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You are on page 1of 126

Dorel I. Duca

Contents

1. Introduction 1

Chapter 1. Convex Analysis 3

1. Notations and Preliminary Results 3

2. Linear Subspaces. A ne Sets 7

3. Convex Sets 10

4. Separation Theorems for Convex Sets 23

5. Cones 29

6. The Dual (Polar) of a Set 38

7. Convex Functions 50

8. Strictly Convex Functions 59

9. Pseudoconvex Functions 62

10. Quasiconvex Functions 65

Chapter 2. Optimality Conditions 71

1. Optimization Problems 71

2. Some General Results of Optimization 73

3. Necessary Optimality Criteria and Su cient Optimality

Criteria 79

4. Necessary Conditions for the Optimal Solutions of the

Optimization Problems with Dierentiable Hypothesis

about the Functions 91

5. Su cient Conditions for the Optimal Solutions of the

Optimization Problems with Dierentiable Hypothesis

about the Functions 111

Bibliography 119

iii

1 1

1. Introduction

The book ends with the list of references.

CHAPTER 1

Convex Analysis

We will denote by R the corp of real numbers, by Rn the n th

dimensional linear real space over R and by Rm n the linear space of

the real matrices of the type (m; n), over R.

An element (x1 ; :::; xn ) 2 Rn will be denoted by x or (xj ) and an

element

2 3

a11 ::: a1n

4 ::: ::: ::: 5 2 Rm n

am1 ::: amn

by A or [akj ] :

Since the spaces Rn and R1 n are isomorphic we will identify Rn

with the space R1 n .

If

2 3

a11 ::: a1n

4

A = ::: ::: ::: 5 2 Rm n

;

am1 ::: amn

then, for each x = (x1 ; :::; xn ) 2 Rn ; we will denote by A(x) the point

!

X n X

n

A(x) = a1j xj ; :::; amj xj 2 Rm :

j=1 j=1

e1 = (1; 0; 0; :::; 0) ; e2 = (0; 1; 0; :::; 0) ; :::; en = (0; 0; :::; 0; 1) 2 Rn

z = (z1 ; z2 ; :::; zn ) 2 Cn

x = x1 e1 + x2 e2 + ::: + xn en :

3

4 1. CONVEX ANALYSIS

if we consider the hermitian norm

p

(1.1.1) kxk = hx; xi; for all x 2 Rn :

B(x; r) = fv 2 Rn : kx vk < rg

B[x; r] = fv 2 Rn : kx vk 5 rg

Endowed with the topology induced by the norm (1.1.1), Rn be-

comes a linear topological space for which the set

fB(x; r) : r > 0g

If M is a subset of the space Rn , then we denote by

intM - the interior of M

and by

clM - the closure of M:

If x = (x1 ; :::; xn ); y = (y1 ; :::; yn ) 2 Rn , then we use the following

notations:

Rn+ = fx 2 Rn : 0 5 xg

and

R+ = R1+ = [0; +1[:

1. NOTATIONS AND PRELIMINARY RESULTS 5

If a 2 Rn n f0g; then

H= (a) = fx 2 Rn : hx; ai = 0g;

H5 (a) = fx 2 Rn : hx; ai 5 0g;

H> (a) = fx 2 Rn : hx; ai > 0g;

H< (a) = fx 2 Rn : hx; ai < 0g

and if a1 ; :::; aq 2 Rn n f0g and

K = \fH= (ak ) : k 2 f1; :::; qgg;

K(b) = \fH= (ak ) : k 2 Eg;

where

E = fk 2 f1; :::; qg : hb; ak i = 0g:

Let us remark that

hA(x); vi = hz; AT (v)i;

for all A 2 Rm n

; x 2 Rn and v 2 Rm :

a) symmetric, if AT = A

b) antisymmetric (or skew-symmetric), if AT = A;

c) positive semidenite, if hA(x); xi = 0; for all x 2 Rn ;

d) positive denite if hA(x); xi > 0, for all x 2 Rn n f0g;

e) negativ (semi)denite, if the matrix ( A) is positive (semi)de-

nite.

If A 2 Rm n

; then we will denote by

R(A) = fy 2 Rm : there exists x 2 Rn such that y = A(x)g =

= A(Rn ) - the range of the matrix A;

and by

N (A) = fx 2 Rn : A(x) = 0g - the null space of the matrix A:

We dene now the concept of continuity for functions. From sev-

eral possible approaches, we have chosen one that uses convergent se-

quences.

nonempty subset of Rn : The function f is said to be continuous at

a point x0 2 M if for each sequence (xk )k2N of points from M that

6 1. CONVEX ANALYSIS

to f (x0 ):

If f is continuous at all the points of M , then f is said to be

continuous on M:

An important example of a continuous function is the norm function

k k : Rn ! R dened by

k k (x) = kxk ; for all x 2 Rn :

A particularly important example of a continuous function is the

distance function dM : Rn ! R of a nonempty subset M of Rn . The

function dM associates to each point x 2 Rn its distance dM (x) from

M: Formally, dM is dened as follows:

Denition 1.1.3 Let M be a nonempty subset of Rn : The function

dM : Rn ! R dened by

dM (x) = inffkx vk : v 2 M g; for all x 2 Rn ;

is called the distance function of the set M:

If M Rn is the singleton set fag; then

dM (x) = kx ak ; for all x 2 Rn :

In particular, if a = 0; then

dM (x) = kxk ; for all x 2 Rn :

function dM : Rn ! R of the set M satises the Lipschitz condition:

jdM (x) dM (v)j 5 kx vk ; for all x; v 2 Rn :

Proof. Let x; v 2 Rn : From the denition of the distance function

dM ; it follows that, for each " > 0; there exists a point u in M such

that

kx uk < dM (x) + ":

By the triangle inequality,

dM (v) 5 kv uk 5 kv xk + kx uk < kv xk + dM (x) + ":

Since " > 0 is arbitrary,

dM (v) 5 kv xk + dM (x):

Interchanging x and v in the last inequality, we nd that

dM (x) 5 kx vk + dM (v);

2. LINEAR SUBSPACES. AFFINE SETS 7

From this it follows the following statement.

function dM : Rn ! R of the set M is continuous on Rn :

It follows that, a point x 2 Rn lies in the closure clM of M if and

only if its distance dM (x) from M is zero.

be replaced by min : To this end, suppose that M = Rn n f0g: Then

dM (0) = 0; but there is no x 2 M = Rn n f0g such that k0 ak = 0:

In this section we introduce the concepts of linear subspace and

a ne set, which are generalizations to Rn of the terms point, line and

plane from elementary geometry.

set M is a linear subspace of Rn if, for each s; t 2 R and each x; y 2 M;

we have

sx + ty 2 M:

M1 = fx = (x1 ; :::; xn ) 2 Rn : x1 = ::: = xn g;

M2 = fx = (x1 ; :::; xn ) 2 Rn : x1 = 0g;

M3 = fx = (x1 ; :::; xn ) 2 Rn : x1 = x2 = ::: = xn 1 g

are linear subspaces of Rn :

M = fx = (x1 ; :::; xn ) 2 Rn : x1 = 1g

b 2 R, then the set

aM + bL = fx 2 Rn : there exist u 2 M and v 2 L such that

x = au + bvg

is a linear subspace of Rn :

8 1. CONVEX ANALYSIS

spaces of Rn is a linear subspace of Rn :

Proof. Let (Mj )k2J be a family of linear subspaces of Rn : Let

x; y 2 \fMj : j 2 Jg and s; t 2 R. From

x; y 2 \fMj : j 2 Jg;

linear subspace of Rn , we have that

sx + ty 2 Mj ; for all j 2 J:

Thus

sx + ty 2 \fMj : j 2 Jg;

of all linear subspaces of Rn ; containing the set M , is called the linear

hull of the set M; and is denoted by sp(M ).

statements are true:

10 The set sp(M ) is a linear subspace of Rn :

20 The inclusion M sp(M ) holds.

30 If M L Rn and L is a linear subspace of Rn ; then sp(M )

L.

40 The set sp(M ) is, with respect to the inclusion relation, the small-

est linear subspace of Rn containing M .

50 The equality

M = sp (M )

holds if and only if the set M is a linear subspace of Rn :

60 The equality

sp (sp (M )) = sp (M )

holds.

Proof. Statements 10 ; 20 ; 30 follow immedialtely from the deni-

tion and from Theorem 6. Statements 40 and 50 follow from statements

10 ; 20 ; 30 : Statement 60 follows from statements 10 and 50 above:

2. LINEAR SUBSPACES. AFFINE SETS 9

a ne if for each x; y 2 M and each t 2 R we have

(1 t) x + ty 2 M:

M = f(x1 ; :::; xn ) 2 Rn : x1 = 1g

Consequently, there exist a ne sets which are not linear subspaces:

B[0; 1] = fx 2 Cn : kxk 5 1g; B(0; 1) = fx 2 Cn : kxk < 1g;

Indeed, the points x = 0 2 Rn and y = (1=2)e1 = (1=2; 0; :::; 0) 2

n

R belong to the sets B[0; 1] and B(0; 1), while the point u = (1

4)x + 4y = 2e1 does not belong to B[0; 1] and B(0; 1):

Now, we examine how a ne sets behave with respect to the oper-

ations of addition and scalar multiplication.

the sets M and L are a ne, then the set

is a ne.

Proof. It is immediate from Denition 9.

the subset M L of Rn+m is a ne.

Proof. It is immediate from Denition 9.

The next result expresses one of the most important properties of

the family of a ne sets, namely that it is closed under the formation

of arbitrary intersections.

the set

M = \fMj : j 2 Jg

is a ne, too.

10 1. CONVEX ANALYSIS

an a ne set.)

Proof. Let x; y 2 M and t 2 R: From x; y 2 M it follows that

x; y 2 Mj ; for all j 2 J: Since each Mj (j 2 J) is a ne, we have

(1 t)x + ty 2 Mj ; for all j 2 J:

Thus

(1 t)x + ty 2 M;

which shows that the set M is a ne:

a ne subsets of Rn ; containing M; is called the a ne hull of the set

M; and is denoted by a(M ).

are true:

10 The set a(M ) is a ne.

20 The inclusion M a(M ) holds:

30 If M L Rn and L is a ne, then a(M ) L:

40 The set a(M ) is, with respect to the inclusion relation, the

smallest a ne set of Rn containing the set M .

50 The equality

M = a (M )

holds if and only if the set M is a ne.

60 The equality

a (a (M )) = a (M )

holds:

Proof. Statements 10 ; 20 ; 30 follow immediately from the deni-

tion and from Theorem 15. Statements 40 and 50 follow from state-

ments 10 ; 20 ; 30 : Statement 60 follows from statements 10 and 50 above:

3. Convex Sets

The notion of a convex set is central to optimization theory. The

concept of convex set is a simple one. A set in space is convex if when-

ever it contains two points, it also contains the line segment joining

them.

The purpose of this section is to introduce the fundamental concept

of convex set and to present some properties of these sets.

3. CONVEX SETS 11

convex if for each x; y 2 M and each t 2 [0; 1] we have

(1 t)x + ty 2 M:

Example 1.3.3 The sets

B (0; 1) = fx 2 Rn : kxk < 1g

and

B[0; 1] = fx 2 Rn : kxk 5 1g

are convex but not a ne.

Consequently, there exist convex sets which are not a ne.

Example 1.3.4 The set M = Rn n f0g is not convex.

Indeed, the points

x = e1 = (1; 0; :::; 0) and y = e1 = ( 1; 0; :::; 0)

belong to the set M and the point

(1 (1=2)) x + (1=2)y = 0 2

= M:

H= (a) = fx 2 Rn : hx; ai = 0g;

H> (a) = fx 2 Rn : hx; ai > 0g;

H< (a) = fx 2 Rn : hx; ai < 0g;

H(a) = fx 2 Rn : hx; ai = 0g

are convex.

Example 1.3.6 Let A 2 Rn m

: Then the set

M = fy 2 Rn : there exists x 2 Rm

+ such that y = A(x)g

is convex.

Theorem 1.3.7 Let M be a subset of Rn . The following statements

are equivalent:

10 The set M is convex.

20 For each t 2 [0; 1] the equality

(1 t)M + tM = M

12 1. CONVEX ANALYSIS

holds.

30 For each s; t 2 [0; +1[ the equality

sM + tM = (s + t)M

holds.

Proof. (10 =) 20 ) Assume that the set M is convex. Then, for

each t 2 [0; 1]; we have

(1 t) M + tM M:

M = 1 M = (1 r + r)M (1 r)M + rM:

Consequently,

(1 t)M + tM = M; for all t 2 [0; 1]:

of these numbers is zero, then obviously the following equality holds

sM + tM = (s + t)M:

If both numbers s and t are nonzero, then s+t > 0 and t=(s+s) 2]0; 1[.

From assertion 20 , we have

t t

1 M+ M = M;

s+t s+t

tM + sM = (t + s)M:

30 ; we deduce that

(1 t)x + ty 2 (1 t)M + tM = (1 t + t)M = M:

convex if and only if, for each x 2 M and each d 2 Rn ; the set

is convex.

3. CONVEX SETS 13

M and d 2 Rn . In order to prove that the set x;d is convex, let

; 2 x;d and t 2 [0; 1]. Obviously

(1 t) + t 2 [0; +1[:

and v = x + d belong to the set M: From the convexity of M; we

obtain

(1 t)u + tv 2 M:

It follows that

x + ((1 t) + t )d = (1 t)(x + d) + t(x + d) =

= (1 t)u + tv 2 M:

Consequently, the set x;d is convex.

Su ciency. Assume that, for each x 2 M and each d 2 Rn , the

set x;d is convex. In order to prove that the set M is convex, let

x; y 2 M and t 2 [0; 1]: Since

x + 0(y x) = x 2 M

and

x + 1 (y x) = y 2 M;

we deduce that the points 0 and 1 belong to the set x;y x : By the

convexity of the set x;y x ; it follows that t 2 x;y x . Consequently,

(1 t)x + ty = x + t(y x) 2 M:

Below we examine how convex sets behave with respect to the op-

erations of addition and scalar multiplication.

sets M and L are convex, then the set

aM + bL = fx 2 Rn : there are u 2 M; v 2 L such that x = au + bvg

is convex, too.

Proof. Let x; y 2 aM + bL and t 2 [0; 1]. Then

(1 t)x + ty 2 (1 t)(aM + bL) + t(aM + bL) =

= a ((1 t)M + tM ) + b ((1 t)L + tL) =

= aM + bL:

Consequently, the set aM + bL is convex.

14 1. CONVEX ANALYSIS

a real number, then the sets M + L, M L, aM , M are convex, too.

Proof. It is immediate from Theorem 9.

convex sets. Then the set M L is convex, too.

