April 2015
Intermediate to advanced
1062 pages
40h 35m
English
Chapter Outline
C.1 Equality Constraints 1023
C.2 Inequality Constraints 1025
The Karush-Kuhn-Tucker (KKT) conditions 1025
Min-Max duality 1026
Saddle point condition 1027
Lagrangian duality 1027
Convex programming 1028
Wolfe dual representation 1029
References 1029
We will first focus on linear equality constraints and then generalize to the nonlinear case. The problem is cast as

where A is an m × l matrix and b, θ are m × 1 and l × 1 vectors, respectively. It is assumed that the cost function J(θ) is twice continuously differentiable and it is, in general, ...