[go: up one dir, main page]
Scribd
Upload
22 views2 pages

Problem Set 3

The document presents a problem set focused on optimization problems, including the application of KKT conditions, second-order sufficient conditions, and local minimization techniques. It covers various scenarios, such as linear programming, inequality constraints, and the use of the KKT theorem to analyze solutions. Each problem requires finding critical points, verifying conditions, and determining the nature of solutions in the context of optimization theory.

Uploaded by

d04.taniya
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
22 views2 pages

Problem Set 3

The document presents a problem set focused on optimization problems, including the application of KKT conditions, second-order sufficient conditions, and local minimization techniques. It covers various scenarios, such as linear programming, inequality constraints, and the use of the KKT theorem to analyze solutions. Each problem requires finding critical points, verifying conditions, and determining the nature of solutions in the context of optimization theory.

Uploaded by

d04.taniya
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 2

Problem Set 3

1. Consider the optimization problem


minimize 𝑥12 + 4𝑥22
subject to 𝑥12 + 2𝑥22 ≥ 4.
a. Find all the points that satisfy the KKT conditions.
b. Apply the SOSC to determine the nature of the critical points from the previous
part.

2. Find local minimizers for 𝑥12 + 𝑥22 subject to 𝑥12 + 2𝑥1 𝑥2 + 𝑥22 = 1, 𝑥12 − 𝑥2 ≤ 0.

3. Consider the problem


minimize 𝒄𝑇 𝒙
subject to 𝑨𝒙 ≤ 𝟎,
𝑚×𝑛
where 𝑨 𝜖 ℝ , 𝑚 < 𝑛, is of full rank. Use the KKT theorem to show that if there
exists a solution, then the optimal objective function value is 0.

4. Consider a linear programming problem in standard form


a. Write down the Karush-Kuhn-Tucker conditions for the problem.
b. Use part a to show that if there exists an optimal feasible solution to the linear
program, then there exists a feasible solution to the corresponding dual problem that
achieves an objective function value that is the same as the optimal value of the
primal.
c. Use parts a and b to prove that if 𝒙∗ is an optimal feasible solution of the primal,
then there exists a feasible solution 𝝀∗ to the dual such that (𝒄𝑇 − 𝝀∗ T𝑨) 𝒙∗ = 0.

5. Solve the following optimization problem using the second-order sufficient


conditions:
minimize 𝑥12 + 𝑥22
subject to 𝑥1 − 𝑥22 − 4 ≥ 0
𝑥1 − 10 ≤ 0.

6. Consider the following optimization problem with an inequality constraint:


minimize 3𝑥1
subject to 𝑥12 + 𝑥22 ≥ 2.
a. Does the point 𝒙∗ = [2,0]T satisfy the KKT (first-order necessary) condition?
b. Does the point 𝒙∗ = [2,0]T satisfy the second-order necessary condition (for
problems with inequality constraints)?
c. Is the point 𝒙∗ = [2,0]T a local minimizer?
7. Let g : ℝ𝑛 → ℝ and 𝑥0 ∈ ℝ𝑛 be given, where g(𝑥0 ) > 0. Consider the problem
1
minimize ‖𝑥 − 𝑥0 ‖2
2
subject to g(𝑥) ≤ 0.
Suppose 𝑥 is a solution to the problem, and g ∈ 𝐶 1 . Use the KKT theorem to
*

decide which of the following equations/inequalities hold:


i) g(𝑥*) < 0
ii) g(𝑥*) = 0
iii) (𝑥* − 𝑥0 )T 𝛻g(𝑥*) < 0.
iv) (𝑥* − 𝑥0 )T 𝛻g(𝑥*) = 0.
v) (𝑥* − 𝑥0 )T 𝛻g(𝑥*) > 0.

You might also like