Proof. Let x = (x1 ; x2 ) ; y = (y1 ; y2 ) 2 M L; and t 2 [0; 1] :

From the convexity of M and L we have 2 (1 t) x1 + ty1 2 M and

(1 t) x2 + ty2 2 L: It follows that

(1 t) x + ty = ((1 t) x1 + ty1 ; (1 t) x2 + ty2 ) 2 M L:

Consequently, the set M L is convex.

P = fx 2 Rn+m : there exist u 2 Rn and v; w 2 Rm such that

(u; v) 2 M; (u; w) 2 L and x = (u; v + w)g:

Then the set P is convex, too.

Proof. Let x1 ; x2 2 P and t 2 [0; 1]: From x1 ; x2 2 P we deduce

that there exist the points u1 ; u2 2 Rn and v 1 ; v 2 ; w1 ; w2 2 Rm such

that

(u1 ; v 1 ) 2 M; (u1 ; w1 ) 2 L; x1 = (u1 ; v 1 + w1 )

and

(u2 ; v 2 ) 2 M; (u2 ; w2 ) 2 L; x2 = (u2 ; v 2 + w2 ):

From the convexity of the sets M and L we obtain

((1 t) u1 + tu2 ; (1 t)v 1 + tv 2 ) = (1 t)(u1 ; v 1 ) + t(u2 ; v 2 ) 2 M

and

((1 t) u1 + tu2 ; (1 t)w1 + tw2 ) = (1 t)(u1 ; w1 ) + t(u2 ; w2 ) 2 L:

Let now

u = (1 t)u1 + tu2 ; v = (1 t)v 1 + tv 2 ; w = (1 t)w1 + tw2 :

(1 t) x1 + tx2 =

= (1 t) u1 + tu2 ; (1 t) v 1 + tv 2 + (1 t) w1 + tw2 =

= (u; v + w) 2 P:

Consequently, P is convex.

3. CONVEX SETS 15

Remark 1.3.13 The reunion of two convex sets might not be convex.

Indeed, the sets

M = fx 2 R : x = 1g and L = fx 2 R : x 5 1g

The next result expresses one of the most important properties of

the family of convex sets, namely that it is closed under the formation

of arbitrary intersections.

their intersection

M = \fMj : j 2 Jg

is a convex set, too.

(The intersection of an arbitrary family of convex subsets is a convex

set.)

Proof. If M = ;, then the statement is obvious. If M 6= ;, let

x; y 2 M and t 2 [0; 1]: Then x; y 2 Mj ; for all j 2 J: The set Mj being

convex, for each j 2 J, it follows that

(1 t)x + ty 2 Mj ; for all j 2 J:

Thus

(1 t)x + ty 2 M:

Consequently, the set M is convex.

M1 = \fH= (a) : a 2 Ag; M2 = \fH5 (a) : a 2 Ag;

M3 = \fH> (a) : a 2 Ag; M4 = \fH< (a) : a 2 Ag;

M5 = \fH(a) : a 2 Ag

are convex.

Proof. Invoke for it the theorem above and example 5.

denoted by conv(M ), is the intersection of all convex subsets of Rn

containing M .

ments are true:

10 The set convM is convex.

20 The inclusion M convM holds:

16 1. CONVEX ANALYSIS

40 The set convM is, with respect to the inclusion relation, the

smallest convex set in Rn containing M .

50 The equality

M = convM

holds if and only if the set M is convex.

60 The equality

conv(convM ) = convM

holds.

Proof. The rst three assertions of the theorem are immediate

from the denition and Theorem 14. Statements 40 and 50 follow from

statements 20 and 30 : Statement 60 follows from statements 10 and

50 :

S(0; 1) = fx 2 Rn : kxk = 1g

is the closed unit ball

B[0; 1] = fx 2 Rn : kxk 5 1g;

i.e.

convfx 2 Rn : kzk = 1g = fx 2 Rn : kxk 5 1g:

Indeed, the closed unit ball B[0; 1] Rn is convex and contains the

unit sphere S(0; 1); so

convS(0; 1) B[0; 1]:

If x = 0; then for u = (1; 0; :::; 0) 2 Rn and v = u; which belong

to S(0; 1); we have

x = (1=2)u + (1=2)v:

Since conv (S(0; 1)) is convex and

S(0; 1) convS(0; 1)

If x 6= 0; then 0 < kxk 5 1 and hence t = (1 kxk) =2 2 [0; 1] : On

the other hand u = (1= kxk) x and v = ( 1= kxk) x belong to S (0; 1)

and x can be written as follows

x = (1 t) u + tv:

3. CONVEX SETS 17

S(0; 1) conv (S(0; 1))

B[0; 1] convS(0; 1):

Thus

convS(0; 1) B[0; 1] and B[0; 1] convS(0; 1)

as desired.

p + 1 points from Rn : The point x is said to be a convex combination

of the points x1 ; :::; xp if there exist p real numbers t1 ; :::; tp 2 [0; +1[

such that t1 + ::: + tp = 1 and

x = t1 x1 + ::: + tp xp :

is said to be a convex combination of points from M if there exists an

integer number p = 1 and p points x1 ; :::; xp 2 M such that x is a

convex combination of the points x1 ; :::; xp :

The convex hull of a set was dened by means of convex sets contain-

ing that set. By contrast, the following theorem expresses the convex

hull of a set in terms of the points of the set themselves. The following

representation theorem of the convex hull of a set holds.

the set of all convex combinations of points from M:

Proof. Let L denote the latter set, that is,

L = fx 2 Rn : there exists p 2 N, there exist x1 ; :::; xp 2 M;

Obviously, M L: Moreover, it is also obvious that the set L is convex.

Then, in virtue of assertion 30 of Theorem 17, it follows that

convM L:

L convM:

18 1. CONVEX ANALYSIS

x1 ; :::; xp 2 M and p real numbers t1 ; :::; tp 2 [0; +1[ with t1 +:::+tp = 1

such that

x = t1 x1 + ::: + tp xp :

We argue by induction on p, that x 2 conv (M ) : When p = 1; the

assertion is trivial. Assume now that each convex combination of p

1 = 1 points from M belongs to convM and we show that x; which

is a convex combination of p points from M; belongs to convM: We

distinguish two cases according to weather tp is equal or not to 1:

a) If tp = 1; then t1 = ::: = tp 1 = 0 and hence

x = tp xp = xp 2 M convM:

b) If tp 6= 1; then let

t1 tp 1

s1 = ; :::; sp 1 = :

1 tp 1 tp

Obviously, s1 ; :::; sp 2 [0; +1[ and

1

t1 + ::: + tp 1 1 tp

s1 + ::: + sp 1 = = = 1:

1 tp 1 tp

Then the point

v = s1 x1 + ::: + sp 1 xp 1

2 convM:

Moreover,

x = (1 tp )v + tp xp

and since the set convM is convex and M convM; we deduce that

x 2 convM: The theorem is proved.

the set of all convex combinations of points from M:

Proof. Apply Theorems 21 and 17.

convfx1 ; :::; xp g =

= fx 2 Rn : there exist t1 ; :::; tp 2 [0; +1[ with t1 + ::: + tp = 1

such that x = t1 x1 + ::: + tp xp g:

3. CONVEX SETS 19

For example, the convex hull of three points in R2 is the triangle

having these points as vertices.

In the above results we considered all convex combinations, that is,

for all numbers p of points and for arbitrary selections of these points.

Both p and the points selected can be restricted. We now show that

the number of points p need not be larger than n + 1:

then every element of convM is a convex combination of at most n + 1

points of M:

Proof. Let x 2 convM ; then there exists p 2 N, there exist p

points x1 ; :::; xp 2 M; there exist p real numbers t1 ; :::; tp 2 [0; +1[

with t1 + ::: + tp = 1 such that x = t1 x1 + ::: + tp xp :

If p n + 1; then theorem is proved.

If p > n + 1, then we shall show that p can be reduced by one. If

there exists j 2 f1; :::; pg such thet tj = 0; then we can delete the jth

point and we are done. So let, tk > 0; for all k 2 f1; :::; pg; then let

y 1 = (x1 ; 1) ; :::; y p = (xp ; 1) from Rn+1 : Then there exist p real numbers

s1 ; :::; sp not all equal 0; so that

s1 y 1 + + sp y p = 0;

or equivalent

(1.3.1) s1 x 1 + + sp xp = 0 and s1 + + sp = 0:

Obviously, there exists al least k 2 f1; :::; pg such that sk > 0; then the

set J = fj 2 f1; :::; pg : sj > 0g is nonempty: Let

tj

q = min : j2J ; and rk = tk qsk ; for all k 2 f1; :::; pg:

sj

Then, by (1.3.1) we still have

r1 + ::: + rp = (t1 + ::: + tp ) q (s1 + ::: + sp ) = 1;

and

r1 x1 + ::: + rp xp = t1 x1 + ::: + tp xp q s1 x1 + ::: + sp xp = x:

By the denition of q; at least one rj = 0 and then we can delete the

jth point.

Continuiting in this way, we can reduce the number of points to

n + 1:

20 1. CONVEX ANALYSIS

set.

Proof. Let M be an open subset of Rn . If x 2 convM; then

there exist p 2 N, the points x1 ; :::; xp 2 M and the real numbers

t1 ; :::; tp 2 [0; +1[ with

t1 + ::: + tp = 1

such that

x = t1 x1 + ::: + tp xp :

0; :::; rp > 0 such that

B(x1 ; r1 ) M; :::; B(xp ; rp ) M:

Let

r = minfr1 ; :::; rp g:

Then r > 0 and

B(x1 ; r) B(x1 ; r1 ) M; :::; B(xp ; r) B(xp ; rp ) M:

We show that

B(x; r) convM:

Moreover, for each k 2 f1; :::; pg; the point

uk = x k + u x

u = t1 u1 + ::: + tp up ;

B(x; r) convM:

convM is an open set.

intM and its closure clM are convex.

3. CONVEX SETS 21

that exists a real number r > 0 such that B (x; r) M and B (y; r)

M: Then

B ((1 t) x + ty; r) = f(1 t) x + tyg + B (0; r) =

= (1 t) (fxg + B (0; r)) + t (fyg + B (0; r)) =

= (1 t) B (x; r) + tB (y; r)

(1 t) M + tM = M;

because the sets B (0; r) and M are convex. Consequently, (1 t) x +

ty 2 intM; hence intM is convex.

To prove the second part of the theorem, let x; y 2 clM; and t 2

[0; 1]: From x; y 2 clM; it follows that exist two sequences xk k 1 and

y k k 1 such that xk ; y k 2 M; for all k 2 N, and xk ! x and y k ! y;

when k ! 1: The set M is convex, and hence, for each k 2 N, we have

(1 t) xk +ty k 2 M: On the other hand (1 t) xk +ty k ! (1 t) x+ty;

when k ! 1: It follows that (1 t) x + ty 2clM; hence the set clM is

convex.

set.

Proof. Let M be a bounded subset of Rn ; then there exists a real

number r > 0 such that

M B[0; r]:

convM B[0; r]:

The next theorem is more explicit. We give a denition before.

real number

diamM = supfkx yk : x; y 2 M g

M and convM have the same diameter.

22 1. CONVEX ANALYSIS

convM; then there exist p; q 2 N and

x1 ; :::; xp ; y 1 ; :::; y q 2 M ; t1 ; :::; tp ; s1 ; :::; sq = 0;

with

t1 + ::: + tp = 1; s1 + ::: + sq = 1;

such that

x = t1 x1 + ::: + tp xp , y = s1 y 1 + ::: + sq y q :

Thus p q p q

X X X X

k

x= tk si x ; y= tk si y i ;

k=1 i=1 k=1 i=1

p q

X X

kx yk = tk si (xk yi) 5

k=1 i=1

p q p q

XX X X

5 tk si xk yi 5 tk si r = r:

k=1 i=1 k=1 i=1

Hence the diameter of the set convM does not exceed r: Since M

convM; the diameter of the set convM is at least r: Thus the set convM

has the diameter r: The theorem is proved.

The next result, while not having the same basic importance as

others in this section, does have its own intrinsic interest and will be

needed later in the chapter.

Theorem 1.3.30 Let M be a nonempty bounded subset of Rn , N be

a closed convex subset of Rn and L Rn be a set such that

M +L M + N:

Then

L N:

Proof. Let x0 2 M: If L = ;; then we have L N and the

theorem is proved. If L 6= ;; then let x 2 L: Since

x0 + x 2 M + L M + N;

we deduce that there exist two points x1 2 M and u1 2 N such that

x0 + x = x1 + u1 :

Similarly, from

x1 + x 2 M + L M + N;

4. SEPARATION THEOREMS FOR CONVEX SETS 23

x1 + x = x2 + u2 :

Going on in this way, it follows that there exist the sequences xk k2N

;

uk k2N which, for each k 2 N; satisfy the relations:

(1.3.2) x k 2 M ; uk 2 N ; x k 1

+ x = x k + uk :

(1.3.3) x0 + kx = xk + (u1 + ::: + uk ):

1 1

vk = (u + ::: + uk )

k

belongs to the set N; for all k 2 N:

On the other hand, from (1.3.3) we obtain that

1 k

(1.3.4) x vk = x x0 ; for all k 2 N.

k

Since the set M is bounded and xk 2 M; for each k 2 N, we deduce

that there exists the limit

1 k

lim x x0 = 0:

k!1 k

From this and (1.3.4), it follows that the sequence v k k2N converges

to x: Since the set N is closed, it follows that x 2 N: Consequently,

L N:

The theorem is proved.

The results that we establish in this section on the separation of

convex sets are among the most important ones in convexity. From

several possible ways of approach, we have chosen that which uses the

distance function. The distance function dM : Rn ! R of a nonempty

subset M of Rn is dened by

dM (x) = inffkx uk : u 2 M g; for all x 2 Rn

(see Denition 3).

In general, the inf in the denition of dM cannot be replaced by

min : To this end, assume that M = Rn n f0g: Then dM (0) = 0; but

there exists no a 2 M = Rn n f0g such that k0 ak = 0:

24 1. CONVEX ANALYSIS

Then there exists an element x0 2 M such that

dM (x) = x x0 :

sequence xk k2N of points from M such that

(1.4.1) lim x xk = dM (x):

k!1

is bounded, hence

there exists a real number r > 0 such that

x xk 5 r; for all k 2 N.

The inequalities

xk 5 x xk + kxk 5 r + kxk ; for all k 2 N

quence (xkj )j2N which converges to a point x0 2 Rn : Since the set M

is closed, it follows that x0 2 M:

Moreover, from (1.4.1), it follows that

lim x xkj = dM (x):

j!1

But

lim x xk = x x0 ;

k!1

hence

dM (x) = x x0

and the theorem is proved.

