Optimization with Equality Constraints

Albert William Tucker (1905-1995) Harold William Kuhn (1925)

Joseph-Louis (Giuseppe Lodovico), comte de 1
Lagrange (1736-1813)
11.1 General Problem
• Now, a constraint is added to the optimization problem:
maxx,y u(x,y) s.t x px + y py = I, where px , py are
exogenous prices and I is exogenous
income.
• Different methods to solve this problem:
– Substitution
– Total differential approach
– Lagrange Multiplier

2
 11.1 Substitution Approach
• Easy to use in simple 2x2 systems. Using the constraint, substitute
into objective function and optimize as usual.
• Example:
U  U ( x1 , x2 )  x1 x2  2 x1 s.t. 60  4 x1  2 x2
1) Solve for x 2
x2  30  2 x1
2) Substituti ng into U(x 1 , x 2 )
U  x1 30  2 x1   2 x1  32 x1  2 x12
3) F.o.c. :
dU dx1  32  4 x1  0;  x1*  8; and x2*  14;
Check s.o.c. :
d 2U dx12  4  0  maximum
4) Calculate maximum Value for U(.) : U *  128 3
 11.2 Total Differential Approach
• Total differentiation of objective function and constraints:

1 - 2) U  f x, y ; s.t. B  g  x, y 
3  4) dU  f x dx  f y dy  0; dB  g x dx  g y dy  0
 f x 0  dx   g x 0  dx 
5  6) dU      ; dB    
 0 f y  dy   0 g y  dy 

7  8) dx dy   f y f x ; dx dy   g y g x
9  10) f y f x  g y g x ; f y g y  fx gx

• Equation (10) along with the restriction (2) form the basis to solve
this optimization problem.
4
11.2 Total Differential Approach
• Example: U=x1x2 + 2x1 s.t. 60=4x1+ 2 x2
Taking first-order differentials of U and budget constraint (B):

dU  x2 dx1  x1dx2  2dx1  0; dB  4dx1  2dx2  0

dx1 dx2   x1 x2  2; dx1 dx2  1 2
 x1 x2  2  1 2  x1  x2  2 2
60  41  1 2 x2   2 x2  x2*  14; x1*  8
U * (8,14)  814  28  128

5
 11.2 Total-differential approach
• Graph for Utility function and budget constraint:

6
 11.3 Lagrange-multiplier Approach
• To avoid working with (possibly) zero denominators, let λ denote
the common value in (10). Rewriting (10) and adding the budget
constraint we are left with a 3x3 system of equations:
10' ) f x  g x
10' ' ) f y  g y
2) B  g ( x, y )
• There is a convenient function that produces (10’), (10’’) and (2) as
a set of f.o.c.: The Lagrangian function, which includes the objective
function and the constraint:
L  f ( x1 , x2 )  λB  g ( x1 , x2 )
• The constraint is multiplied by a variable, λ, called the Lagrange
7
multiplier (LM).
11.3 Lagrange-multiplier Approach
• Once we form the Lagrangian function, the Lagrange function
becomes the new objective function.

(1) L  f ( x1 , x2 )  λB  g ( x1 , x2 )
(2) L  B  g ( x1 , x2 )  0
(3) Lx1  f x1  λg x1  0
(4) Lx2  f x2  λg x 2  0
 Lλλ L λx1 L λx2      B 
    
(5)  Lx1λ Lx1x1 Lx1x 2   x1    0 
 Lx λ Lx 2 x1 Lx 2 x 2   x2   0 
 2
8
11.3 LM Approach
• Note that
Lλ λ = 0
Lλ x1 = gx1
Lλ x2 = gx2
.
• Then
 0 g x1 g x2     B
 
(5)  g x1 Lx1x1 Lx1x 2   x1    0 
gx Lx 2 x1 Lx 2 x 2   x2   0 
 2

• If the constraints are linear, the Hessian of the Lagrangian can be

seen as the Hessian of the original objective function, bordered by
the first derivatives of the constraints. This new Hessian is called
bordered Hessian. 9
11.3 LM Approach: Example

