Necessary and sufficient KKT optimality conditions in non-convex optimization (Q2361126)
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English | Necessary and sufficient KKT optimality conditions in non-convex optimization |
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Necessary and sufficient KKT optimality conditions in non-convex optimization (English)
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29 June 2017
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The author provides necessary and sufficient Karush-Kuhn-Tucker (KKT) optimality conditions for the non-convex optimization problem: \[ \min_x\{f(x): g_j(x)\leq 0, \,j=1,2,\dots, m\},\quad x\in \mathbb{R}^n, \] where \(f,g_j:\mathbb{R}^n\to \mathbb{R}\), \(j=1,2,\dots, m\). The author proves that if Slater's condition and a non-degeneracy assumption are satisfied together with a suitable condition of the feasible set, then, without any convexity of the functions involved as well of the feasible set, the KKT optimality conditions are necessary. Furthermore, the non-trivial KKT optimality conditions are globally sufficient for the point \(x\) to be a global minimizer, provided that the strict level set \(L^<_f(x)\) of the objective function is convex. In particular, if \(L_f(x)\) is strictly convex at \(x\), then \(x\) is a strict global minimizer for the optimization problem.
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convex optimization
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Slater's condition
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level set
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Karush-Kuhn-Tucker optimality conditions
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