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    (I) Equality-Constrained QP's

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    Jose Luis Giri
    (i) The document discusses equality-constrained quadratic programs (QPs) which can be written as a minimization problem with a quadratic objective function subject to linear equality constraints. The KKT conditions for a solution involve solving a linear system (the KKT matrix) which is guaranteed to have a unique solution since the matrix is nonsingular under standard assumptions. (ii) Inequality-constrained QPs are then discussed. The KKT conditions involve active inequality constraints that are satisfied at equality. Eliminating inactive constraints results in a problem equivalent to an equality-constrained QP.

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    © All Rights Reserved
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    (I) Equality-Constrained QP's

    Uploaded by

    Jose Luis Giri
    16 views5 pages
    (i) The document discusses equality-constrained quadratic programs (QPs) which can be written as a minimization problem with a quadratic objective function subject to linear equality constraints. The KKT conditions for a solution involve solving a linear system (the KKT matrix) which is guaranteed to have a unique solution since the matrix is nonsingular under standard assumptions. (ii) Inequality-constrained QPs are then discussed. The KKT conditions involve active inequality constraints that are satisfied at equality. Eliminating inactive constraints results in a problem equivalent to an equality-constrained QP.

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    QP

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    (i) The document discusses equality-constrained quadratic programs (QPs) which can be written as a minimization problem with a quadratic objective function subject to linear equality constraints. The KKT conditions for a solution involve solving a linear system (the KKT matrix) which is guaranteed to have a unique solution since the matrix is nonsingular under standard assumptions. (ii) Inequality-constrained QPs are then discussed. The KKT conditions involve active inequality constraints that are satisfied at equality. Eliminating inactive constraints results in a problem equivalent to an equality-constrained QP.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    16 views5 pages

    (I) Equality-Constrained QP's

    Uploaded by

    Jose Luis Giri
    (i) The document discusses equality-constrained quadratic programs (QPs) which can be written as a minimization problem with a quadratic objective function subject to linear equality constraints. The KKT conditions for a solution involve solving a linear system (the KKT matrix) which is guaranteed to have a unique solution since the matrix is nonsingular under standard assumptions. (ii) Inequality-constrained QPs are then discussed. The KKT conditions involve active inequality constraints that are satisfied at equality. Eliminating inactive constraints results in a problem equivalent to an equality-constrained QP.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 5

    Quadratic Programs

    (i) Equality-constrained QP’s


    1 T
    min x Qx − c T x subject to
    x∈Rn 2
    aiT x = bi i = 1, . . . , m
    or
    1
    minn x T Qx − c T x subject to
    x∈R 2
    Ax = b
     T
    a1
     .. 
    where Q is symmetric, m < n and A =  . . The Lagrangian is
    T
    am
    m
    1 X
    L (x, λ) = x T Qx − c T x − λi (aiT x − bi )
    2
    i=1
    1
    = x T Qx − c T x − λT (Ax − b)
    2
    October 5, 2007 (1 : 5)
    Quadratic Programs

    KKT-point ∇x L (x ∗ , λ∗ ) = 0 yields the linear system


    Qx ∗ − AT λ∗ = c
    Ax ∗ = b
    or
    Q −AT x∗
        
    c
    =
    A 0 λ∗ b
    where
    Q −AT
     
    K=
    A 0
    is called a KKT matrix. Write the constraint −Ax = −b, substitute
    B = −A. Then, the KKT matrix becomes symmetric:
      ∗  
    Q BT
    
    x c
    =
    B 0 λ∗ −b

    October 5, 2007 (2 : 5)
    Quadratic Programs

    Assumptions:
    I A has linearly independent rows.
    I Q is positive definite in the null space of A. (That is, x T Qx > 0 for
    all x 6= 0 such that Ax = 0).

    Then holds:

    Theorem
    Matrix K is nonsingular.
    Theorem
    The solution x ∗ of the KKT system is the unique global solution of the
    equality-constrained QP.

    I The equality-constrained QP is a convex problem under the above


    assumptions.
    I Note: matrix K is indefinite.
    I Thus, solving a convex equality-constraint QP is “easy”
    I Equivalent to solving a linear system (the KKT system)
    October 5, 2007 (3 : 5)
    Quadratic Programs

    (ii) Inequality-constrained QP’s

    1
    minn x T Qx − c T x subject to
    x∈R 2
    Ax ≥ b
    Lagrangian: L (x, λ) = 21 x T Qx − c T x − λT (Ax − b)
    KKT conditions:
    Qx ∗ − AT λ∗ = c
    λ∗ ≥ 0
    Ax ∗ ≥ b
    λ∗i (aiT x ∗ − bi ) = 0 i = 1, . . . , m
    Define the active set n o
    A= i | aiT x ∗ = bi
    Note that λ∗i = 0 for i 6∈ A

    October 5, 2007 (4 : 5)
    Quadratic Programs

    I We may delete all inactive inequality constraints and corresponding


    zero Lagrange multipliers
    I Let Ā be A with all rows for i 6∈ A deleted
    I Let b̄ be b with all rows for i 6∈ A deleted
    I Let λ̄∗ be λ∗ with all components for i 6∈ A deleted.
    Then the KKT conditions simplify to
    Qx ∗ − ĀT λ̄∗ = c
    Āx ∗ = b̄
    i. e. the KKT conditions for a QP with equality constraints
    Note: The above form assume that A is known (which it generally not is!)

    October 5, 2007 (5 : 5)

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