Maximize Utility U  U  x,y where U x , U y  0

Subject to the budget constraint B  xPx  yPy
Z  U  x, y    B  xPx  yPy 
Z     xPx  yPy  0 Z x  U x  Px  0
Ux Uy
Z y  U y  Py  0 ZB    
Px Py
Z  Z x Z y 0  Px  Py
H  Z x Z xx Z xy   Px U xx U xy
Z y Z yx Z yy  Py U yx U yy
 2 Px PyU xy  Py2U xx  Px2U yy
10
11.3 LM Approach: Interpretation
(1) L  L  , x, y; B, Px , Py 
( 2) L  U  x, y    B  xPx  yPy 
L Ux
(3)  U x  Px  0  
x Px
L Uy
( 4)  U y  Py  0  
y Py
L
(5)  B  xPx  yPy  0

From f.o.c.
Ux Uy U * Px U
   ,  x
Px Py B Py Uy

Note: From the f.o.c., at the optimal point:

- λ = marginal utility of good i, scaled by its price.
- Scaled marginal utilities are equal across goods. 11
- The ratio of marginal utilities (MRS) equals relative prices.
11.3 LM Approach: Interpretation
• Now, we total differentiate U(x,y). We’ll get similar results

U  U  x, y 
dU  U x dx  U y dy  0
dy  U x
  marginal rate of substitution (MRS)
dx Uy
Budget constraint and budget line
B  xPx  yPy
B Px dy  Px  U x
y  x,  
Py Py dx Py Uy

Note: Again, at the optimal point, the ratio of marginal utilities

(MRS) is equal to the ratio of prices. 12
11.3 LM Approach: Second-order conditions
•  has no effect on the value of L* because the constraint equals
zero but …
• A new set of second-order conditions are needed
• The constraint changes the criterion for a relative max. or min.

(1) H  ax 2  2hxy  by 2 s.t.  x   y  0

α
(2) y x solve the constraint for y

2
 α   α 
(3) H  ax 2  2hx  x   b  x 
 β   β 
2
x 
( 4)  
H  a 2  2  β h  b 2  
 β
(5) H  0 i a 2  2  β h  b 2  0 13
11.3 LM Approach: Second-order conditions
(1) H  aβ 2  2 α β h  bα 2  0
0  
(2) H  a h  - aβ 2  2 α β h - bα 2
 h b
(3) H is positive definite s.t.  x   y  0
0  
if  a h 0  min
 h b

14
11.3 LM Approach: Example
1 - 2) U  x1 x2  2 x1 s.t. B  60 – 4 x1 – 2 x2  0
Form the Lagrangian function
3) L  x1 x2  2 x1  λ60 – 4 x1 – 2 x2 
FOC
4) Lλ  60 – 4 x1 – 2 x2  0
5  6) Lx1  x2  2  λ4  0;   1 4x2  1 2
7  8) Lx2  x1  λ2  0;   1 2x1
9  10) 1 4x2  1 2  1 2x1 ; x2  2 x1  2
11  12) 60  4 x1  22 x1  2; x1*  8
13  14) 60  48 – 2 x2 ; x2*  14
15  17) U  814  28; U *  128; *  4

15
 11.3 LM Approach: Example - Cramer’s rule

1) U  x1 x2  2 x1 Utility function
2) B  60 – 4 x1 – 2 x2  0 Budget constraint
3) L  x1 x2  2 x1  λ60 – 4 x1 – 2 x2  Lagrangian function
4) Lλ  60 – 4 x1 – 2 x2  0 1st order conditions
5) Lx1  x2  2  λ4  0
6) Lx2  x1  λ2  0
 0 4  2     60
7)  4 0 1   x1     2 ;

