Beruflich Dokumente
Kultur Dokumente
Assignment On
Non-Linear Optimization
Using
KKT
By:
Ashwin Kumar Venkatesan
Optimization
Assignment 2
Problem Statement:
𝑓 𝑥 = −𝑥1 → 𝑚𝑖𝑛𝑖𝑚𝑢𝑚
𝑔1 𝑥 = 𝑥12 + 𝑥2 − 1 ≤ 0
𝑔2 𝑥 = 𝑥12 − 𝑥2 − 1 ≤ 0
a)
𝑥2 = −𝑥12 + 1
𝑥2 = 𝑥12 + 1
c)
𝑓 + 𝛽1 ∇𝑔1 + 𝛽2 ∇𝑔2 = 0
With Respect to x1
−1 + 𝛽1 ∗ 2𝑥1 + 𝛽2 ∗ 2𝑥1 = 0
𝛽1 𝑥1 + 𝛽2 𝑥1 = 1/2 … … … … … … … … … … (1)
with Respect to x2
𝛽1 − 𝛽2 = 0 => 𝛽1 = 𝛽2 … … … … … … . (2)
𝛽1 ∗ 𝑔1 𝑥1 , 𝑥2 = 0 … … … … … … … … … (3)
𝛽2 ∗ 𝑔2 𝑥1 , 𝑥2 = 0 … … … … … … … . . … (4)
1) 𝛽1 = 𝛽2 = 0 𝑎𝑛𝑑 𝑔1 , 𝑔2 > 0
2) 𝛽1 = 0; 𝛽2 , 𝑔1 > 0
3) 𝛽2 = 0; 𝛽1 , 𝑔2 > 0
4) 𝛽1 , 𝛽2 > 0 𝑎𝑛𝑑 𝑔1 = 𝑔2 = 0
CASE 1:
1) 𝛽1 = 𝛽2 = 0 𝑎𝑛𝑑 𝑔1 , 𝑔2 > 0
eq(1)=>0=1
eq(2)=>0=0
eq(3)=>No solution
eq(4)=>No solution
CASE 2:
2) 𝛽1 = 0; 𝛽2 , 𝑔1 > 0
Cannot happen
CASE 3:
3) 𝛽2 = 0; 𝛽1 , 𝑔2 > 0
Cannot happen
CASE 4:
4) 𝛽1 , 𝛽2 > 0 𝑎𝑛𝑑 𝑔1 = 𝑔2 = 0
𝐹𝑜𝑟 𝑥1 = ±1 => 𝑥2 = 0
1
(5)=> 2𝛽1 𝑥1 = 1 => 𝛽1 =
4𝑥 1
(6)=> 𝛽1 = 𝛽2 = ±0.25
KKT method:
𝑓 + 𝛽1 ∇𝑔1 + 𝛽2 ∇𝑔2 = 0
𝛽1 ∗ 𝑔1 𝑥1 , 𝑥2 = 0
𝛽2 ∗ 𝑔2 𝑥1 , 𝑥2 = 0
To prove convexity we find the Hessian matrix. In the above problem the hessian
matrix of f is positive definite, g1 is either positive definite but g2 is negative
definite.
Since
2 0 0 0 −2 0
𝑓= ; 𝑔1 ; 𝑔2 = => −𝑣𝑒 𝑑𝑒𝑓𝑖𝑛𝑖𝑡𝑒
0 2 0 0 0 −2