Optimization with One Inequality Constraint

Max f(x)
s.t.
g (x) b
1. Check if constraint is concave. If yes,
2. Check if Slaters Constraint Qualification is met. If yes,
3. Find xs that satisfy Kuhn-Tucker Necessary Conditions.

Kuhn-Tucker Necessary Conditions

m

(a )

f j (x*)

k 1

* k
kgj

(x*) 0,

j 1,2, . . ., n

(b) *k g k (x*) bk 0, k 1,2, . . ., m

(c) *k 0, k 1,2, . . ., m
(d )

g k (x*) bk 0, k 1,2, . . ., m

Kuhn-Tucker Method Examples

1. Min

4x 2 2 y 2 4 y

s.t.

x 2 y 2 4

2. Max

2x 2 2 y 2 x y

s.t.

x y2 1

1. Max 4 x 2 y 4 y
2

s.t. x y 4 0
2

2 0

0 2

A. Constraint is negative semi-definite. H

B. If one assumes the values x=0, y=0, constraint is satisfied with inequality, thus
satisfying Slaters Constraint Qualification.

L 4 x 2 2 y 2 4 y ( x 2 y 2 4)
C. a)

8x 2 x 0 2 x(4 ) 0
4 y 4 2 y 0 2 y(2 ) 4 0

b)

( x 2 y 2 4) 0

c)

4y 4
2
2
2y
y

d) x y 4 0
2

Case 1:

From (a), x 0 , y 1
This satisfies (b), (c), and (d)

VOF 2

Case 2:

2 x( 4 ) 0
2 y (2 ) 4 0
x2 y2 4 0

(i)
(ii)
(iii)

If y 0 , then from (ii) 4 0 which is a contradiction.

If y 0 and x 0 then from (i) 4 which again is a contradiction.
x 0 then from (iii) y 2 or y 2

At y 2 ,

At y 2 ,

2y 2 2

1, which contradicts the assumption.

y
2

2y 2 6

3 , which contradicts the assumption.

y
2

Thus, the only possible solution is when

0.

It can be shown that objective function is concave with Hessian

8 0
H

0 4

2. Max 2 x 2 y x y
2

s.t. x y 1 0
2

0 0

0 2

A. Constraint is negative semi-definite. H

B. If one assumes the values x=0, y=0, constraint is satisfied with inequality, thus
satisfying Slaters Constraint Qualification.

L 2 x 2 2 y 2 x y ( x y 2 1)
C. a)

4x 1 0 1 4x
4 y 1 2 y 0 2 y(2 ) 1 0 2

b)

( x y 2 1) 0

c)

1
2y

d) x y 1 0
2

Case 1:

From (a), x

1
1
, y
4
4

This satisfies (b), (c), and (d)

VOF

1
4

Case 2:

From (a) and (b)

4x 1 0
2 y (2 ) 1 0
x y2 1 0

(i)
(ii)
(iii)

If y 0 , then 2 y(1 ) 1 from (a) will be impossible because

by assumption.

If y 0

1
1
1
1
0
2 y , so 0 y
2y
2y
4
4
1
From (a), 1 4 x 0 4 x 1 x
4
From (a),

Note that x y 1 from (iii) cannot possibly be attained given that

2

0 y

1
1
and x .
4
4

Thus, the only possible solution is when

0.

It can be shown that objective function is concave with Hessian

4 0
H
.
0 4