For obvious reasons, the point x0 in the statement of Theorem 1 is

called a nearest point of M to x:

In what follows we need the following result.

such that

(1.4.2) kx + tuk = kxk ; for all t 2]0; [;

then

hx; ui = 0:

4. SEPARATION THEOREMS FOR CONVEX SETS 25

Proof. Since

kx + tuk2 = hx + tu; x + tui = kxk2 + 2t hx; ui + t2 kuk2 ;

t

hx; ui + kuk2 = 0:

2

Passing to limit t ! 0+ in the last inequality, we deduce that

hx; ui = 0:

The theorem is proved.

Theorem 1 shows that, given a nonempty closed subset M of Rn

and a point x of Rn , there exists a point x0 of M which is nearest to

x: We show below that, if M is also convex, then this nearest point x0

of M to x is unique and that, for each point u of M; the points x x0

and u u0 make a nonacute angle with each other.

x 2 Rn : Then there exists a unique point x0 2 M such that

dM (x) = x x0 :

Moreover,

(1.4.3) x x0 ; u x0 5 0; for all u 2 M:

dM (x) = x x0 :

deduce that

(1 t) x0 + tu 2 M; for all t 2]0; 1]

and the property of x0 ; we get that

x x0 5 x (1 t) x0 + tu = x x0 + t x0 u ;

x x0 ; u x0 5 0:

To prove the unicity of x0 ; let x1 2 M be such that

dM (x) = x x1 :

26 1. CONVEX ANALYSIS

x x 0 ; x1 x0 5 0 and x x 1 ; x0 x1 5 0:

2

x0 x1 = x0 x 1 ; x0 x1 = x0 x+x x 1 ; x0 x1 =

= x0 x; x0 x1 + x x 1 ; x0 x1 5 0;

which proves that x0 = x1 : The proof is complete:

Relation (1.4.3) characterizies the point x0 with the property that

dM (x) = x x0 :

The following statement is true.

x 2 Rn n M and x0 2 M: Then the following statements are equivalent:

10 The equality

x x0 = dM (x)

holds:

20 For each u 2 M; we have

x x0 ; u x0 5 0:

Proof. If statement 10 is true; then, in view of Theorem 3, state-

ment 20 is true:

Assume now that statement 20 is true and let u be an arbitrary

point from M: Then

2 2

kx uk2 x x0 = kuk2 + 2 x; x0 u x0 =

0 2

= kuk2 + 2 x0 ; x0 u x =

2

= kuk2 2 x0 ; u + x0 =

0 2

= u x = 0:

The theorem is proved.

A convex closed set and a point outside of it can be separated by a

plane.

set of Rn and u 2 Rn n M: Then there exist a point a 2 Rn n f0g and a

real number " > 0 such that

ha; ui + " 5 ha; xi ; for all x 2 M:

4. SEPARATION THEOREMS FOR CONVEX SETS 27

(1.4.4) u u0 ; x u0 5 0; for all x 2 M:

Dene a = u0 u . Note that a is not zero, because u 2

= M: Then,

for each x 2 M; inequality (1.4.4) implies

ha; xi = a; u0 = ha; ui + a; u0 u =

2

= ha; ui + kak :

If the set M is not closed, the point u 2 Rn n M may be a boundary

point of M and we have a weaker version of the above result.

and u 2 Rn n M: Then there exists a point a 2 Rn n f0g such that

(1.4.5) ha; ui 5 ha; xi ; for all x 2 M:

Proof. Let uk k=1 be a sequence of points uk 2 M n clM; (k = 1)

converges to u: By Theorem 5, for each k = 1 there exists a point

ak 2 Rn n f0g such that

ak ; uk 5 ak ; x ; for all x 2 M:

Since ak 6= 0; for all k = 1; without loss of generality, we may

assume that ak = 1; for all k = 1; because we can divide both sides

of (1.4.5) by ak :

Then the sequence ak contains at least convergent subsequence

akp p=1 . Let a 2 Rn the limit of the subsequence akp : Obviously,

kak = 1 and

(1.4.6) akp ; ukp 5 akp ; x ; for all x 2 M and p = 1:

Passing to the limit in (1.4.6) ; we obtain the required result.

Separation is possible also when both sets being separated are con-

vex sets.

and M is compact, then there exist two points u0 2 L and x0 2 M such

that

(1.4.7) u0 x0 = inffku xk : u 2 L; x 2 M g:

28 1. CONVEX ANALYSIS

n

R . Then there exists a point x0 2 M such that

dL (x0 ) = inffdL (x) : x 2 M g:

u0 2 L such that

dL (x0 ) = u0 x0 :

Moreover, for each u 2 L and each x 2 M; we have

ku xk = inffkv xk : v 2 Lg = dL (x) =

= inffdL (z) : z 2 M g = dL (x0 ) =

= u0 x0 ;

which, since u0 2 L; x0 2 M; shows that

u0 x0 = inffku xk : u 2 L; x 2 M g:

The theorem is proved.

We refer to the points u0 and x0 in the statement of Theorem 7 as

nearest points of L and M: These points u0 and x0 are not unique, in

general.

of Rn : If L is closed and M is compact, then there exist a point a 2

Rn n f0g and a real number " > 0 such that, for each u 2 L and each

x 2 M; we have

(1.4.8) ha; ui + " 5 ha; xi :

0

x 2 M such that

u0 x0 = inffku xk : u 2 L; x 2 M g:

2

a = x0 u0 and " = x0 u0 :

and x 2 M: In view of Theorem 3, we have

x0 u0 ; u u0 5 0 and u0 x0 ; x x0 5 0:

Then

2

ha; xi ha; ui = a; x0 a; u0 = a; x0 u0 = x0 u0 = ":

5. CONES 29

tial. The closed convex sets

M = fx = (x1 ; x2 ) 2 R2 : x2 5 0g

and

L = fx = (x1 ; x2 ) 2 Rn : x2 = exp ( x1 )g

cannot be strictly separated.

If the sets are not bounded, then we have a weaker version of The-

orem 8.

sets of Rn ; then there exists a point a 2 Rn n f0g such that, for each

u 2 L and each x 2 M; we have

ha; ui 5 ha; xi :

Proof. Dene N = L M: Since 0 does not belong to N; we can

use Theorem 6. Then there exists a point a 2 Rn n f0g such that

ha; vi 5 ha; 0i = 0; for all v 2 N:

Since v 2 N has the form v = u x with u 2 L and x 2 M; the

theorem is proved.

5. Cones

The purpose of this section is to introduce the concept of cone and

to present some properties of these sets.

the set K is a cone if, for each x 2 K and each t 2]0; +1[; we have

tx 2 K:

Let us remark that the set Rn n f0g is not a subspace of the linear

space Rn , therefore not every cone is a linear subspace of Rn .

Let us also remark that the set Rn n f0g is not a convex set, hence

a cone might not be a convex set.

B(0; 1) = fx 2 Rn : kxk < 1g and B[0; 1] = fx 2 Rn : kxk 5 1g

30 1. CONVEX ANALYSIS

Let us remark that the sets B(0; 1) and B[0; 1] are convex. Conse-

quently, there exist convex sets which are not cones.

Remark 1.5.5 All cones are unbounded, with the exception of the

trivial cone f0g.

only if

tK = K; for all t 2]0; +1[:

denition of a cone we deduce that

tK K:

Since 1=t 2]0; +1[, by the fact that K is a cone, it follows that

(1=t)x 2 K:

Then, we have

x = t((1=t)x) 2 tK

and hence we showed that

K tK:

tx 2 tK = K

set

aK + bL

is a cone, too.

Proof. Let x 2 aK + bL and t 2]0; +1[. From x 2 aK + bL we

deduce that there exist s 2 K and v 2 L such that x = as + bv: Since

K and L are cones, we have that ts 2 K and tv 2 L and hence

tx = t(as + bv) = a(ts) + b(tv) 2 aK + bL:

The theorem is proved.

5. CONES 31

the set

K := [fKj : j 2 Jg

is a cone.

Proof. Let x 2 K and t 2]0; +1[. From x 2 K we deduce that

there exists a point i 2 J such that x 2 Ki : Then, by the fact that Ki

is a cone and Ki K; it follows that

tx 2 tKi = Ki K:

The proof is complete.

then the set

K L Rn+m

is a cone, too.

Proof. Let x 2 K L; then there exist s 2 K and v 2 L such

that x = (s; v) : Then for each t 2]0 2; +1[; we have tx = t (s; v) =

(ts; tv) 2 K L; because K and L are cones.

the set

K := \fKj : j 2 Jg

is nonempty, then the set K is a cone.

Proof. Let x 2 K and t 2]0; +1[: From x 2 K; we deduce that

x 2 Kj , for all j 2 J: Then tx 2 Kj ; for all j 2 J: Consequently,

tx 2 K and hence K is a cone.

the set K is a convex cone if it is a cone and is convex.

Rn+ = fx = (x1 ; :::; xn ) 2 Rn : xj = 0; for all j 2 f1; :::; ngg

is a convex cone.

K = f(x; t) 2 Rn+1 : kxk 5 tg;

32 1. CONVEX ANALYSIS

is a convex cone.

convex cone.

Example 1.5.16 The sets B(0; 1) and B[0; 1] in Rn are convex without

being convex cones.

H= (a) = fx 2 Rn : hx; ai = 0g;

H(a) = fx 2 Rn : hx; ai = 0g

: The set

K := fy 2 Rn : there exists x 2 Rm

+ such that y = A(x)g

is a convex cone.

K + K = K:

and 6 it follows that

K + K = (1=2)K + (1=2)K = (1=2 + 1=2)K = K:

(1 t) K + tK = K + K = K:

Invoke for it Theorem 7.

5. CONES 33

K = fx = (x1 ; x2 ; x3 ) 2 R3 : x1 = 0; x2 = 0; x1 x2 = (x3 )2 g

is a convex cone.

Indeed, it is clear that the set K is a cone. In order to prove that

K is a convex cone, we invoke Theorem 19. Let x = (x1 ; x2 ; x3 ) and

u = (u1 ; u2 ; u3 ) from K: Then

x1 + u1 = 0; x2 + u2 = 0;

and

(x1 + u1 )(x2 + u2 ) = x1 x2 + x2 u1 + x1 u2 + u1 u2 =

p

= x1 x2 + 2 x1 x2 u1 u2 + u1 u2 = (x3 )2 + 2x3 u3 + (u3 )2 =

= (x3 + u3 )2 ;

K +K K:

The inclusion

K K +K

K + K = K:

and only if the following two statements are true:

(i) tK = K; for all t 2]0; +1[;

(ii) K + K = K:

Proof. Invoke for it Theorems 6 and 19.

then the set

aK + bL

Proof. Invoke for it Theorems 9 and 7.

34 1. CONVEX ANALYSIS

K [ L may not be a convex cone.

Indeed the sets

K = fx = (x1 ; x2 ) 2 R2 : x2 = 0g = R f0g

and

L = fx = (x1 ; x2 ) 2 R2 : x1 = 0g = f0g R

are convex cones in R, but the reunion K [ L is not a convex cone

(K [ L is a cone, but K [ L is not convex).

then the set K L is a convex cone in Rn+m .

Proof. Invoke for it Theorems 11 and 9:

then

K + intK intK:

Proof. Since

K + intK K + K;

by Theorem 19, it follows that

K + intK K:

Let now x 2 K; then the set fxg + intK is open, because intK is an

open set. Since

K + intK = [ffxg + int (K) : x 2 Kg;

we deduce that the set K +intK is open. Now by the fact that intK is,

with respect to the inclusion relation, the greatest open set containing

K; we deduce that

K + intK intK:

The theorem is proved.

It is a routine matter to show that the intersection of each family

of convex cones in Rn is a convex cone.

Rn and the set

K := \fKj : j 2 Jg

is nonempty, then K is a convex cone, too.

5. CONES 35

tion of all convex cones in Rn containing the set K is called the convex

cone generated by K (or, convex cone hull) and is denoted by conK:

Theorem 1.5.28 Let K be a nonempty subset of Rn : The following

statements are true:

10 The set conK is a convex cone.

20 The inclusion C conC holds:

30 If L K Rn and K is a convex cone, then conL K:

40 The set conK is, with respect to the inclusion relation, the small-

est convex cone in Rn containing K.

50 The equality

K = conK

holds if and only if the set K is a convex cone.

60 The equality

con (conK) = conK

holds:

Proof. The rst three assertions of the theorem are immediate

from Denition 27 and Theorem 26. Statements 40 and 50 follow from

statements 20 and 30 : Statement 60 is deduced from statements 10 and

50 :

Then there exists a point a 2 Rn n f0g such that

hx; ai = 0; for all x 2 K

and

hu; ai < 0:

the set K is a pointed convex cone if it is a convex cone and

K \ ( K) f0g:

fx 2 Rn : x = 0g

is a pointed convex cone.

36 1. CONVEX ANALYSIS

pointed.

is a pointed convex cone, too.

Proof. Let x 2 K n f0g and t > 0: Since K is a cone we have that

tx 2 K. Moreover, tx 6= 0 because t 6= 0 and x 6= 0: Consequently,

K n f0g is a cone.

We establish now the convexity of the set K n f0g. To this end, let

x; u 2 K n f0g and t 2]0; 1[: Since C is convex, it follows that

(1 t) x + tu 2 K:

(1 t) x + tu 6= 0:

Assume that

(1 t) x + tu = 0;

then

u = ((t 1)=t)x

and u 2 C: From u 2 C; it follows that

u 2 K \ ( K) ;

u 6= 0; which is a contradiction. Consequently, K n f0g is a convex

cone.

Since K n f0g C; it follows that

(K n f0g) \ ( (K n f0g)) K \ ( K) f0g;

the set K is a polyhedral cone if there exist an integer number q = 1

and q points a1 ; :::; aq 2 Rn such that

K = \fH= (ak ) : k 2 f1; :::; qgg;

where

H= (ak ) = fx 2 Rn : hx; ak i = 0g; for all k 2 f1; :::; qg:

5. CONES 37

polyhedral cones, then K L Rn+m is a polyhedral cone.

Proof. Since K and L are polyhedral cones, it follows that there

exist two positive integer numbers p and q and p + q points a1 ; :::; ap 2

Rn ; b1 ; :::; bq 2 Rm ; such that

K = \fH= (ak ) : k 2 f1; :::; pgg

and

L = \fH= (bj ) : j 2 f1; :::; qgg:

Then

K L=

k

= \fH= (a ) : k 2 f1; :::; pgg \fH= (bj ) : j 2 f1; :::; qgg =

= \fH= (cs ) : s 2 f1; :::; p + qgg;

where (

(as ; 0); s 2 f1; :::; pg

s

c =

(0; bs p ); s 2 fp + 1; :::; p + qg:

Consequently, K L is a polyhedral cone.

