Given a convex optimization problem with objective f0. x is optimal iff it is feasible and
∇f0(x)T(y−x)≥0for all feasible y
Unconstrained problem: x is optimal iff
x∈dom f0,∇f0(x)=0
Equality constrained problem:
minimize f0(x) subject to Ax=b
x is optimal iff there exists a ν such that
x∈dom f0,Ax=b,∇f0(x)+ATν=0
Note: Lagrange multiplier optimality condition.
Minimization over nonnegative orthant
minimize f0(x) subject to x⪰0
x is optimal iff
x∈dom f0,x⪰0,{∇f0(x)i≥0,xi=0∇f0(x)i=0,xi≥0
Note: The last condition is a complementarity condition.
No comments:
Post a Comment