (see [3]) for the vector whose kth component is p 3 x\ax,u) ' L ' J ~ 1 % x=u Of course, r\ = r\(u, u), A, and Q t depend on u. If q is a row vector with n components, let qq m denote the matrix Q-, whose elements c.,, are 2, "71.^1- hus q[v Q v) = v [qq ), an ordinary quadratic form. fe=l * *' ij ' ' v Similarly, f has an expansion (11) f(x) - f(u) = Bv + ^y^u + o( u 2 ),

Constrained local minima 36 1 where B = f'(u) is a matrix of first derivatives 3/, (x)/3x., and Let S tie a convex cone in IF<. he quadratic expression V My will be called S-positive semidefinite if v My S for every v Ft. he expression v W.u will be called S-positive definite if V My (. int S for every nonzero v R. Here int S denotes the interior of S, supposed nonempty. Now V Q.V can be expressed, by n rotation of axes, in the form Y. P7 a v > where the p,. i=l ^ ** **- (i = 1, 2,..., n) are the eigenvalues of Q v, and the ex,., depending on u, are nonnegative. For each k, denote by P^ the vector whose components are P-,, Pi,p>..., Pr,. If, for some ordering of the eigenvalues of each Q-., every vector p, lies in S (respectively in int S ), then it follows that v Qy is S-positive semidefinite (respectively S-positive definite). his sufficient condition for S-positive semidefiniteness would be also necessary if the Q-, are simultaneously diagonalizable, but that is not usually the case. It is convenient to say that Q % is S-positive (semi-) definite when v Qy x=u If S is a polyhedral cone, then the dual cone S* has a finite set, G, of generators (considered as row vectors). Since a vector a S if and only if qs > for each q G, it follows that Q is S-positive (semi-) definite if and only if, for each q (. G, qq is positive (semi-) definite in the usual sense. Let r = m + 1. If B is an r x n matrix, define V (BQ^)v for v R as the vector whose feth component is

362 B.D. Craven n r (13) v.c...v. where C,.. = V 5,,6.... Let I denote the n x n identity matrix. Observe that the #-invex property (U) is unaffected by subtracting from n any term in the nullspace of f'(u) = B. HEOREM 2. Let f : itf* -» R r be twice continuously differentiable: let K c IF fce a closed convex cone, satisfying K n (-K) = {}. If f is K-invex in a neighbourhood at u, with respect to a twice continuously differentiable function n, for which n(w, u) =, then, after subtraction of a term in the nullspace of B, r\ has the form (lu) )(u+v, u) = v + \v Qv + o( u 2 ), where M^ - BQ m is K-positive semidefinite. Conversely, if r\ has the form (lu)j and if M t - BQ^ is K-positive definite, then f is K-invex in a neighbourhood at u, with respect to this r\. Proof. Let / be.k-invex with respect to n in a neighbourhood at u. Substituting the expansion (9) into the expansion (ll), and setting r) n =, the inequality (15) [su+ia.u+oomi 2 )] - S&u+^re.u-Kp( u 2 )] K must hold, whenever u is sufficiently small. Considering the terms linear in v, Bv - BAv + o( v ) K for each V F<. Hence, for each q K*, and each v, q[b{i-a)v+o( \\V\\ )) >, hence qb(i-a)v 2. Hence B{I-A)v K n (-K) = {o>. herefore B(I-A) =. But the definition (h) of X-invex allows any term in the nullspace of B to be added to ri. Hence / is also X-invex with respect to r, now modified by replacing A by I. he quadratic terms then require that, for each V, (16) v (M.-BQ.)v + o{\\vf) i K. Hence, for each q K* and each a >, replacing v by O.V, q[v (M m -BQ,)v] + o(a 2 )/a 2 2.