Proof. First, we will show that, for each a 2 Rn ; the set

H= (a) = fx 2 Rn : hx; ai = 0g

from H= (a); convergent to a point x 2 Rn . Since, for each k 2 N, we

have

xk ; a = 0;

we deduce that

hx; ai = h lim xk ; ai = lim hxk ; ai = 0:

k!1 k!1

Let now K Rn be a polyhedral cone; then there exist an integer

number q = 1 and q points a1 ; :::; aq 2 Rn such that

K = \fH= (aj ) : j 2 f1; :::; qgg:

Since, for each j 2 f1; :::; qg; the set H= (aj ) is closed, we deduce that

the set K is closed.

38 1. CONVEX ANALYSIS

In this section, we show how to associate to each set in Rn another

set called its dual (or polar). The study of the relationship between

a set and its dual proves to be a fruitful concept in several areas of

convexity.

K = fu 2 Rn : hu; xi = 0; for all x 2 Kg

contains the point 0 2 Rn ; hence K 6= ;:

Example 1.6.3 The dual of the set f0g is the entire space Rn ; i.e

f0g = Rn :

Example 1.6.4 The dual of the set Rn is the set f0g; i.e.

(Rn ) = f0g:

orthant of Rn , i.e.

Rn+ = Rn+ :

K = f(x; t) 2 Rn+1 : kxk2 5 tg;

then

(K) = K:

K = f(x; t) 2 Rn+1 : kxk1 5 tg;

then its dual is the Tchebishev norm cone, i.e.

f(x; t) 2 Rn+1 : kxk1 5 tg = f(x; t) 2 Rn+1 : kxk1 5 tg:

H(a) = fx 2 Rn : ha; xi = 0g;

6. THE DUAL OF A SET 39

then

(H(a)) = fu 2 Rn : there exists s 2 R such that u = sag = Rfag;

(B (0; r)) = (B[0; r]) = f0g:

K = K ? = fu 2 Rn : hu; xi = 0; for all x 2 Kg:

10 K ? K :

20 ( K) = (K ) :

0

3 If K L; then L K :

Proof. 10 Obviously,

K ? = fu 2 Rn : hu; xi = 0; for all x 2 Kg

fu 2 Rn : hu; xi = 0; for all x 2 Kg = K :

20 We have

( K) = fu 2 Rn : hu; xi = 0; for all x 2 Kg =

= fu 2 R : hu; vi = 0; for all v 2 Kg =

n

= fu 2 Rn : h u; vi = 0, for all v 2 Kg =

= f w 2 Rn : hw; vi = 0, for all v 2 Kg =

= fw 2 Rn : hw; vi = 0; for all v 2 Kg =

= (K ) :

30 Let u 2 L ; then

hu; xi = 0; for all x 2 L:

From K L we deduce that

hu; xi = 0; for all x 2 K:

Consequently, u 2 K :

40 1. CONVEX ANALYSIS

nonempty, then

(K L) = K L:

Proof. We have

(K L) = f(u; v) 2 Rn Rm : h(u; v); (x; y)i = 0;

for all (x; y) 2 K Lg =

for all x 2 K and y 2 Lg =

fv 2 Rm : hv; yi = 0; for all y 2 Lg =

=K L;

because 0 2 K \ L :

is a closed convex cone.

Proof. Let u 2 K and t 2]0; +1[: Then, for each x 2 K; we

have

htu; xi = t hu; xi = 0;

Let now u; v 2 K and t 2]0; 1[: Then, for each x 2 K; we have

h(1 t) u + tv; xi = (1 t) hu; xi + t hv; xi = 0;

because

hu; xi = 0; hv; xi = 0

set.

To nish the proof it actually remains to show that K is a closed

set. Let u 2clK ; then there exists a sequence uk k2N of points uk

from K ; (k 2 N) convergent to u: From uk 2 K ; (k 2 N) it follows

that

hu; xi = h lim uk ; xi = lim uk ; x = 0:

k!1 k!1

6. THE DUAL OF A SET 41

of Rn : This suggests that we should examine the double dual K of

an arbitrary subset K of Rn and see how it is related to K: Since the

dual of each nonempty subset of Rn is always a closed convex cone, a

necessary condition for the equality of the sets K and K is that K

shoud be a closed convex cone. We now show that this condition is

also su cient and establish the exact relationship between K and K:

We dene

K = (K ) :

We can also dene the dual K of the K ; as

K = (K ) :

10 The inclusion K K holds:

20 The equality K = K holds :

30 The equality K = (clK) holds:

Proof. 10 Let x 2 K: Then

hu; xi = hx; ui = 0; for all u 2 K ;

hence

x 2 (K ) = K :

Consequently, K K :

20 From statement 10 we obtain that K K : According to state-

ment 30 of Theorem 11, we deduce that

K K :

K (K ) =K

30 From K clK and statement 30 of Theorem 11; we deduce that

(clK) K :

exists a sequence xk k2N of points xk 2 K; (k 2 N) such that

lim xk = x:

k!1

42 1. CONVEX ANALYSIS

Since

hu; xi = hu; lim xk i = lim hu; xk i = 0;

k!1 k!1

because

hxk ; ui = 0; for all k 2 N;

we obtain that u 2 (clK) : Consequently,

K (clK) :

10 The equality (K [ L) = K \ L holds:

20 If K \ L 6= ;; then K [ L (K \ L) :

30 The inclusion K \ L (K + L) holds:

40 If 0 2 K \ L; then (K + L) = K \ L :

50 If K \ L 6= ;; then the inclusion K + L (K \ L) holds.

Proof. 10 From K K [ L; in view of Theorem 11, we deduce

that

(K [ L) K :

In a similar way, we obtain that

(K [ L) L:

Consequently,

(K [ L) K \L :

Let now u 2 K \ L and x 2 K [ L: If x 2 K; then hu; xi = 0;

because u 2 K and if x 2 L; then also hu; xi = 0; because u 2 L :

Consequently, u 2 (K [ L) and the equality is established.

20 From K \ L K; according to Theorem 11, we deduce that

K (K \ L) :

Analogously, we obtain

L (K \ L) :

Consequently,

K [L (K \ L) :

30 Let u 2 K \ L : We will show that

hu; xi = 0; for all x 2 K + L:

6. THE DUAL OF A SET 43

From u 2 K \ L ; s 2 K; t 2 L; we deduce that hu; si = 0 and

hu; ti = 0: It follows that

hu; xi = hu; si + hu; ti = 0:

Consequently, u 2 (K + L) :

40 If 0 2 K; then

L = f0g + L K +L

and hence

(K + L) L:

Similarly,

(K + L) K :

Consequently, if 0 2 K \ L; then

(K + L) K \L :

50 Let u 2 K + L ; then there exist s 2 K and t 2 L such that

u = s + t: From this we deduce that for each x 2 K \ L;

hu; xi = hs; xi + ht; xi = 0;

because

hs; xi = 0 and ht; xi = 0:

Consequently, u 2 (K \ L) and the proof is complete.

not hold.

a closed convex cone if and only if the equality

K=K

holds:

Proof. Necessity. Assume that the set K is a closed convex cone.

In view of statement 10 of Theorem 14, it su ces to show that K K:

Suppose by contradiction that there exists a point x 2 K such that

x2= K: Then according to Theorem 29, there exists a point a 2 K nf0g

such that

ha; xi < 0:

Consequently, x 2

= K , but this is impossible.

44 1. CONVEX ANALYSIS

a closed convex cone.

then

clK = K :

Proof. The set clK being a closed convex cone, in view of Theo-

rem 17, we have that

clK = (clK) :

Since

K = (clK) ;

using statement 30 of Theorem 14, the proof is complete.

Then

(K \ L) = cl (K + L ) :

Proof. The sets K and L being closed convex cones, from Theo-

rem 17, it follows that

K=K and L = L :

Since

02K \L ;

according to Theorems 14, 15, and 17, we have

(K \ L) = (K \ L ) = (K + L ) = cl (K + L ) :

function f : K ! R dened by

f (x) = hu; xi; for all x 2 K;

is bounded from below. Then u 2 K :

Proof. Assume that u 2 = K : Then there exists x 2 K such that

hu; xi < 0: Since K is a cone, the point tx 2 K; for all t 2]0; +1[: But

then f (tx) = hu; txi = thu; xi tends to 1 when t tends to +1; hence

f is not bounded from below, which contradicts our assumption.

6. THE DUAL OF A SET 45

tions can be calculated in an explicit form.

matrix, and

K = fx 2 Rn : A (x) 2 Lg:

Then K is a closed convex cone, and

K = fy 2 Rn : there exists v 2 L such that y = AT (v)g =

= fAT (v) : v 2 L g:

Proof. The set K is a closed convex cone by construction.

Let

N = fy 2 Rn : there exists v 2 L such that y = AT (v)g =

= fAT (v) : v 2 L g::

Obviously, the set N is closed and convex.

Now, if y 2 N; then there exists v 2 L such that y = AT (v) and

hence, for each x 2 K; we have

hy; xi = AT (v) ; x = hv; A (x)i = 0;

because A (x) 2 L: It follows that

N K :

In order to prove that K N; we assume, by contradiction that

there exists a point u 2 K n N: By Theorem ???, there exist a point

a 2 Rn n f0g and a real number " > 0 such that

ha; ui + " 5 ha; xi ; for all x 2 N;

which implies

(1.6.1) ha; ui + " 5 a; AT (v) ; for all v 2 L ;

It follows that the function f : L ! R dened by

f (v) = a; AT (v) = hA (a) ; vi ; for all v 2 L ;

is bounded from below. Then, by Theorem 20, we have A (a) 2 (L ) =

L : Since L is a closed convex cone, bipolar theorem (Theorem 17)

implies A (a) 2 L and therefore a 2 K: But u 2 K ; and hence ha; ui =

0:

On the other hand, from (1.6.1); for v = 0 2 L we obtain

ha; ui + " 5 a; AT (0) = 0;

which contradicts ha; ui = 0:

46 1. CONVEX ANALYSIS

dened by system of linear inequalities.

For example, setting

L = fy 2 Rm : y = 0g = Rm

+

K = fx 2 Rn : A (x) = 0g:

Then

K = fy 2 Rn : there exists v 2 Rm T

+ such that y = A (v)g:

one of the following two systems has a solution, either

A (x) = 0

(i)

hc; xi < 0

or

AT (v) = c

(ii)

v = 0:

Indeed, system (i) is solvable if and only if c 2 K ; which is equiv-

alent to (ii) ; by Farkas theorem.

hu; xi > 0; for all u 2 K n f0g:

Assume that there exists u 2 K n f0g such that hu; xi = 0: From x 2

intK; we deduce that there exists r 2]0; +1[ such that v = x ru 2 K:

Then

hv; ui = hx; ui r kuk2 = r kuk2 < 0;

a contradiction with u 2 K n f0g:

K1 \ K2 \ ::: \ Kp = ;;

then there exist u1 2 K1 ; u2 2 K2 ; :::; up 2 Kp ; not all equal 0; such

that

u1 + u2 + ::: + up = 0:

6. THE DUAL OF A SET 47

L = fv = v 1 ; :::; v p 2 Rpn : v 1 2 K1 ; :::; v p 2 Kp g = K1 ::: Kp ;

K = fw = (x; x; :::; x) 2 Rpn : x 2 Rn g:

Since K1 \ K2 \ ::: \ Kp = ;; we deduce that L \ K = ;: Then, by

Theorem ??? there exists u = (u1 ; :::; up ) 2 Rpn n f0g such that

hu; wi 5 hu; vi ;

for all v = (v 1 ; :::; v p ) 2 L and w = (x; x; :::; x) 2 K: From this it

follows that

(1.6.2) u1 + :::up ; x 5 u1 ; v 1 + ::: + hup ; v p i ;

for all x 2 Rn , and all v 1 2 K1 ; :::; v p 2 Kp :

Setting x = 0 in (1.6.2) ; we obtain that

u1 ; v 1 + ::: + hup ; v p i = 0; for all v 1 2 K1 ; :::; v p 2 Kp ;

hence the function f : K1 ::: Kp ! R dened by

f v 1 ; :::; v p = u1 ; v 1 + ::: + hup ; v p i ; for all v 1 2 K1 ; :::; v p 2 Kp ;

is bounded from below, which implies that each of the functions f1 :

K1 ! R, ..., fp : Kp ! R dened by

fi v i = ui ; v i ; for all v i 2 Ki ;

for i 2 f1; :::; pg; is bounded from below. Then, by Theorem 20, it

follows that u1 2 K1 ; :::; up 2 Kp :

On the other hand, (1.6.2) implies that the function g : Rn ! R

dened by

g (x) = u1 + ::: + up ; x ; for all x 2 Rn ;

is bounded from above, which is possible only when u1 + :::up = 0: The

theorem is proved.

(1.6.3) K1 \ (intK2 ) \ (intK3 ) \ ::: \ (intKp ) 6= ;;

then

(K1 \ K2 \ ::: \ Kp ) = K1 + K2 + ::: + Kp :

Proof. Let

K = K1 \ K2 \ ::: \ Kp :

If u 2 K1 ; u 2 K2 ; :::; up 2 Kp ; then, for each x 2 K we have

1 2

48 1. CONVEX ANALYSIS

so u1 + u2 + ::: + up 2 K : Consequently

(1.6.4) K1 + K2 + ::: + Kp K :

In order to prove the inverse inclusion of (1.6.4) ; let u 2 K :

Let us dene the cone

L = fx 2 Rn : hu; xi < 0g:

We have

L = fs 2 Rn : there exists t 2 [0; +1[ such that s = tug:

(see Example 8):

Since hu; xi = 0; for all x 2 L; it follows that L \ K = ;; and hence

L \ K1 \ K2 \ ::: \ Kp = ;: Then, by Theorem 24, there exist the points

s 2 L ; u1 2 K1 ; u2 2 K2 ; :::; up 2 Kp ; not all equal zero, such that

(1.6.5) s + u1 + u2 + ::: + up = 0:

From s 2 L it follows that there exists a real number t = 0 such that

s = tu: Then (1.6.5) becomes

(1.6.6) tu = u1 + u2 + ::: + up :

We will show that t > 0: Assume that t = 0; it follows that

(1.6.7) u1 + u2 + ::: + up = 0:

The hypothesis (1.6.3) ; implies there exists a point

x 2 K1 \ (intK2 ) \ (intK3 ) \ ::: \ (intKp ) :

Then

(1.6.8) 0 = u1 + u2 + ::: + up ; x = u1 ; x + u2 ; x + ::: + hup ; xi :

Since hu1 ; xi = 0; hu2 ; xi = 0; :::; hup ; xi = 0; from (1.6.8) ; we deduce

that

ui ; x = 0; for all i 2 f1; :::; pg:

But, x 2 (intK2 )\(intK3 )\:::\(intKp ) ; and then Theorem 23, implies

ui = 0; for all i 2 f1; :::; pg: Now, Equality (1.6.7) yiels u1 = 0; and

hence u1 = u2 = ::: = up = 0; a contradiction.