 2 1 0   x2   0 
8) H  16  0; d 2 L is negative definite, L* is maximum

16
11.3 LM Approach: Example - Cramer’s rule
0 4 2
9) J  4 0 1  8  8  16
2 1 0
 60  4  2
10 ) J   2 0 1  4  60  64
0 1 0
0  60  2
11) J x1  4 2 1  120  8  128
2 0 0
0  4  60
12 ) J x2   4 0 2  16  240  224
2 1 0
13  15 ) λ *  64 16  4 x1*  128 16  8 x2*  224 16 14
17
16 ) U *
x1* x2*  2 x1*  814  2 8  128
Aturan Cramer

xn = Nilai variabel yang akan dicari

|An| = Determinan matriks A, dengan terlebih dahulu
mengganti kolom ke n dengan elemen-elemen
pada matriks b
|A| = Determinan matriks A
11.3 LM Approach: n-variable case
a) No one - variable test because there must be one more variable than constraint
b) 2  variable test of soc
H2  0 negative definite :( max
H2  0 positive definite :) min
c) 3  variable test of soc
H 2  0, H3  0 negative definite :( max
H 2  0, H3  0 positive definite :) min
d) n  variable case soc, (p. 361)
H 2  0, H 3  0, H 4  0,...(1) n H n  0 negative definite :( max
H 2  0, H 3  0, H 4  0,..., H n  0 positive definite :) min
Where
0 g1 g2 g3 
0 g2  g Z 
g1
H 2   g1 Z12 ;
Z11 Z
Z11 H3   1 ;
g2 Z Z 22 Z 
 g 2 Z 21 Z 22   
 g3 Z Z Z 33  19
11.5 Optimality Conditions – Unconstrained
Case
• Let x* be the point that we think is the minimum for f(x).
• Necessary condition (for optimality):
df(x*) = 0
• A point that satisfies the necessary condition is a stationary
point
– It can be a minimum, maximum, or saddle point

• Q: How do we know that we have a minimum?

• Answer: Sufficiency Condition:
The sufficient conditions for x* to be a strict local minimum
are:
df(x*) = 0
d2f(x*) is positive definite
 11.5 Constrained Case – KKT Conditions

• To proof a claim of optimality in constrained minimization (or

maximization), we have to check the found point (x*) with respect
to the (Karesh) Kuhn Tucker (KKT) conditions.

• Kuhn and Tucker extended the Lagrangian theory to include the

general classical single-objective nonlinear programming problem:

minimize f(x)
Subject to gj(x)  0 for j = 1, 2, ..., J
hk(x) = 0 for k = 1, 2, ..., K
x = (x1, x2, ..., xN)
 11.5 Interior versus Exterior Solutions
• Interior: If no constraints are active and (thus) the solution lies at
the interior of the feasible space, then the necessary condition for
optimality is same as for unconstrained case:
f(x*) = 0 ( difference operator for matrices --“del” )

• Exterior: If solution lies at the exterior, then the condition

f(x*) = 0 does not apply because some constraints will block
movement to this minimum.
– Some constraints will (thus) be active.
• We cannot get any more improvement (in this case) if for x* there
does not exist a vector d that is both a descent direction and a
feasible direction.
– In other words: the possible feasible directions do not intersect
the possible descent directions at all.
 11.5 Mathematical Form
• A vector d that is both descending and feasible cannot exist if
-f =  mi (gi) (with mi  0) for all active constraints iI.
– This can be rewritten as 0 = f +  mi (gi)
– This condition is correct IF feasibility is defined as g(x)  0.
– If feasibility is defined as g(x)  0, then this becomes -f = 
mi (-gi)

• Again, this only applies for the active constraints.

• Usually the inactive constraints are included as well, but the

condition mj gj = 0 (with mj  0) is added for all inactive constraints
jJ.
– This is referred to as the complimentary slackness condition.
– Note that this condition is equivalent to stating that mj = 0 for
inactive constraints -i.e., zero price for non-binding constraints!
• Note that I+J = m, the total number of (inequality) constraints.
11.5 Necessary KKT Conditions
For the problem:
Min f(x)
s.t. g(x)  0
(n variables, m constraints)

The necessary conditions are:

f(x) +  mi gi(x) = 0 (optimality)
gi(x)  0 for i = 1, 2, ..., m (feasibility)
mi gi(x) = 0 for i = 1, 2, ..., m (complementary slackness)
mi  0 for i = 1, 2, ..., m (non-negativity)

Note that the first condition gives n equations.

