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MFCQ gives KKT multipliers at a smooth local minimizer
Statement
For the problem of Inequality constrained programs, tangent cones, constraint qualifications, and KKT, if is a local minimizer and MFCQ holds at , then there exist and such that satisfies the KKT system.
Facts & Assumptions
Given: The program, feasible local minimizer , and MFCQ at .
Under MFCQ, the tangent and linearized cones at are equal (MFCQ identifies the linearized and Bouligand tangent cones).
For a matrix and vector , either has a solution , or there is with and , but not both (Farkas alternative for a finite linear system).
Proof
Every satisfies . For this is immediate. Otherwise take a defining sequence , with and . For large , local minimality gives . Differentiability gives ; divide by and pass to the limit.
By [F1] and step 1.1, for every . Form a matrix with columns for each equality and for each active inequality, and set . If alternative 1 of [F2] failed, alternative 2 would give and . The paired equality columns force , while the inequality columns force for every active , so , contradicting step 1.1. Thus there are nonnegative coefficients representing as a combination of the columns of .
Write the equality-column coefficients as and the active inequality coefficients as . The representation from step 2.1 is . Set and set for inactive . Then stationarity holds. Feasibility holds because ; dual feasibility holds by construction; and complementarity holds because active constraints vanish while inactive multipliers are zero. These are exactly the KKT conditions.
Depends on
Used by
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Sources
- Nocedal and Wright, Numerical Optimization, second edition (standard reference, not scraped)
- Boyd and Vandenberghe, Convex Optimization (standard reference, not scraped)