Constrained local minima 363 Hence q [y {M^-BQ t )v\ > for each q K*, hence (17) v (M^-BQ,)v K for each v d R*. hus M # - BQ^ is ^-positive semidefinite. Conversely, assume that M m - BQ m is ^-positive definite. A reversal of the above argument shows that (15), with A = I, is satisfied up to quadratic terms, with K replaced by int K. Here the quadratic terms dominate any higher order terms, so that (15) itself holds, whenever u is sufficiently small. hus (U) follows, and / is K-invex, in a neighbourhood at u, with r given by (lu). O If a nonzero term rl. = (, ) is included in (9), then the.k-invex property for / requires that -#ru X, on setting v =. Suppose that, for the constrained minimization problem (5), the Kuhn-ucker conditions (6) hold at the point u. hen X B =, for some nonzero A K*. Suppose that X int K* (for problem (2), this means that each Lagrange multiplier X. > ). From this, if i- -Br\ d K, there follows rp (see [I], page 31) X Br\ <, contradicting rp X B =. So the assumption that Sn_ = is a relevant one, when the X-invex property is to be applied to Kuhn-ucker conditions and heorem 1. In heorem 2, r\. = was assumed, since a vector in the nullspace of B may be subtracted from n In heorem 2, the sufficient conditions for f to be X-invex involve first and second derivatives of f. Combining this with the sufficient Kuhn-ucker theorem (heorem 1), it has been shown that the Kuhn-ucker conditions are sufficient for a local minimum of a nonconvex problem, if the first and second derivatives of f at the Kuhn-ucker point u are suitably restricted. he Lagrangian / Q ( x ) + ^ g(x) for the problem (5) has X M as its matrix of second derivatives. he second order sufficiency conditions, given by Fiacco and McCormick [4], page 3, require t that (in the present notation) each component of V (X Mjv > for each nonzero u in a certain cone. his is related to, but not the same as,

364 B.D. Craven the hypothesis (from heorem 2) that M # - BQ % is X-positive definite, for some choice of Q t. However, the construction of a suitable Q, given f, is a nontrivial matter, since the eigenvalues of each M, - {BQ % ), matrix are involved. Consider the problem, 3. Examples (18) Minimize = 1* - x to f ± (x) = \ - I S O. his problem has a local minimum at (, l), with Lagrange multiplier 1. he matrices M-^ are then 6 and M = 5 = -2 p -2 X When do symmetric matrices Q Q and exist for which l -2J - - (-, l)q u are both positive semidefinite, or both positive definite? Setting, the two matrices are Using the Routh-Hurwicz criterion, t 12a 23 "I l-2a -2 and 23-2+2YJ _-23 2 ~ 2 U - 1, Y = 1, a(-l+y) - $ 2 >, and (l-a)(2-2y) - semidefinite matrices 1 2 _ and and 1 2 -, are required. Positive are obtained, with a = i, 3 =, Y = l, but positive definite matrices are not possible. hus the necessary conditions of heorem 2, but not the sufficient condition, holds in this instance. R Lo

Constrained local minima 365 For the same problem (l8), the point (-1, 2*) is a saddle point, with Lagrange multiplier 1. Here M = -1-2 2, B = 1-22 -1 22 he matrices to consider are -2 Q Q - and 1 2 and these cannot both be positive definite (or semidefinite), whatever the choice of the matrix Q - 2%Q. So the sufficient condition of heorem 2 does not hold here. References [7] B.D. Craven, Mathematical programming and control theory (Chapman and Hall, London; John Wiley & Sons, New York; 1978). [2] B.D. Craven, "Duality for generalized convex fractional programs", Generalized concavity in optimization and economics (Academic Press, New York, London, to appear). [3] B.D. Craven and B. Mond, "Sufficient Fritz John optimality conditions for nondifferentiable convex programming", J. Austral. Math. Soc. Ser. B 19 (1975/76), 1+62-U68. [4] Anthony V. Fiacco, Garth P. McCormick, Nonlinear programming: sequential unconstrained minimization techniques (John Wiley and Sons, New York, London, Sydney, 1968). [5] Morgan A. Hanson, "On sufficiency of the Kuhn-ucker conditions", J. Math. Anal. Appl. 8 (1981), 5 1 *5-55O. [6] M.A. Hanson and B. Mond, "Further generalizations of convexity in mathematical programming" (Pure Mathematics Research Paper No. 8-6, Department of Mathematics, La robe University, Melbourne, 198). See also: J. Inform. Optim. Sd. (to appear).

366 B.D. Craven [7] B. Mond and M.A. Hanson, "On duality with generalized convexity" (Pure Mathematical Research Paper No. 8-!*, Department of Mathematics, La robe University, Melbourne, 198). Department of Mathematics, University of Melbourne, Parkville, Victoria 352, AustraIia.