11.5 Necessary KKT Conditions: General Case
• For general case (n variables, M Inequalities, L equalities):
Min f(x) s.t.
gi(x)  0 for i = 1, 2, ..., M
hj(x) = 0 for J = 1, 2, ..., L

• In all this, the assumption is that gj(x*) for j belonging to active

constraints and hk(x*) for k = 1, ...,K are linearly independent
– This is referred to as constraint qualification

• The necessary conditions are:

f(x) +  mi gi(x) +  j hj(x) = 0 (optimality)
gi(x)  0 for i = 1, 2, ..., M (feasibility)
hj(x) = 0 for j = 1, 2, ..., L (feasibility)
mi gi(x) = 0 for i = 1, 2, ..., M (complementary slackness)
mi  0 for i = 1, 2, ..., M (non-negativity)
(Note: j is unrestricted in sign)
11.5 Necessary KKT Conditions (if g(x)0)
• If the definition of feasibility changes, the optimality and
feasibility conditions change.

• The necessary conditions become:

f(x) -  mi gi(x) +  j hj(x) = 0 (optimality)
gi(x)  0 for i = 1, 2, ..., M (feasibility)
hj(x) = 0 for j = 1, 2, ..., L (feasibility)
mi gi(x) = 0 for i = 1, 2, ..., M (complementary slackness)
mi  0 for i = 1, 2, ..., M (non-negativity)
 11.5 Restating the Optimization Problem
• Kuhn Tucker Optimization Problem: Find vectors x(Nx1), m(1xM)
and  (1xK) that satisfy:
f(x) +  mi gi(x) +  j hj(x) = 0 (optimality)
gi(x)  0 for i = 1, 2, ..., M (feasibility)
hj(x) = 0 for j = 1, 2, ..., L (feasibility)
mi gi(x) = 0 for i = 1, 2, ..., M (complementary
slackness
condition)
mi  0 for i = 1, 2, ..., M (non-negativity)

• If x* is an optimal solution to NLP, then there exists a (m*, *)

such that (x*, m*, *) solves the Kuhn–Tucker problem.
• The above equations not only give the necessary conditions for
optimality, but also provide a way of finding the optimal point.
 11.5 KKT Conditions: Limitations

• Necessity theorem helps identify points that are not optimal. A

point is not optimal if it does not satisfy the Kuhn–Tucker
conditions.

• On the other hand, not all points that satisfy the Kuhn-Tucker
conditions are optimal points.

• The Kuhn–Tucker sufficiency theorem gives conditions under which

a point becomes an optimal solution to a single-objective NLP.
 11.5 KKT Conditions: Sufficiency Condition
• Sufficient conditions that a point x* is a strict local minimum of
the classical single objective NLP problem, where f, gj, and hk are
twice differentiable functions are that
1) The necessary KKT conditions are met.
2) The Hessian matrix 2L(x*) = 2f(x*) + mi2gi(x*) +
j2hj(x*) is positive definite on a subspace of Rn as defined
by the condition:
yT 2L(x*) y  0 is met for every vector y(1xN) satisfying:
gj(x*)y = 0 for j belonging to I1 = { j | gj(x*) = 0, uj* > 0}
(active constraints)
hk(x*)y = 0 for k = 1, ..., K
y0
 KKT Sufficiency Theorem (Special Case)
• Consider the classical single objective NLP problem.
minimize f(x)
Subject to gj(x)  0 for j = 1, 2, ..., J
hk(x) = 0 for k = 1, 2, ..., K
x = (x1, x2, ..., xN)
• Let the objective function f(x) be convex, the inequality
constraints gj(x) be all convex functions for j = 1, ..., J, and the
equality constraints hk(x) for k = 1, ..., K be linear.
• If this is true, then the necessary KKT conditions are also
sufficient.
• Therefore, in this case, if there exists a solution x* that satisfies
the KKT necessary conditions, then x* is an optimal solution to
the NLP problem.
• In fact, it is a global optimum.
 11.5 KKT Conditions: Closing Remarks

