‘This imples weo Qe+ 20+ 22 = 0 dy 204 4uy = 0 wz? +2y7-5) = 0 It is easy to chek that when = 0 we get x= —A and y = A/2. Substituting the value of x and y in 2x — 2y— 10 we get 4— 1/3. This gives a solution 1/6 One can easily show that js 0 does not satisfy the Kubn-Tucker conditions. ‘Phe KKT condition for the problem, max f(x) subjected to h(x) = 0 and g(z) <0 6) are given by 1 we 20; = Dfle") + NT Dba) + pT Dol 3. wale" 4, A(z") = 0; 5. g(x) <0; Equivalently, by changing signs for X* and p*, we get 1 wt <0; 2. Df(x*) + MT D(x") + wT Dglx*) = 0; 3. wT y(x*) = 0: 4. hat) = 0; 5. g(x) <0; ‘The KKT condition for the problem min f(z) subjected to h(x) = 0 and g(x) > 0 6) is given by 1 wt <0; 2. Df(a") + NT Dh(a") + wT ala") = 6, 3. wT 9(2") 4. A(z") = 0; 5. gz) 20; Bxercise 3. Minimize 2? + y? subjected to 2y ~2—2<0, 2? ~y—4 <0 using KKT. Exercise 4. Minimize —1— 2x ~ Ary subjected to x +4ry <4, x,y > 0 using KKT,Exercise 5. Mazimize 821 +422 + 2122-2] -23 subjected to 22 4 Sz < 24, 52y 4 Izy < 24 zp > 5 using KKT, Exercise 6. Minimize (1 — 1)? + (x2 — 5)? subjected to -2} + 22 < 4,—(z1 ~ 2)? +22 <3 using KKT. Exercise 7. optimize 22-42} — 22 — 10x, +26 subjected to $2 — 23 <0 Sz; + dep <5 using KKT, Exercise 8. optimize x24 6x, = 4s, ~ 222 subjected to xf + 227 <1, 2x; +222 <1 using KKT. Exercise 9, Minimize xf | 23 subjected to 21 — x} —4 > 0 x, — 102) <0 using KKT, Exercise 10, Minimize 2} +23 + x22 ~ 321 subjected to 21 > 0,22 > 0 using KKT. Second-order Necessary Conditions Define L(@, Asp) = Fle) + [AH] = [aC] where F(z) is the hessian of f at =, aa] DHha(2) +o + Mow) where Hy is the hessian of hy at 2 AG] = Gale) +--+ HeGo(2) where Gis the hessian of gp at 2. We define the tangent space to the surface defined by active constraints T(z") = {y eR": Dh(x")y = 0, Dys(2" Wy = 0,5 € He")} ‘Theorem 11 (Second-order Necessary Conditions). Let f: RB" > R,g: RY — R?,h: RX 9 R™ be Junctions having continous second partial derivatives. Let 2" be reqular point and @ solution of Eqn. 1. Then there exist * = (Az,..-,Am) © R” and p* = (141,..., Hy) © RP such that following conditions are satisfied: Lye 2. Df(z) + MT D(x") + we? Dalz") 3. ph? g(x*) 4. For all y © T(x*), y7L(x*, A*, w*)y > 0. Second-order Sufficient Conditions Let us consider I(x, n°) := {i gz") = 0,4" > 0}. It is easy to see that I(x") ¢ I(x"). We define T(2*, u*) = {y © R™ : Do(x")y = 0, Do.(2*)y = 0,4 € H(a*,u*)). Since Ia", u*) © I(x"), wwe have T(z") ¢ P(e", n) ‘Theorem 12 (Second-order Sufficient Conditions). Suppose fC R® +R, gC R™ + RP and J CR" + R™ be function having countinous second oprder partial derivatives. Let x" be a feasible point and © R™ and p* © RP such that 1p 20 2. Df(x*) +7 Dalz") + pt? Dal x 3. pT g(x") = 0 4. For all y T(z", 2"), v £0, we have y? E(x", A, py > 0 ‘Then x* is strict local minimizer of f subjected to h(z) = 0 and g(x) <0.Formulate the second oder sufficient condition for a strict local maximizer Example 13. Let us consider the example 2 We have obtained a condidate for optimizer 2* = (1/3, 1/6), and A* = 1/3, x" = 0. Note that, since j* — 0, the active constraint, 9(2*) ~ 0 does not enter the component of P(x*,p°) and that T(2*) — {0} Pla, w°) = (ya) (2,2) yi a)” = 0} = {(a,a)? sa cB} 20 “6 ) k*) on P(x" p*). Note that L(x", A*,p") is 76) isa local miniaizer bet, a" = Fa") + H(2) + Ele Let us check positive definiteness of L(x", A* positive definite everywhere. Henee 2* = (1/3, Example 14. A manufacturing company producing small refrigerators has entered into a contract, to supply 60 reffigerators at end of the next three months. The cost of produing 2 refrigerators in any month is $(2? + 1000). The firm can produce more refrigerators in any month and carry thom to subsequent month. However, it costs $20 per unit for any refrigerator carried over from ‘one month to the next. Assuming that no initial inventory, determine the number of refrigerators to be produced in cach moth to minimize the total cost. Lat 21,22,23 be nummer of refrigerators produdee in the first, second and third month respec tively. The total cost is S(zi,2%3) = (xf +1000) + (23 + 1000) + (23 + 1000) + 20(21 — 50) + 20(x1 + — 100) = chard ch + d0z, +202, ‘The contraints are aay tars) = 2,500 a(z1s22,%5) = m1 +22-100>0 (1.22.23) m1 +22 +23 ~ 15020 Using appropriate KKT conditions, there exists, gz, 12, 5 such that 1. pr S04 0,pn $0 2. 2x, 440-4) = pa + Ha =O 3. 2g +204 pz ~ py =0 4 Pry +s = 0 5. wales — 50) 6. ali +22 — 100) 7. ps(ar + 22+ 25150) =0 We can solve the above equation from 1 to 7 by taking different cases. One can obtain after dealing with quite a few cases, that the only solution to the above problem is, 2 = 50,22 = 50,25 = 50, 41 = —20, 2 = —20, 4 20 0 Since L(z,y")= [0 2 0}, 00 2, —100. (50,50, 50) is a local mimimizer