Thus t > 0: Dividing both sides of (1.6.6) by t 6= 0; we get

1 1 1

u = u1 + u2 + ::: + up 2 K1 + K2 + ::: + Kp :

t t t

Consequently K K1 + K2 + ::: + Kp : Theorem is proved.

6. THE DUAL OF A SET 49

Remark 1.6.26 When all cones are polyhedral, the regularity as-

sumption (1.6.3) is not needed.

cones, A be an m n matrix, and

K = fx 2 L : A (x) 2 M g:

If

(1.6.9) 0 2 intfA (x) y : x 2 L; y 2 M g;

then

K = L + fAT (v) : v 2 M g:

Proof. Let us dene the set

N = fx 2 Rn : A (x) 2 M g:

Then, by Theorem 21, we have

N = fAT (v) : v 2 M g =

= fy 2 Rn : there exists vM such that y = AT (v)g:

Obviously

K = L \ N;

and hence

L +N (L \ N ) = K :

In order to prove L + N K ; let u 2 K :

Let us dene the cone

C = fx 2 Rn : hu; xi < 0g:

Then

C = fs 2 Rn : there exists t 2 [0; +1[ such that s = tug

(see Example 8):

On the other hand C \ K = ;; because hu; xi = 0; for all x 2 K:

Then, by Theorem 24, there exist s 2 C ; w 2 L ; z 2 N ; not all

equal 0; such that

(1.6.10) s + w + z = 0:

From z 2 N , it follows that there exists u 2 M so that z = AT (u) ;

and from s 2 C ; it follows that there exists t 2 [0; +1[ such that

s = tu:

We will show that t > 0:

50 1. CONVEX ANALYSIS

AT (v) 2 L : Thus, for each x 2 L we obtain

x; AT (v) = 0;

that is

x; AT (v) 5 0:

As v 2 M ; we also have hy; vi = 0; for all y 2 M: Hence

hA (x) y; vi = hA (x) ; vi hy; vi = x; AT (v) hy; vi 5 0;

for all x 2 L and y 2 M: Since the set

fA (x) y : x 2 L; y 2 M g

containts a neighborhood of 0 by assumption, we get v = 0: This yields

z = 0 and w = 0 which is a contradiction.

Consequently t > 0: Dividind (1.6.10) by t 6= 0 we obtain

1 1 1 1

u = w + AT (v) 2 L + N = L + N :

t t t t

Thus K L + M : The theorem is proved.

Remark 1.6.28 When all cones are polyhedral, the regularity as-

sumption (1.6.9) is not needed.

7. Convex Functions

The convex functions and the generalizations of convex functions

play an important role in the study of optimization problems.

In this section we present some of the basic properties of con-

vex, concave, pseudoconvex, pseudoconcave, quasiconvex, quasiconcave

functions and obtain some fundamental theorems involving these func-

tions. These fundamental theorems will be used to derive the important

necessary optimality conditions of the optimization problem.

from M , K be a subset of Rm and f : M ! Rm be a function.

We say that the function f is convex at the point x0 with respect

to K if, for each x 2 M n fx0 g and each t 2]0; 1[ with the property that

(1 t) x0 + tx 2 M;

we have

(1 t) f x0 + tf (x) f (1 t)x0 + tx 2 K:

to K if the function ( f ) is convex at the point x0 with respect to K:

7. CONVEX FUNCTIONS 51

nonempty subset of Rm and f : M ! Rm be a function.

We say that the function f is convex on M with respect to K if the

function f is convex at each x0 2 M with respect to K:

We say that the function f is concave on M with respect to K if

the function ( f ) is convex on M with respect to K:

Rm dened by

f (x) = A(x) + b, for all x 2 Rn ;

is convex on Rn with respect to K = f0g:

Indeed, for each x0 ; x 2 Rn and each t 2]0; 1[; we have

(1 t) f x0 + tf (x) f (1 t)x0 + tx = 0:

f (x) = kxk ; for all x 2 Rn ;

is convex on Rn with respect to R+ :

Indeed, for each x0 ; x 2 Rn and each t 2]0; 1[; we have

(1 t) x0 + t kxk (1 t) x0 + tx =

= (1 t) x0 + t kxk (1 t) x0 t kxk = 0;

it follows that

(1 t) f x0 + tf (x) f (1 t)x0 + tx 2 R+ :

Many close connections exist between convex functions and convex

sets. Here we study one of these; others will be discussed later.

distance function dM : Rn ! R to M dened by

dM (x) = inffkx uk : u 2 M g; for all x 2 Rn

Indeed, let x0 ; x 2 Rn and t 2]0; 1[: Then, for each " > 0 there exist

two points u0 ; u 2 M such that

x0 u0 < dM (x0 ) + "

and

kx uk < dM (x) + ":

52 1. CONVEX ANALYSIS

(1 t)u0 + tu 2 M

and so

dM ((1 t)x0 + tx) 5 (1 t)x0 + tx (1 t)u0 tu

5 (1 t) x0 u0 + t kx uk

5 (1 t)(dM (x0 ) + ") + t(dM (x) + ")

= (1 t)dM (x0 ) + tdM (x) + ":

But " > 0 is arbitrary, whence

dM ((1 t)x0 + tx) 5 (1 t)dM (x0 ) + tdM (x):

Consequently,

(1 t)dM (x0 ) + tdM (x) dM ((1 t)x0 + tx) 2 R+ ;

which shows that dM is a convex function on Rn with respect to K =

R+ .

Remark 1.7.6 Let M be a nonempty subset of Rn ; x0 2 M and

f : M ! Rm be a function. Let K be a nonempty subset of Rm and

L K:

If the function f is convex (respectively concave) at x0 with respect

to K; then the function f is convex (respectively concave) at x0 with

respect to L:

The following four theorems give some other connections that exist

between the convex functions and convex sets.

Theorem 1.7.7 Let M be a nonempty convex subset of Rn ; K be a

convex cone in Rm and f : M ! Rm be a function.

10 If the function f is convex on M with respect to K, then the set

epi (f ) = f(x; u) 2 M Rm : u f (x) 2 Kg

is convex.

20 If the function f is concave on M with respect to K, then the set

hyp (f ) = f(x; u) 2 M Rm : u + f (x) 2 Kg

is convex.

Proof. 10 Let (x0 ; u0 ) ; (x; u) 2 epi (f ) and t 2]0; 1[: Then

u0 f x0 2 K and u f (x) 2 K:

Since M is a convex set we have

(1 t) x0 + tx 2 M:

7. CONVEX FUNCTIONS 53

we have

(1 t) u0 + tu f ((1 t)x0 + tx) =

= (1 t) [u0 f (x0 )] + t [u f (x)] +

+ (1 t) f (x0 ) + tf (x) f ((1 t) x0 + tx) 2

2 (1 t) K + tK + K = K;

hence

(1 t) x0 ; u0 + t (x; u) = (1 t) x0 + tx; (1 t) u0 + tu 2 epi (f ) :

Analogously one proves the statement 20 :

Rm with the property that 0 2 K and f : M ! Rm be a function.

10 If the set

epi (f ) = f(x; u) 2 M Rm : u f (x) 2 Kg

with respect to K:

20 If the set

hyp (f ) = f(x; u) 2 M Rm : u + f (x) 2 Kg

M with respect to K:

Proof. 10 Assume that the set epi (f ) is convex and let x0 ; x 2 M;

x0 6= x and t 2]0; 1[: Since 0 2 K we have (x0 ; f (x0 )) and (x; f (x))

belong to epi (f ). Then

((1 t) x0 + tx; (1 t) f (x0 ) + tf (x)) =

= (1 t) (x0 ; f (x0 )) + t (x; f (x)) 2 epi (f ) ;

(1 t) x0 + tx 2 M

and

(1 t) f x0 + tf (x) f (1 t)x0 + tx 2 K;

hence the set M is convex and the function f is convex on M with

respect to K:

Analogously one proves the statement 20 :

54 1. CONVEX ANALYSIS

convex cone in Rm with property that 0 2 K and f : M ! Rm be a

function.

10 The function f is convex on M with respect to K if and only if

the set

epi (f ) = f(x; u) 2 M Rm : u f (x) 2 Kg

is convex.

20 The function f is concave on M with respect to K if and only if

the set

hyp (f ) = f(x; u) 2 M Rm : u + f (x) 2 Kg

is convex.

convex cone in Rm and f : M ! Rm be a function. Then the following

statements are true:

10 If the function f is convex on M with respect to K; then, for

each u 2 Rm ; the set

Au = fx 2 M : u f (x) 2 Kg

is convex.

20 If the function f is concave on M with respect to K; then, for

each u 2 Rm ; the set

Bu = fx 2 M : u + f (x) 2 Kg

is convex.

being convex it follows that

(1 t) x0 + tx 2 M:

If x0 = x, obviously

u f (1 t) x0 + tx = u f (x0 ) 2 K:

7. CONVEX FUNCTIONS 55

K being a convex cone, we have

u f ((1 t) x0 + tx) =

= (1 t) [u f (x0 )] + t[u f (x)]+

0

+ (1 t) f (x ) + tf (x) f ((1 t) x0 + tx) 2

2 (1 t) K + tK + K =

= K + K = K;

hence

(1 t) x + tv 2 Au :

Analogously we prove the statement for the set Bu :

have with respect to the operations of addition and scalar multiplica-

tion.

be a convex cone in Rm and f : M ! Rm and g : M ! Rm be two

functions.

10 If the functions f and g are convex at x0 with respect to K; then

for each a; b 2 [0; +1[ with a + b > 0; the function af + bg is convex

at x0 with respect to K:

20 If the functions f and g are concave at x0 with respect to K; then

for each a; b 2 [0; +1[ with a + b > 0; the function af + bg is concave

at x0 with respect to K:

Proof. We prove the theorem only in the case when the functions

f and g are convex at x0 with respect to K: Analogously one proves it

when f and g are concave at x0 with respect to K:

Let x 2 M n fx0 g and t 2]0; 1[ for which

(1 t) x0 + tx 2 M:

Then

(1 t) f x0 + tf (x) f (1 t)x0 + tx 2 K

and

(1 t) g x0 + tg (x) g (1 t)x0 + tx 2 K:

56 1. CONVEX ANALYSIS

(1 t) (af + bg) (x0 ) + t(af + bg) (x) (af + bg) ((1 t)x0 + tx) =

= t [(1 t) f (x0 ) + tf (x) f ((1 t)x0 + tx)] +

+ b [(1 t) g (x0 ) + tg (x) g ((1 t)x0 + tx)] 2

2 aK + bK = K;

the last equality holds in view of Theorem 21. Consequently, the func-

tion af + bg is convex at x0 with respect to K:

From Theorem 11, it follows.

a convex cone in Rm and f : M ! Rm and g : M ! Rm be two

functions.

10 If the functions f and g are convex on M with respect to K, then

for each a; b 2 [0; +1[ with a + b > 0; the function af + bg is convex

on M with respect to K:

20 If the functions f and g are concave on M with respect to K,

then for each a; b 2 [0; +1[ with a + b > 0; the function af + bg is

concave on M with respect to K:

Proof. Apply Theorem 11.

point of M; K be a closed convex cone in Rm ; and f : M ! Rm be a

dierentiable function at x0 :

10 If the function f is convex at x0 with respect to K; then

(1.7.1) f (x) f (x0 ) rf (x0 ) (x x0 ) 2 K;

for all x 2 M:

20 If the function f is concave at x0 with respect to K; then

(1.7.2) f (x0 ) f (x) rf (x0 ) (x0 x) 2 K;

for all x 2 M:

Proof. 10 Obviously relation (1.7.1) holds for x = x0 : Let x 2

M n fx0 g: Since x0 is an interior point of M; there exists a real number

r 2 ]0; +1[ such that

B x0 ; r = fx 2 Rn : x x0 < rg M:

(1.7.3) w = (1 t) x0 + tx = x0 + t x x0 2 B x0 ; r M:

7. CONVEX FUNCTIONS 57

The function f is convex at x0 with respect to K; then, for each t 2]0; 1[;

t < r= kx x0 k ; we have

(1 t) f (x0 ) + tf (x) f (1 t) x0 + tx 2 K:

1 1

(1.7.4) f (x) f x0 f x0 + t(x x0 ) f x0 2 K = K;

t t

for all t 2]0; 1[; t < r= kx x0 k ; the last equality in (1.7.4) holds

because K is a convex cone.

Furthermore, the function f is dierentiable at x0 ; then there exists

1

lim ff x0 + t(x x0 ) f x0 g = rf (x0 ) (x x0 ):

t!0 t

Then, taking the limit of expression (1.7.4) and taking into account

the fact that K is a closed set, we deduce that

(1.7.5) f (x) f x0 rf (x0 ) (x x0 ) 2 K:

K be a closed convex cone in Rm and f : M ! Rm be a dierentiable

function on M:

10 If the function f is convex on M with respect to K; then

for all x; x0 2 M:

20 If the function f is concave on M with respect to K; then

for all x; x0 2 M:

Proof. Apply Theorem 13.

be a nonempty convex subset of Rm and f : M ! Rm be a dierentiable

function on M:

10 If

f (x) f (x0 ) rf (x0 ) (x x0 ) 2 K;

58 1. CONVEX ANALYSIS

respect to K:

20 If

f (x0 ) f (x) rf (x0 ) (x0 x) 2 K;

for all x; x0 2 M; x 6= x0 ; then the function f is concave on M with

respect to K:

Proof. 10 Let x; x0 2 M; x 6= x0 and t 2]0; 1[: Since the set M is

convex, the point

u = (1 t) x0 + tx 2 M:

Moreover, x0 6= u 6= x: Then we have

f (x0 ) f (u) t [rf (u)] (x0 x) 2 K

and

f (x) f (u) + (1 t) [rf (u)] (x0 x) 2 K:

From this, we deduce that

(1 t) f (x0 ) + tf (x) f ((1 t) x0 + tx) =

= (1 t) ff (x0 ) f (u) t [rf (u)] (x0 x)+

+tff (x) f (u) + (1 t) [rf (u)] (x0 x) 2

2 (1 t) K + tK = K:

Statement 20 is established in a similar way.

From Theorems 14 and 15 follows:

K be a closed convex cone in Rm and f : M ! Rm be a dierentiable

function on M: Then the following statements are true:

10 The function f is convex on M with respect to K if and only if

for all x; x0 2 M:

20 The function f is concave on M with respect to K if and only if

for all x; x0 2 M

b 2 Rn : Then the function f : Rn ! R dened by

8. STRICTLY CONVEX FUNCTIONS 59

1

f (x) = hA(x); xi + b(x); for all x 2 Rn

2

is convex on Rn with respect to K = R+ , because the function f is

dierentiable on Rn and

1

f (x) f (x0 ) rf (x0 ) x x0 = hA x x0 ; x x0 i = 0;

2

for all x; x0 2 Rn :

8. Strictly Convex Functions

If K Rm has the property that 0 2 K; then obviously the im-

plication from the denitions of the convex, concave functions are true

for x = x0 and t = 0 and t = 1: Consequently, in this case, it is not

necessary to require that x 6= x0 ; t 6= 0 and t 6= 1:

Denition 1.8.1 Let M be a nonempty subset of Rn ; x0 be a point

from M; K be a subset of Rm with nonempty interior and f : M ! Rm

be a function.

