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3 Problem Under Consideration min f(x) s.t.g i (x) = 0 for i = 1, …, m, (which can be put as g(x) = 0) x S n
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OR IIOR IIGSLM 52800GSLM 52800
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OutlineOutline equality constraint
tangent plane regular point FONC SONC SOSC
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Problem Under ConsiderationProblem Under Consideration min f(x) s.t. gi(x) = 0 for i = 1, …, m, (which can be put as g(x)
= 0)
x S n
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Equality Constraint, Tangent Plane, Equality Constraint, Tangent Plane, and Gradient at a Pointand Gradient at a Point
g(x) = 0
x*
Tg(x*)
any vector on the tangent plan of point x* is orthogonal to Tg(x*)
y1
y2
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Regular PointRegular Point the collection of constraints
g1(x) = 0, …, gm(x) = 0
x0 is a regular point if g1(x0), …, gm(x0) are linearly independent
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Lemma 4.1 x* be a local optimal point of f and a regular
point with respect to the equality constraints g(x) = 0
any y satisfying Tg(x*)y = 0 Tf(x*)y = 0 y on tangent planes of g1(x*), …, gm(x*)
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Interpretation of Lemma 4.1Interpretation of Lemma 4.1
g1(x) = 0
g2(x) = 0
Tg2(x*)
x*
Tg1(x*)
What happens if Tf is not orthogonal to the tangent plane?
Tf(x*)
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FONC for Equality ConstraintsFONC for Equality Constraints(for max & min)(for max & min)
(i) x* a local optimum (ii) objective function f (iii) equality constraints g(x) = 0 (iv) x* a regular point then there exists m for
(v) f(x*) + Tg(x*) = 0
(v) + g(x*) = 0 FONC
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FONC for Equality Constraints in FONC for Equality Constraints in Terms of Lagrangian FunctionTerms of Lagrangian Function
(for max & min)(for max & min)
1( , ) ( ) ( )
mi i
iL f g
x x x
1
( )( ) 0, 1,...,m i
iij j j
gL f j nx x x
xx
( ) 0, 1,...,ii
L g i m
x
The FONC can be expressed as: The FONC can be expressed as:
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Example 4.1Example 4.1 min 3min 3xx+4+4yy, , ss..tt.. gg11((xx, , yy) ) xx22 + + yy22 – 4 = 0, – 4 = 0,
gg22((xx, , yy) ) ( (xx+1)+1)22 + + yy22 – 9 = 0. – 9 = 0.
Check the FONC for candidates of local Check the FONC for candidates of local minimumminimum
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Algebraic Form of Tangent Plane Algebraic Form of Tangent Plane M: the tangent plane of the constraints M = {y| Tg(x*)y = 0}
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Hessian of the Lagrangian Function Hessian of the Lagrangian Function
Lagrangian functionLagrangian function
1( , ) ( ) ( )
mi i
iL f g
x x x
gradient of gradient of LL LL ff (x (x**) + ) + TTgg (x (x**))
Hessian of Hessian of LL L(xL(x**)) F(xF(x**) + ) + TTGG(x(x**))
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SONC for Equality ConstraintsSONC for Equality Constraints (i) x* a local optimum (ii) objective function f (iii) equality constraints g(x) = 0 (iv) x* a regular point SONC
= FONC (f(x*)+Tg(x*) = 0 and g(x*) = 0)
+ L(x*) is positive semi-definite on M
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SOSC for Equality ConstraintsSOSC for Equality Constraints (i) x* a regular point (ii) g(x*) = 0 (iii) f(x*) + Tg(x*) = 0 for some m
(iv) L(x*) = F(x*) + TG(x*) (+)ve def on M then x* being a strict local min
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Examples Examples
Examples 4.2 to 4.6
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