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MFCQ gives KKT multipliers at a smooth local minimizer

Statement

For the C2 problem of Inequality constrained programs, tangent cones, constraint qualifications, and KKT, if x∗ is a local minimizer and MFCQ holds at x∗, then there exist ν∈Rp and λ∈R+m such that (x∗,ν,λ) satisfies the KKT system.

Facts & Assumptions

Given: The program, feasible local minimizer x∗, and MFCQ at x∗.

[F1]

Under MFCQ, the tangent and linearized cones at x∗ are equal (MFCQ identifies the linearized and Bouligand tangent cones).

[F2]

For a matrix B and vector c, either Bz=c has a solution z≥0, or there is d with BTd≥0 and cTd<0, but not both (Farkas alternative for a finite linear system).

Proof

1.1givenalgebra

Every d∈TC(x∗) satisfies ∇f(x∗)Td≥0. For d=0 this is immediate. Otherwise take a defining sequence x∗+tkdk∈C, with tk↓0 and dk→d. For large k, local minimality gives f(x∗+tkdk)−f(x∗)≥0. Differentiability gives f(x∗+tkdk)−f(x∗)=tk∇f(x∗)Tdk+o(tk); divide by tk and pass to the limit.

2.1F1F2step 1.1construct

By [F1] and step 1.1, ∇f(x∗)Td≥0 for every d∈LC(x∗). Form a matrix B with columns ∇hj(x∗),−∇hj(x∗) for each equality and −∇gi(x∗) for each active inequality, and set c=∇f(x∗). If alternative 1 of [F2] failed, alternative 2 would give BTd≥0 and cTd<0. The paired equality columns force Dh(x∗)d=0, while the inequality columns force Dgi(x∗)d≤0 for every active i, so d∈LC(x∗), contradicting step 1.1. Thus there are nonnegative coefficients representing c as a combination of the columns of B.

3.1step 2.1givenalgebra∎

Write the equality-column coefficients as αj,βj≥0 and the active inequality coefficients as λi≥0. The representation from step 2.1 is ∇f(x∗)=Dh(x∗)T(α−β)−DgI(x∗)(x∗)TλI. Set ν=−(α−β) and set λi=0 for inactive i. Then stationarity holds. Feasibility holds because x∗∈C; dual feasibility holds by construction; and complementarity holds because active constraints vanish while inactive multipliers are zero. These are exactly the KKT conditions.

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