We say that the function f is strictly convex at x0 with respect to

K; if the function f is convex at x0 with respect to intK:

We say that the function f is strictly concave at x0 with respect to

K; if the function f is concave at x0 with respect to intK:

Denition 1.8.2 Let M be a nonempty convex subset of Cn ; K be a

subset of Rm with nonempty interior and f : M ! Rm be a function.

We say that the function f is strictly convex on M with respect

to K if the function f is strictly convex at each point x0 2 M with

respect to K:

We say that the function f is strictly concave on M with respect

to K if the function f is strictly concave at each point x0 2 M with

respect to K:

Remark 1.8.3 From Remark 6, it follows that if the function f :

M ! Rm is strictly convex (respectively strictly concave) at x0 2 M

with respect to K Rm ; then the function f is convex (respectively

concave) at x0 with respect to K:

Bellow we examine how strictly convex (respectively strictly concave)

functions behave with respect to the operations of addition and scalar

multiplication.

Theorem 1.8.4 Let M be a nonempty subset of Rn ; x0 be a point

from M; K be a convex cone in Rm with nonempty interior and a;

b 2 [0; +1[ with b > 0:

60 1. CONVEX ANALYSIS

and the function g : M ! Rm is strictly convex at x0 with respect to

K; then the function af + bg is strictly convex at x0 with respect to K:

20 If the function f : M ! Rm is concave at x0 with respect to K

and the function g : M ! Rm is strictly concave at x0 with respect to

K; then the function af + bg is strictly concave at x0 with respect to K:

Proof. The proof of this theorem is similar to the proof of Theo-

rem 11.

point of M; K be a closed convex cone of Rm with nonempty interior

and f : M ! Rm be a dierentiable function at x0 :

10 If the function f is strictly convex at x0 with respect to K; then

(1.8.1) f (x) f (x0 ) [rf (x0 )](x x0 ) 2 intK;

20 If the function f is strictly concave at x0 with respect to K; then

f (x0 ) f (x) [rf (x0 )](x0 x) 2 intK;

Proof. 10 Let x 2 M n fx0 g: Since x0 is an interior point of M;

there exists a real number t 2]0; 1[ such that

u = (1 t) x0 + tx = x0 + t x x0 2 M:

to K; we have

(1 t)f (x0 ) + tf (x) f (u) 2 intK:

then according to Theorem 13

f (u) f (x0 ) [rf (x0 )](u x0 ) 2 K:

Now, we have

f (x) f (x0 ) [rf (x0 )](x x0 ) =

= 1t f(1 t) f (x0 ) + tf (x) f (u)g +

+ 1t ff (u) f (x0 ) [rz f (x0 )](u x0 )g 2

2 (1=t) intK + (1=t) K = intK + K = intK:

8. STRICTLY CONVEX FUNCTIONS 61

a closed convex cone in Rm with nonempty interior and f : M ! Rm

be a dierentiable function on M:

10 If the function f is strictly convex on M with respect to K; then

f (x) f (x0 ) [rf (x0 )](x x0 ) 2 intK;

for all x; x0 2 M; x 6= x0 :

20 If the function f is strictly concave on M with respect to K; then

f (x0 ) f (x) [rf (x0 )](x0 x) 2 intK;

for all x; x0 2 M; x 6= x0 :

be a convex subset of Rm with nonempty interior and f : M ! Rm be

a dierentiable function on M:

10 If

f (x) f (x0 ) [rf (x0 )](x x0 ) 2 intK;

for all x; x0 2 M; x 6= x0 ; then the function f is strictly convex on M

with respect to K:

20 If

f (x0 ) f (x) [rf (x0 )](x0 x) 2 intK;

for all x; x0 2 M; x 6= x0 ; then the function f is strictly concave on M

with respect to K:

Proof. 10 Let x; x0 2 M; x 6= x0 and t 2]0; 1[: Since the set M is

convex, the point

u = (1 t)x0 + tx 2 M:

Moreover x0 6= u 6= x: Then we have

f (x0 ) f (u) t[rf (u)](x0 x) 2 intK;

and

f (x) f (u) + (1 t)[rf (u)](x0 x) 2 intK:

From this, we obtain that

(1 t)f (x0 ) + tf (x) f ((1 t)x0 + tx) =

= (1 t)ff (x0 ) f (u) t[rz f (u)](x0 x)g+

+tff (x) f (u) + (1 t)[rf (u)](x0 x)g 2

62 1. CONVEX ANALYSIS

K:

One proves statement 20 in a similar way.

From Theorems 6 and 7 follows.

a closed convex cone in Rm with nonempty interior and f : M ! Rm

be a dierentiable function on M:

10 The function f is strictly convex on M with respect to K if and

only if

f (x) f (x0 ) [rf (x0 )](x x0 ) 2 intK;

for all x; x0 2 M; x 6= x0 :

20 The function f is strictly concave on M with respect to K; if and

only if

f (x0 ) f (x) [rf (x0 )](x0 x) 2 intK;

for all x; x0 2 M; x 6= x0 :

9. Pseudoconvex Functions

point of M; K be a nonempty subset of Rm and f : M ! Rm be a

dierentiable function at x0 :

We say that the function f is pseudoconvex at x0 with respect to

K if, for each x 2 M n fx0 g such that

rf (x0 ) x x0 2 K;

we have

f (x) f x0 2 K:

K if the function ( f ) is pseudoconvex at x0 with respect to K:

nonempty subset of Rm and f : M ! Rm be a dierentiable function

on M:

We say that the function f is pseudoconvex on M with respect to

K if the function f is pseudoconvex at each point x0 2 M with respect

to K:

We say that the function f is pseudoconcave on M with respect to

K if the function ( f ) is pseudoconvex on M with respect to K:

9. PSEUDOCONVEX FUNCTIONS 63

tions to convex (respectively concave) functions.

point of M; K be a closed convex cone in Rm and f : M ! Rm be a

dierentiable function at x0 :

10 If the function f is convex at x0 with respect to K; then the

function f is pseudoconvex at x0 with respect to K:

20 If the function f is concave at x0 with respect to K; then the

function f is pseudoconcave at x0 with respect to K:

Proof. We shall establish the theorem for the convex case. The

concave case follows from it.

10 By the convexity of the function f at x0 with respect to K; in

view of Theorem 13, we have

f (x) f x0 rf (x0 ) x x0 2 K;

for all x 2 M:

Let now x 2 M n fx0 g be such that

u = rf (x0 ) x x0 2 K:

Then

f (x) f x0 2 K + fug K + K = K:

Consequently, the function f is pseudoconvex at x0 with respect to

K:

it can be seen from the following example: the function f : R ! R

dened by

f (x) = exp x2 ; for all x 2 R

is pseudoconvex at x0 = 100 with respect to K = R+ ; but it is not

convex at x0 = 100 with respect to K:

From Theorem 3 follows immediatly the next statement:

be a closed convex cone in Rm and f : M ! Rm be a dierentiable

function on M:

10 If the function f is convex on M with respect to K; then the

function f is pseudoconvex on M with respect to K:

20 If the function f is concave on M with respect to K; then the

function f is pseudoconcave on M with respect to K:

64 1. CONVEX ANALYSIS

viously the implication from the denitions of the pseudoconvex and

pseudoconcave functions are true for x = x0 and t = 0 and t = 1:

Consequently, in this case, it is not necessary to require that x 6= x0 :

point of M; K be a subset of Rm with nonempty interior and f : M !

Rm be a dierentiable function at x0 :

We say that the function f is strictly pseudoconvex (respectively

strictly pseudoconcave) at x0 with respect to K if the function f is

pseudoconvex (respectively pseudoconcave) at x0 with respect to int

K:

subset of Rm with nonempty interior and f : M ! Rm be a dieren-

tiable function on M:

We say that the function f is strictly pseudoconvex (respectively

strictly pseudoconcave) on M with respect to K if the function f is

strictly pseudoconvex (respectively strictly pseudoconcave) at each z 2

M with respect to K:

point of M; K be a closed convex cone in Rm with nonempty interior

and f : M ! Rm be a dierentiable function at x0 :

10 If the function f is convex at x0 with respect to K; then the

function f is strictly pseudoconvex at x0 with respect to K:

20 If the function f is concave at x0 with respect to K; then the

function f is strictly pseudoconcave at x0 with respect to K:

Proof. We shall establish the theorem for the convex case. The

concave case follows from it.

10 By the convexity of the function f at x0 with respect to K; in

view of Theorem 13, we have

f (x) f (x0 ) [rf (x0 )](x x0 ) 2 K;

Let now x 2 M n fx0 g be such that

t = [rf (x0 )](x x0 ) 2 intK:

Then

f (x) f x0 2 ftg + intK K + intK = intK:

10. QUASICONVEX FUNCTIONS 65

respect to K:

From Theorem 9 follows.

be a closed convex cone in Rm with nonempty interior and f : M ! Rm

be a dierentiable function on M:

10 If the function f is convex on M with respect to K; then the

function f is strictly pseudoconvex on M with respect to K:

20 If the function f is concave on M with respect to K; then the

function f is strictly pseudoconcave on M with respect to K:

from M; K be a nonempty subset of Rm and f : M ! Rm be a function.

We say that the function f is quasiconvex at x0 with respect to K;

if, for each x 2 M n fx0 g with the property that

f x0 f (x) 2 K

and, for each t 2]0; 1[ such that (1 t) x0 + tx 2 M; we have

f x0 f (1 t) x0 + tx 2 K:

if the function ( f ) is quasiconvex at x0 with respect to K:

a nonempty subset of Rm and f : M ! Rm be a function.

We say that the function f is quasiconvex on M with respect to K

if the function f is quasiconvex at each x0 2 M with respect to K:

We say that the function f is quasiconcave on M with respect to

K if the function ( f ) is quasiconvex on M with respect to K:

all x 2 R is qusiconvex on R with respect to R+ :

We will relate now quasiconvex (respectively quasiconcave) func-

tions to convex (respectively concave) functions.

The following statement is true.

from M; K be a convex cone in Rm and f : M ! Rm be a function.

66 1. CONVEX ANALYSIS

function f is quasiconvex at x0 with respect to K:

20 If the function f is concave at x0 with respect to K; then the

function f is quasiconcave at x0 with respect to K:

Proof. 10 Let x 2 M n fx0 g for which

f x0 f (x) 2 K

f at x0 with respect to K and by the fact that K is a convex cone, we

have

f x0 f (1 t) x0 + tx =

2 K + tK K + K = K:

The concave case is established in a similar way.

quasiconvex functions at x0 with respect to K which are not convex at

x0 with respect to K:

Indeed, the function f : R ! R dened by

f (x) = x + x3 ; for all x 2 R

x0 = 0 with respect to K = R+ :

From Theorem 4 follows immediately the next statement:

convex cone in Rm and f : M ! Rm be a function.

10 If the function f is convex on M with respect to K; then the

function f is quasiconvex on M with respect to K:

20 If the function f is concave on M with respect to K; then the

function f is quasiconcave on M with respect to K:

point of M; K be a closed convex cone in Rm and f : M ! Rm be a

dierentiable function at x0 :

10 If the function f is quasiconvex at x0 with respect to K; then,

for each x 2 M n fx0 g with the property that

f x0 f (x) 2 K;

10. QUASICONVEX FUNCTIONS 67

we have

rf (x0 ) x0 x 2 K:

20 If the function f is quasiconcave at x0 with respect to K; then,

for each z 2 M with the property that

f (x) f x0 2 K;

we have

rf (x0 ) x x0 2 K:

f x0 f (x) 2 K:

Since x0 is an interior point of M; there exists a real number r 2 ]0; +1[

such that

B x0 ; r := fx 2 Rn : x x0 < rg M:

t < r= x x0 ;

we have

(1.10.1) w = (1 t) x0 + tx = x0 + t x x0 2 B x0 ; r M:

t 2]0; 1[; t < r= kx x0 k ; we have

f (x0 ) f (1 t) x0 + tx 2 K:

1 1

(1.10.2) f x0 + t(x x0 ) f x0 2 K = K;

t t

for all t 2]0; 1[; t < r= kx x0 k ; the last equality in (1.10.2) holds

because K is a convex cone.

Furthermore, the function f is dierentiable at x0 ; then there exists

1

lim ff x0 + t(x x0 ) f x0 g = rf (x0 ) (x x0 ):

t!0 t

Then, taking the limit of expression (1.10.2) and taking into account

the fact that K is a closed set, we deduce that

(1.10.3) rf (x0 ) (x x0 ) 2 K:

68 1. CONVEX ANALYSIS

K be a closed convex cone in Rm and f : M ! Rm be a dierentiable

function on M:

10 If the function f is quasiconvex on M with respect to K; then,

for each x; x0 2 M with the property that

f x0 f (x) 2 K;

we have

rf (x0 ) x0 x 2 K:

20 If the function f is quasiconcave on M with respect to K; then,

for each x; x0 2 M with the property that

f (x) f x0 2 K;

we have

rf (x0 ) x x0 2 K:

viously the implication from the denitions quasiconvex and quasicon-

cave functions are true for x = x0 and t = 0 and t = 1: Consequently, in

this case, it is not necessary to require that x 6= x0 ; t 6= 0 and t 6= 1:

from M; K be a subset of Rm with nonempty interior and f : M ! Rm

be a function.

We say that the function f is strictly quasiconvex (respectively

strictly quasiconcave) at x0 with respect to K; if the function f is

quasiconvex (respectively quasiconcave) at x0 with respect to intK:

a subset of Rm with nonempty interior and f : M ! Rm be a function.

We say that the function f is strictly quasiconvex (respectively

strictly quasiconcave) on M with respect to K; if the function f is

strictly quasiconvex (respectively strictly quasiconcave) at each point

x0 2 M with respect to K:

from M; K be a convex cone in Rm with nonempty interior and f :

M ! Rm be a function.

10 If the function f is convex at x0 with respect to K; then the

function f is strictly quasiconvex at x0 with respect to K:

10. QUASICONVEX FUNCTIONS 69

function f is strictly quasiconcave at x0 with respect to K:

Proof. 10 Let x 2 M n fx0 g with property that

f x0 f (x) 2 intK

function f at x0 with respect to K; we have

(1 t)f (x0 ) + tf (x) f ((1 t)x0 + tx) 2 K:

Then

f (x0 ) f ((1 t)x0 + tx) =

= [(1 t)f (x0 ) + tf (x) f ((1 t)x0 + tx)] + t [f (x0 ) f (x)] 2

2 K + tintK = intK:

to K:

Statement 20 is established in a similar way.