• Kuhn-Tucker Conditions are an extension of Lagrangian

function and method.
• They provide powerful means to verify solutions
• But there are limitations…
– Sufficiency conditions are difficult to verify.
– Practical problems do not have required nice properties.
– For example, you will have a problems if you do not know
the explicit constraint equations.
• If you have a multi-objective (lexicographic) formulation, then I
would suggest testing each priority level separately.
 Karush-Kuhn-Tucker conditions
● Combining Lagrange conditions for equality and
inequality constraints yields KKT conditions for general
problem: min f ( x)
x
Lagrangian:
s. t. g ( x)  0
L  f (x)  μT g(x)  λ T h(x)
h ( x)  0
L f g i hi
    mi   i 0 (optimality)
x x x x
and g  0, h  0 (feasibility)
λ  0, μ  0, mi gi  0 (complementarity)
 11.5 KKT Conditions: Example
C   x1  4   x2  4 2x1  3x 2  6; 12 - 3 x1  2 x2  0; x1 , x 2  0
2 2
Minimize s.t.
L  x1  4  x2  4  1 6 - 2x1  3x 2   2  12  3 x1  2 x2 
2 2
Form Lagrangian :
F.o.c. :
1) Lx1  2x1  4   21  32  0;
2) Lx2  2x2  4   31  22  0;
3) Lλ1  6 - 2x1  3x 2  0;
4) Lλ 2  12  3x1  2 x2  0;
Case 1 : Let 2  0, Lλ 2  0 (2nd Constraint inactive) :
From 1) and 2)  1  x1  4  2 3 x2  4;
From 3)  x1  3  3 2 x2 ;
 3  3 2 x 2  4  2 3  x2  4   x2*  5 3 * 6 13
x2*  30 / 39  10 / 13, x1*  24 / 13, 1  28 / 13  0 (Violates KKT conditions )
Case 2 : Let 1  0, Lλ  0 (1st Constraint inactive) :
1

From 1) and 2)  2  2 3x1  4  x2  4  x1  3 2 x2  4  4

From 4)  x1   2 3 x2  4
  2 3 x2  4  3 / 2x2  4  4;  2 3  3 2x2*  6 40

x*  36 13 , x*  84 / 39  28 / 13,   16 / 13  0 (Meets KKT conditions )

11.5 KKT Conditions: Using Cramer’s rule
Assume L λ1  L x1  L x 2  0, L λ 2  0 , therefore x1 , x 2 ,& 1  0, 2  0.
1) Lλ1  6 - 2x1  3x 2  0
2) Lx1  2 x1  8  21  0
3) Lx2  2 x2  8  31  0
Use eq.s (1), (2), & (3) to solve for 1 , x1 , and x 2
 0  2  3  1   6
 2 2 0   x    8 ,
  1   
  3 0 2   x2   8 
6 2 3 0 6 3 0 2 6
J 1  8 2 0 , J x1   2 8 0 , J x2  2 2 8
8 0 2 3 8 2 3 0 8
J   26 , J 1  56 , J x1   48 J x2   20
56 28 48 24 20 10
1     0 x1   0 x2   0
 26 13 26 13 26 13 41
1 , 2 , x1 , x2  do not meet the KKT conditions for a minimum.
 11.5 KKT Conditions: Example
Assume L x1 , L x 2 ,& L 2  0, L 1  0 , therefore x1 , x 2 ,& 2  0, 1  0.
(1) L2  12  3 x1  2 x2  0
(2) Lx1  2 x1  8  32  0
(3) L x 2  2 x 2  8  2 2  0
Use eq.s (1), (2), & (3) to solve for 2 , x1 , and x 2
0 3 2 2  12 12 3 2 0 12 2 0 3 12
3 2 0  x    8 , J  8 2 0 , J  3 8 0 , J  3 2 8
   1    2 x1 x2

2 0 2  x2   8  8 0 2 2 8 2 2 0 8
J   26 , J 2   32 , J x1   56 J x2   72
32 16 56 28 72 36
2   0 x1   0 x2   0
26 13 26 13 26 13
1 , 2 , x1 , x2  meet the KKT conditions for a minimum.
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