Solutions to exercises on optimization problems with inequality constraints Page 1 of 2

7.3 Solutions to exercises on optimization problems

with inequality constraints
1. The Kuhn-Tucker conditions are necessary and sufficient because f is concave, each gj is
convex, and there exists a point x such that gj(x) < cj for each j (for example, (1/4, 1/4)).

The Kuhn-Tucker conditions are

1 − 2λ1x + λ2 = 0
a − 2λ1y + λ2 = 0
λ1 ≥ 0, x2 + y2 ≤ 1, and λ1(x2 + y2 − 1) = 0
λ2 ≥ 0, x + y ≥ 0, and λ2(x + y) = 0

From the first condition, we have λ1 > 0 (otherwise λ2 = −1). Thus x2 + y2 = 1. Now
consider the two cases for the value of λ2.

If λ2 = 0, we have x = 1/(2λ1) and y = a/(2λ1) from the first two conditions, so that λ1 =
(1/2)√(1 + a2) (using x2 + y2 = 1). Thus (x, y) = (1/√(1 + a2), a/√(1 + a2)). For this pair to
satisfy the constraint x + y ≥ 0 we need a ≥ −1.

If λ2 > 0, we have x + y = 0, so that from x2 + y2 = 1 we have (x, y) = (1/√2, −1/√2) or

(x, y) = (−1/√2, 1/√2). From the first two Kuhn-Tucker conditions we have λ1 = (1 − a)/(2
(x − y)). Thus for (x, y) = (1/√2, −1/√2) we have λ1 = (1 − a)√2/4 and hence λ2 = −(1 +
a)/2, which are both nonnegative if and only if a ≤ −1. For (x, y) = (−1/√2, 1/√2) we have
λ1 = −(1 − a)√2/4 and hence λ2 = −(1 + a)/2, which are not both nonnegative for any
value of a.

We conclude that if a ≥ −1 the solution of the problem is (1/√(1 + a2), a/√(1 + a2)), with
λ1 = (1/2)√(1 + a2) and λ2 = 0, and if a < −1 the solution is (1/√2, −1/√2), with λ1 = (1 − a)
√2/4 and λ2 = −(1 + a)/2.

2.
a. Yes: since each gj is concave.
b. Yes, since f is concave and each gj is convex.
c. The Kuhn-Tucker conditions are

−2x1 − x2 − λ1 − 2λ2 = 0
−x1 − 2x2 + 2λ1 − λ2 = 0
λ1 ≥ 0, x1 − 2x2 ≤ −1, and λ1(x1 − 2x2 + 1) = 0
λ2 ≥ 0, 2x1 + x2 ≤ 2, and λ2(2x1 + x2 − 2) = 0

http://www.chass.utoronto.ca/~osborne/MathTutorial/KTSX1S.HTM 27.12.2005
Solutions to exercises on optimization problems with inequality constraints Page 2 of 2

Consider the possible cases in turn:

λ1 = λ2 = 0: From the first two equations we have x1 = x2 = 0, which violates the

first constraint.

λ1 > 0 and λ2 > 0, so that x1 − 2x2 = −1 and 2x1 + x2 = 2: We have x1 = 3/5 and x2 =
4/5, which do not satisfy the first first-order condition.

λ1 > 0 and λ2 = 0: Since λ1 > 0 we have x1 = 2x2 − 1; from the first-order conditions
we have x1 = −4/14, x2 = 5/14, and λ1 = 3/14. Since λ1 ≥ 0, a solution of the problem
is (x1, x2) = (−4/14, 5/14).

λ1 = 0 and λ2 > 0: Since λ2 > 0 we have x2 = 2 − 2x1; from the first-order conditions
we have x1 = 1, x2 = 0, and λ2 = −1. Since λ2 < 0, this case does not yield a solution.

Thus unique solution to the problem is (x1, x2) = (−4/14, 5/14).

http://www.chass.utoronto.ca/~osborne/MathTutorial/KTSX1S.HTM 27.12.2005