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LICQ implies MFCQ and makes KKT multipliers unique

Statement

For the C2 program of Inequality constrained programs, tangent cones, constraint qualifications, and KKT, LICQ at a feasible point x implies MFCQ there. If x is a local minimizer, its KKT multipliers exist and are unique.

Facts & Assumptions

Given: The program, feasible point x, and LICQ at x.

[F1]

LICQ means that the equality-gradient rows and active inequality-gradient rows together are linearly independent (Inequality constrained programs, tangent cones, constraint qualifications, and KKT).

[F2]

At a local minimizer satisfying MFCQ, KKT multipliers exist (MFCQ gives KKT multipliers at a smooth local minimizer).

Proof

1.1F1givenconstructalgebra

Put the equality-gradient rows and all active inequality-gradient rows into a matrix M. By [F1], its rows are independent. If M has no rows, take w=0. Otherwise MMT is invertible: for nonzero η, ηTMMTη=∥MTη∥22>0 by row independence. For the target vector r whose equality entries are 0 and whose active inequality entries are −1, set w=MT(MMT)−1r. Then Mw=r, so Dh(x)w=0 and Dgi(x)w=−1<0 for every active i. This is MFCQ.

2.1F2step 1.1given

If x is a local minimizer, [F2] now supplies at least one KKT pair (ν,λ).

3.1F1step 2.1algebra∎

Suppose (ν,λ) and (ν^,λ^) are two KKT pairs at x. Complementarity and strict negativity of each inactive gi(x) force both corresponding multipliers to be 0. Subtracting the two stationarity equations leaves a linear combination of the equality gradients and active inequality gradients equal to 0. LICQ makes every coefficient zero, hence ν=ν^ and λ=λ^.

Depends on

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