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Tuesday, September 22, 2015

Notes on optimization problem

Optimality criterion for differentiable f0
Given a convex optimization problem with objective f0.  x is optimal iff it is feasible and
f0(x)T(yx)0for all feasible y

if f0(x)0, it means that f0(x) defines a supporting hyperplane to the feasible set at x.

Unconstrained problem: x is optimal iff
xdom f0,f0(x)=0
Equality constrained problem:
minimize f0(x) subject to Ax=b
x is optimal iff there exists a ν such that
xdom f0,Ax=b,f0(x)+ATν=0
Note: Lagrange multiplier optimality condition.

Minimization over nonnegative orthant
minimize f0(x) subject to x0
x is optimal iff
xdom f0,x0,{f0(x)i0,xi=0f0(x)i=0,xi0
Note: The last condition is a complementarity condition.


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