From Theorem 12 follows.

Theorem 1.10.13 Let M be a nonempty convex subset of Rn ; K be

a convex cone in Rm with nonempty interior and f : M ! Rm be a

function.

10 If the function f is convex on M with respect to K; then the

function f is strictly quasiconvex on M with respect to K:

20 If the function f is concave on M with respect to K; then the

function f is strictly quasiconcave on M with respect to K:

CHAPTER 2

Optimality Conditions

1. Optimization Problems

By a minimization problem we understand a problem of the follow-

ing type:

Being given:

a) a nonempty subset M of the space Rn ;

b) a nonempty subset K of the space Rm ;

c) the functions f : M ! R and g : M ! Rm ;

nd all (locally) minimum points of the function f on the set

X = fx 2 M : g(x) 2 Kg:

the literature as follows

(2.1.1) min f (x)

subject to

x 2 X;

or explicitly

min f (x)

subject to (

x 2 M;

g(x) 2 K:

The function f is called the criteria function, the set X is called

the set of the feasible solutions (or the feasible set) of Problem (2.1.1) ;

the relation g (x) 2 K is called the constraint of the problem and the

function g is called the constraint function.

Minimization problem (2.1.1) is said to be consistent if X 6= ; and

inconsistent if X = ;: All points x from the feasible set X are called

feasible points, or feasible solution of the minimization problem (2.1.1).

We say that the point x0 2 X is a solution of minimization problem

(2.1.1) if

f x0 = minff (x) : x 2 Xg.

71

72 2. OPTIMALITY CONDITIONS

problem (2.1.1) if there exists a neigborhood V of the point x0 such

that

f x0 = minff (x) : x 2 X \ Vg:

We say that the minimization problem (2.1.1) does not have solu-

tions if

inf ff (x) : x 2 Xg > 1

0

and an x 2 X such that

inf ff (x) : x 2 Xg = f x0

does not exist.

Problem (2.1.1) does not have nite solutions if there exists a se-

quence xk k2N with xk 2 X; for all k 2 N, such that

lim f xk = 1:

k!1

the literature as follows

max f (x)

subject to

x 2 X;

or explicitly

max f (x)

subject to (

x 2 M;

g(x) 2 K:

Minimization problems and maximization problems are called op-

timization problems.

Since

max ff (x) : x 2 Xg = min f( f (x)) : x 2 Xg ;

min f (x)

subject to

x 2 X:

According to the properties of the sets M and K and of the func-

tions f and g which are used in order to dene Problem (2.1.1) one

may distinguish between dierent classes of optimization problems.

2. DOREL I. DUCA 73

Two types of questions can appear when working with the opti-

mization problem (2.1.1) :

(i) determine necessary, respectively su cient conditions for a

point x0 2 Rn to be a solution or a local solution of Problem (2.1.1) ;

and

(ii) discover some numerical methods for determining a solution or

a local solution of Problem (2.1.1) :

Even though for question (i) above one can give both necessary and

su cient conditions for a point x0 2 Rn to be a solution of Problem

(2.1.1) ; question (ii) is far from being answered.

During this section we shall consider the optimization problem:

subject to

x 2 X;

where X is a nonempty subset of Rn and f : X ! R is a function.

We establish now a basic result concerning the set of solutions of

the optimization problem (2.2.1).

X ! R be a quasiconvex function on X with respect to R+ : Then the

set of the solutions of Problem (2.2.1) is convex.

Proof. Let x0 and x1 be two solutions of Problem (2.2.1) : It is

obvious that x0 ; x1 2 X and

f x0 = f x1 = min ff (x) : x 2 Xg

and therefore

(2.2.2) f x0 f x1 0:

xt = (1 t) x0 + tx1 2 X:

(2.2.2) it follows that

f x0 f x t 2 R+ ;

or equivalently,

f x0 = f xt :

74 2. OPTIMALITY CONDITIONS

of the solutions of the same problem is convex.

be a function and x0 be a solution of Problem (2.2.1) : If f is strictly

convex at x0 with respect to R+ , then x0 is the unique solution of Prob-

lem (2.2.1) :

Proof. Let x1 6= x0 be another solution of Problem (2.2.1) : Then

x ; x1 2 X and

0

f z0 f z 1 = 0:

xt = (1 t) x0 + tx1 2 X:

that

(1 t) f x0 + tf x1 f xt > 0

and therefore

f z t < (1 t) f x0 + tf x1 =

= f x0 t f x0 f x1 =

= f x0 ;

which is a contradiction to the fact that x0 is a solution of Problem

(2.2.1) : Thus, x1 cannot be dierent from x0 :

local solution of Problem (2.2.1):

Proof. It is immediate.

The converse of Theorem 3 does not generally hold. The follow-

ing theorem gives a su cient condition for the converse statement of

Theorem 3 to hold.

X ! R be a convex function on X with respect to R+ : If x0 is a local

solution of Problem (2.2.1), then x0 is a solution of Problem (2.2.1) :

2. DOREL I. DUCA 75

exists r 2 R; r > 0 such that

f x0 5 f (x) ; for all x 2 X \ B x0 ; r :

Let us suppose that there exists a point x1 with the property that

(2.2.3) f x1 < f x0 :

xt = (1 t) x0 + tx1 2 X; for all t 2 ]0; 1[ :

r

0<t< :

kx0 x1 k

Then

xt x0 = (1 t) x0 + tx1 x0 = t x0 x1 < r

and thus

xt 2 X \ B x0 ; r :

Therefore

(2.2.4) f xt = f x0 :

taking into account (2.2.3) ; it follows that

f xt 5 (1 t) f x0 + tf x1 <

< (1 t) f x0 + tf x0 =

= f x0 ;

which is a contradiction to (2.2.4) :

X ! R be a concave function on X with respect to R+ ; under the

assumption that it is not a constant. If x0 is a solution of Problem

(2.2.1) ; then x0 belongs to the boundary of X:

76 2. OPTIMALITY CONDITIONS

X:

Let us consider the case when intX 6= ;: Because f is not a constant

it follows that there exists x1 2 X such that

f x0 < f x1 :

Let now z 2 intX; then there exists a real number r > 0 such that

B (x; r) X:

Let us denote

kx x1 k + 1

t= :

kx x1 k + 1 + r

It is obvious that x 2 ]0; 1[ :

Let

1 1

(2.2.5) w = x+ 1 x1 :

t t

Since

1 r

kx wk = 1 x x1 = x x1 < r;

t kx x1 k + 1

it follows that w 2 B (x; r) and thus w 2 X: We deduce then that

f (w) = f x0 :

x = (1 t) x1 + tw

it follows that x 2 X:

Moreover, since the function f is concave on X with respect to R+ ;

we obtain that

f (x) = f (1 t) x1 + tw =

= (1 t) f x1 + tf (w) >

> (1 t) f x0 + tf x0 =

= f x0 :

Hence, if x 2 intX; then

f (x) > f x0 :

2. DOREL I. DUCA 77

X ! R be a concave function on X with respect to R+ : Then the set of

the points x 2 X which are not solutions of Problem (2.2.1) is convex.

Proof. Let x1 ; u1 2 X be two points which are not solutions of

Problem (2.2.1) ; then there exists x0 2 X such that

f x0 < f x1 and f x0 < f u1 :

xt = (1 t) x1 + tu1 2 X:

Because the function f is concave on X with respect to R+ ; it follows

that

f (x ) = (1 t) f x1 + tf u1 >

> (1 t) f x0 + tf x0 = f x0 :

Consequently, the set of the points form X which are not solutions of

Problem (2.2.1) is convex.

M; x0 2 intX and f : M ! R be a dierentiable function at x0 : A

necessary condition, for x0 to be a solution of Problem (2.2.1) which

is also su cient if the function f is pseudoconvex at x0 with respect to

R+ ; is

(2.2.6) hrf (x0 ); x x0 i = 0; for all x 2 X:

Proof.

dened by

g (t) = f x0 + t x x0 ; for all t 2 [0; 1] :

It is obvious that t = 0 is a minimum point of the function g; then

d

g (t) jt=0 = 0:

dt

Because

d

g (t) jt=0 = rf z 0 z z 0 + rz f z 0 z z0 ;

dt

78 2. OPTIMALITY CONDITIONS

Proof. Su ciency. Inequality (2.2.6) may be written as

T

(2.2.7) rz f z 0 z z 0 + rz f z 0 z z 0 2 CR+ ;

CR+ = fv 2 C : Re v = 0g :

respect to R+ ; from (2.2.7) ; it follows that

f (z) f z 0 2 CR+ ;

or equivalently,

Re f (z) = Re f z 0 :

point of X and f : M ! R be a dierentiable function at xz 0 : A

necessary condition for x0 to be a solution of Problem (2.2.1) is that:

rf (x0 ) = 0:

r > 0 such that

B(x0 ; r) X:

hrf (x0 ); vi = 0; for all v 2 B(0; r):

Therefore

rf (x0 ) 2 (B(0; r)) :

and since

(B(0; r)) = f0g;

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 79

empty convex subset of M; x0 2 X and f : M ! R be a dierentiable

function at x0 and pseudoconvex at z 0 with respect to R+ : If

rf (x0 ) = 0;

Proof. It uses Theorem 7.

Criteria

The purpose of this section is to derive optimality criteria of the

saddle point type for optimization problem. We shall develop the opti-

mality criteria of this section without any dierentiability assumptions

imposed on the functions involved. In the next section will establish

optimality criteria that involve dierentiable functions.

Let M be a nonempty subset of Rn ; K be a nonempty subset of Rm

and f : M ! R and g : M ! Rm be two functions. We shall consider

the following optimization problem:

(2.3.1) min f (x)

subject to (

x2M

g(x) 2 K:

For each u 2 R we attach to Problem (2.3.1) the function Lu :

M Rm ! R dened by

Lu (x; v) := uf (x) hg (x) ; vi ; for all (x; v) 2 M Rm :

holds.

polyhedral cone in Rm with nonempty interior, f : M ! R be a convex

function on M with respect to R+ and g : M ! Rm be a concave

function on M with respect to K.

If x0 is a solution of Problem (2.3.1), then there exist u0 2 R and

v 2 Rm such that:

0

(2.3.3) g(x0 ); v 0 = 0

80 2. OPTIMALITY CONDITIONS

and

(2.3.4) Lu0 (x0 ; v) 5 Lu0 (x0 ; v 0 ) 5 Lu0 (x; v 0 );

Proof. Since x0 is a solution of Problem (2.3.1) it follows that the

system

8 0

< f (x) f (x ) < 0

>

(2.3.5) g(x) 2 K

>

:

x2M

is inconsistent.

System (2.3.5) can be written as:

8 0

< f (x ) f (x) 2 intR+

>

(2.3.6) g(x) 2 K

>

:

x 2 M:

Taking into account Remark ?? and Corollary ??, it follows that there

exist u0 2 R and v 0 2 Rm such that

(2.3.7) u 0 2 R+ = R + ; v 0 2 K ; u0 ; v 0 6= (0; 0)

and

(2.3.8) f (x0 ) f (x); u0 + g(x); v 0 5 0; for all x 2 M:

g(x0 ); v 0 5 0:

g(x0 ); v 0 = 0

and therefore

g(x0 ); v 0 = 0;

i.e. equality (2.3.3) :

Now, from (2.3.8), (2.3.3) and the fact that x0 is a solution of

Problem (2.3.1) ; it follows that

u0 f (x0 ) g(x0 ); v 0 5 u0 f (x) g(x); v 0 ; for all x 2 M;

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 81

us remark that from

g x0 2 K;

we obtain that

g(x0 ); v = 0, for all v 2 K

and therefore

u0 f (x0 ) g(x0 ); v 5 u0 f (x0 ) g(x0 ); v 0 ; for all v 2 K ;

because

g(x0 ); v 0 = 0:

in complex space:

(2.3.9) min f (x1 ; x2 ) := x21 + x22

subject to

(

(x1 ; x2 ) 2 M := f(x1 ; x2 ) 2 R2 : x1 = 0g

g (x1 ; x2 ) := x1 x2 1 2 K := R+ :

One can easily notice that the hypotheses of Theorem 1 are fullled

and it can easily be shown that x0 = (1; 1) is a solution of Problem

(2.3.9) ;

u 0 = 1 2 R+

and

v 0 = 0 2 K = R+

verify (2.3.2) (2.3.4) :

(2.3.10) min x

subject to

x 2 M := R

g(x) := x2 2 K := R+ :

It can be easily seen that the solution of Problem (2.3.10) is x0 =

0 2 R and the hypotheses of Theorem 1 are satised. Then, there exist

u0 2 R and

v 0 2 K = R+ ;

82 2. OPTIMALITY CONDITIONS

Let us suppose that u0 is dierent from 0: Then, from the second

inequality in (2.3.4) it follows that, for each x 2 M; it holds

(2.3.11) 0 5 u0 x + x 2 v 0 :

0 5 u0 x; for all x 2 R;

the fact that (u0 ; v 0 ) 6= (0; 0) : If v 0 were dierent from 0, then taking

in (2.3.11)

x = u0 = 2v 0 2 M = R

we would obtain

2

(u0 )

u0 x + v 0 x 2 = < 0;

(4v 0 )

u0 cannot be dierent from 0.

of Rm , g : M ! Rm be a function and

X = fx 2 M : g (x) 2 Kg :

10 Slaterss constraint qualication with respect to X if intK 6= ;

and there exists a point x1 2 M with the property that

g x1 2 intK:

20 The strict constraint qualication with respect to X if intK 6= ;;

and there exist two dierent points x0 ; x1 2 X and a real number

t 2 ]0; 1[ such that

(1 t) x0 + tx1 2 M

and

g (1 t) x0 + tx1 (1 t) g x0 tg x1 2 intK:

exist v 2 K n f0g such that

hg (x) ; vi 5 0; for all x 2 M:

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 83

the function dened by

g (x) = x, for all x 2 R

and

X = fx 2 M : g (x) 2 Kg = R+ :

Since x1 = 1 2 M = R satises the condition

g x1 = 1 2 intK = fx 2 R : x > 0g;

it follows that the function g satises Slaters constraint qualication

with respect to X:

The function g also satises Karlins complex constraint qualica-

tion with respect to X: Indeed, since

K = R+ ;

we obtain that, for each v 2 K n f0g = fx 2 R : x > 0g; the point

x = v 2 M satises the equality

hg (x) ; vi = v 2 > 0;

and consequently it does not exist v 2 K n f0gsuch that

hg (x) ; vi 5 0; for all x 2 M:

Let now x0 ; x1 2 X and t 2 ]0; 1[ : Obviously,

(1 t) x0 + tx1 2 M = R;

meanwhile

g (1 t) x0 + tx1 (1 t) g x0 tg t1 = 0 62 intK

and therefore the function g satises the strict constraint qualication

with respect to X:

Example 2.3.6 Let M be the entire space Rn ; K = f0g, g : M ! Rn

be the function dened by

g(x) = x, for all x 2 M

and

X = fx 2 M : g(x) 2 Kg:

On one hand, since intK = ;; it follows that the function g does

not satises Slaters constraint qualication with respect to X: Also,

the function g does not satisfy the strict constraint qualication with

respect to X:

84 2. OPTIMALITY CONDITIONS

v 2 M has the property that

hg(x); vi = kvk2 > 0;

hg(x); vi 5 0; for all x 2 M:

tion with respect to X:

be the function dened by

g(x) := x2 ; for all x 2 M

and

X = fx 2 M : g(x) 2 Kg:

Obviously, intK 6= ;: We have

g(x) = x2 5 0; for all x 2 R;

Since X = f0g; if follows that there exist no points x0 ; x1 2 X;

x0 6= x1 and no real number t 2]0; 1[ such that

(1 t)x0 + tx1 2 M

and

g((1 t)x0 + tx1 ) (1 t)g(x0 ) tg(x1 ) 2 intK:

Therefore, the function g does not satisfy the strict constraint quali-

cation with respect to X:

Obviously, for each x 2 R and each v 2 K = R+ ; we have

hg(x); vi = x2 v 5 0:

cation with respect to X:

be the function dened by

g(x) = kxk , for all x 2 M

and

X = fx 2 M : g(x) 2 Kg:

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 85

qualications with respect to X:

Relations between the above constraint qualications are estab-

lished in the following theorem.

convex cone in Rm , g : M ! Rm be a function and

X = fx 2 M : g(x) 2 Kg:

spect to X; then the function g satises Karlins constraint qualication

with respect to X:

20 If the function g satises the strict constraint qualication with

respect to X; then the function g satises Slaters constraint qualica-

tion with respect to X:

30 If, in addition, the set M is convex, K is a polyhedral cone with

nonempty interior and the function g is concave on M with respect to

K; then the function g satises Karlins constraint qualication with

respect to X if and only if the function g satises Slaters constraint

qualication with respect to X:

Proof. 10 Assume that the function g satises Slaters constraint

qualication with respect to X: Then there exists a point x1 2 M such

that

g(x1 ) 2 intK:

Now, if v 2 K n f0g; we have

g(x1 ); v > 0;

hg(x); vi 5 0, for all x 2 M:

respect to X:

20 Assume that the function g satises the strict constraint qual-

ication with respect to X: Then there exist two points x0 ; x1 2 X;

x0 6= x1 and a real number t 2]0; 1[ such that

(1 t)x0 + tx1 2 M

and

(2.3.12) g((1 t)x0 + tx1 ) (1 t)g(x0 ) tg(x1 ) 2 int K:

86 2. OPTIMALITY CONDITIONS

(1 t)g(x0 ) 2 K and tg(x1 ) 2 K:

From (2.3.12) and from the fact that K is a convex cone, we have

g((1 t)x0 + tx1 ) 2 intK + K + K = intK + K intK:

respect to X:

30 Assume that the function g satises Karlins constraint quali-

cation with respect to X: Then there exists no v 2 K n f0g such

that

hg(x); vi 5 0, for all x 2 M:

From this, we deduce that the system

(

g(x) 2 intK

x2M

cation with respect to X:

From this and from statement 10 above, it follows that the function

g satises Karlins constraint qualication with respect to X if and only

if the function g satises Slaters constraint qualication with respect

to X.

M ! Rm ; where M Rn and of a set K Rm for which none of the

strict, Slaters, or Karlins constraint qualications with respect to

X = fx 2 M : g (x) 2 Kg

is satised.

We derive now one of the most important saddlepoint theorems of

Kuhn-Tucker type.

be a polyhedral cone with nonempty interior, f : M ! R be a convex

function on M with respect to R+ ; g : M ! Rm be a concave function

on M with respect to K; and

X = fx 2 M : g(x) 2 Kg:

i) The function g satises Slaters constraint qualication with re-

spect to X; or

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 87

respect to X; or

iii) The function g satises Karlins constraint qualication with

respect to X:

If x0 is a solution of Problem (2.3.1), then there exists a point

v 2 Cm such that

0

(2.3.13) v0 2 K ;

(2.3.14) g(x0 ); v 0 = 0

and

(2.3.15) L1 (x0 ; v) 5 L1 (x0 ; v 0 ) 5 L1 (x; v 0 ); for all (x; v) 2 M K :

theorem under assumption i).

u0 ; vb0 ) 2 R Rm

By Theorem 1, it results that there exists a point (b

such that

(2.3.16) b0 2 R+ ; vb0 2 K ; (b

u u0 ; vb0 ) 6= (0; 0);

and

(2.3.18)

Lub0 (x0 ; v) 5 Lub0 (x0 ; vb0 ) 5 Lub0 (x; vb0 ); for all (x; v) 2 M K :

We will show now by contradiction that u b0 6= 0: Suppose that u

b0 =

0; then from (2.3.16) ; if follows that vb0 6= 0: From (2.3.17) and the

second inequality in (2.3.18) we obtain

(2.3.19) 05 g(x); vb0 ; for all x 2 M:

Since the function g satises Slaters constraint qualication with re-

spect to X; there exists a point x1 2 M such that

g(x1 ) 2 intK;

then

g(x1 ); v > 0; for all v 2 K n f0g:

Since vb0 2 K n f0g; it results that

g(x1 ); vb0 > 0;

b0 6= 0:

88 2. OPTIMALITY CONDITIONS

Dividing (2.3.17) and (2.3.18) by u

v 0 = (1=b

u0 )b

v0

(2.3.20) min f (x) := x21 + x22 + ::: + x2n

subject to

(

x := (x1 ; x2 ; :::; xn ) 2 M = Rn

g(x) := hx; ei 1 2 K = R+ ;

the function f is convex on Rn with respect to R+ and the function

g is concave on Rn with respect to K and satises Slaters constraint

qualication with respect to

X = fx 2 M : g(x) 2 Kg:

that the above problem, (2.3.20) ; has the solution

x0 = (1=n)e 2 Rn

and that p

v0 = 1=n 2 R

satises (2.3.13) (2.3.15) :

The converse of Theorem 11 holds under wider assumptions.

convex cone in Rm ; f : M ! R and g : M ! Rm be two functions. If

there exist x0 2 Rn ; u0 2 R; v 0 2 Rm such that

(2.3.21) x0 2 M; u0 > 0; v 0 2 K

and

(2.3.22)

Lu0 (x0 ; v) 5 Lu0 (x0 ; v 0 ) 5 Lu0 (x; v 0 ); for all (x; v) 2 M K ;

3. NECESSARY AND SUFFICIENT OPTIMALITY CRITERIA 89

(2.3.23) g x0 ; v v 0 = 0; for all v 2 K ;

or

g x0 ; w = 0; for all w 2 K ;

from which we deduce that

g x0 2 (K ) = K;

solution of Problem (2.3.1) :

Moreover, since g (x0 ) 2 K and v 0 2 K it follows that

g x0 ; v 0 = 0

and hence

(2.3.24) g x0 ; v 0 = 0;

g x0 ; v 0 5 0:

Let now x 2 M be a feasible solution of Problem (2.3.1) : Then

(2.3.25) g (x) ; v 0 = 0:

follows that

u0 f (x) = u0 f (x) hg(x); v 0 i =

= u0 f (x0 ) hg(x0 ); v 0 i =

= u0 f (x0 ):

Since u0 > 0 we deduce that

f (x) = f x0

(2.3.26) min f (x1 ; x2 ) := x1

subject to

(x1 ; x2 ) 2 M := R2

g (x1 ; x2 ) := x1 ; (x1 )3 + x2 2 K;

90 2. OPTIMALITY CONDITIONS

where

K := f(v1 ; v2 ) 2 R2 : v1 = 0; v2 = 0g:

(0; 0) 2 R2 ; u0 = 1 2 R and v 0 = (1; 0) 2 R2 verify (2.3.21) and

(2.3.22) : Consequently, x0 is a solution of Problem (2.3.1) :

cone in Theorem 13 is essential. If K is not a closed convex cone we

cannot guarantee that x0 is a feasible solution of Problem (2.3.1) :

Indeed, let us consider the following optimization problem in com-

plex space:

(2.3.27) min f (x1 ; x2 ) := x1

subject to

(

(x1 ; x2 ) 2 M := R2

g(x1 ; x2 ) := (x1 ; x2 ) 2 K := f(x1 ; x2 ) 2 R2 : x2 < x1 ; x2 < x1 g:

of Problem (2.3.27); Problem (2.3.27) does not have solutions. Let us

remark that K is a convex cone but it is not a closed set.

u0 < 0 and the other hypotheses are satised, then it can be proved

that x0 is a solution of Problem

max f (x)

subject to

(

x2M

g (x) 2 K;

4. NECESSARY OPTIMALITY CRITERIA 91

Optimization Problems with Dierentiable Hypothesis

about the Functions

The purpose of this section is to derive necessary optimality criteria

for optimization problems. In the necessary optimality conditions de-

rived here, convexity does not play a crucial role. The dierentiability

property of the functions is used to linearize the optimization problem

and then theorems of the alternative are used to obtain the necessary

optimality conditions. In order to derive the most important necessary

optimality conditions, constraint qualications are needed.

Let us consider the optimization problem:

(2.4.1) min f (x)

subject to

x2M

g (x) 2 K;

where M Rn and K Rm are two nonempty sets and f : M ! R

and g : M ! Rm are two functions.

In what follows we use the following notations: If M is a nonempty

subset of Rn , x0 is a point from M; q is a positive integer number,

a1 ; :::; aq are points from Rm n f0g,

S := \fH= (ak ) : k 2 f1; :::; qgg;

where

H= (ak ) := fv 2 Rm : hv; ak i = 0g; k 2 f1; :::; qg

(2.4.2) E := fk 2 f1; :::; qg : hg(x0 ); ak i = 0g;

Q := E n P; N := f1; :::; qg n E

and

K(g(x0 )) := \fH= (ak ) : k 2 Eg:

lishes the nonexistence of a solution of a system of linear inequalities

whenever the optimization problem has a solution.

92 2. OPTIMALITY CONDITIONS

point of M; f : M ! R and g : M ! Rm be two dierentiable functions

at x0 and

K := \fH= (ak ) : k 2 f1; :::; qgg

be a polyhedral cone in Rm :

If x0 2 Rn is a local solution of the optimization problem (2.4.1),

then the system:

8

>

> [rf (x0 )] (x) < 0

>

>

< [rg(x0 )](z); ak > 0, k 2 Q

(2.4.3)

>

>

> [rg(x0 )](z); ak = 0, k 2 P

>

:

x 2 Rn

has no solution x 2 Rn .

Proof. Since x0 2 M is a local solution of Problem (2.4.1); there

exists a real number re > 0 such that if

(2.4.4) B(x0 ; re) := fx 2 Rn : x x0 < reg

and

X := fx 2 M : g(x) 2 Kg;

then the system

(

f (x0 ) < f (x)

(2.4.5)

x 2 X \ B(x0 ; re);

is inconsistent.

We shall show that if x 2 Rn satises System (2.4.3), then a con-

tradiction follows.

Let x 2 Rn be a solution of System (2.4.5). Then, since x0 is an

interior point of M , there exists a real number rb 2]0; re] such that

x0 + tx 2 M

for all t 2 [0; rb[:,

Since f and g are dierentiable at x0 ; it follows that, for all t 2 [0; rb[;

we have:

and

g(x0 + tx) = g(x0 ) + t rg(x0 ) (x) + t x x0 "g (x0 + tx; x0 );

4. NECESSARY OPTIMALITY CRITERIA 93

t!0

and

(2.4.7) lim "g (x0 + tx; x0 ) = "g (x0 ; x0 ) = 0:

t!0

hg(x0 + tx); ak i = hg(x0 ); ak i + t [rz g(x0 )] (x); ak +

(2.4.8)

+ t kx x0 k h"g (x0 + tx; x0 ); ak i;

t!0

i) From (2.4.3), (??); (2.4.6) and (??); we deduce that there exists

a real number r0 2]0; rb] such that

ii) From (2.4.8)-(2.4.9); (??) and (2.4.3) it follows that, for each

k 2 Q; there exists a real number rk 2]0; rb] such that

Consequently,

(2.4.11) g(x0 + tx) 2 H= (ak ); for all t 2 [0; rk [ and all k 2 Q:

from (2.4.3), we obtain that

Consequently,

(2.4.12) g(x0 + tx) 2 H= (ak ); for all t 2 [0; rb[ and all k 2 P;

because

hg(x0 ); ak i = 0; for all k 2 P E:

iv) From (2.4.8) and (2.4.9), it follows that, for each k 2 N =

f1; :::; qg n E; there exists a real number rk 2]0; rb] such that

Consequently,

94 2. OPTIMALITY CONDITIONS

r0 ; rk (k 2 N [ Q)

(2.4.13), it follows that

r

x1 = x0 + x 2 X \ B(x0 ; re)

2

and

f (x1 ) < f (x0 ).

Consequently, system (2.4.5) has the solution x = x1 which is a con-

tradiction.

We establish now a necessary optimality criteria based on the above

linearization theorem.

rior point of M: Let f : M ! R and g : M ! Rm be two dierentiable

functions at x0 ;

K(g(x0 )) be the sets dened by (2.4.2 ):

If x0 is a local solution of the optimization problem (2.4.1), then

there exist the points u0 2 R, v 0 2 Rm and 2 Rq such that:

(2.4.15) = ( k ) 2 Rq+ ;

q

X

0 k

(2.4.17) v = ka ;

k=1

(2.4.18) if Q = ;; then u0 6= 0;

4. NECESSARY OPTIMALITY CRITERIA 95

(2.4.20) g(x0 ); v 0 = 0;

A) If P = Q = ;; then system (2.4.3) becomes:

(

[rf (x0 )] (x) < 0

x 2 Rn

if the system

(

[rf (x0 ) (w) = 0

w 2 R+ n f0g

= 0 2 Rq :

B) If Q = ; and P 6= ;; then E = P and system (2.4.3) becomes

8 0

< [rf (x )] (x) < 0

>

[rg(x0 )](ak )(x) = 0, k 2 P

>

:

x 2 Rn :

If

rf x0 = 0;

then the theorem holds with u0 = 1 2 R, v 0 = 0 2 Rm and = 0 2 Rq :

If

rf x0 6= 0;

then by Corollary ??, the system

T

Xh T

iT

(2.4.22) rf x0 (u) rg x0 (ak ) (yk ) = 0

k2E

(2.4.23) u0 > 0 and yE = (yk )k2E = 0:

Let us dene

q

X

0 k

(2.4.24) v = ka and = ( 1 ; :::; q) 2 Rq ;

k=1

96 2. OPTIMALITY CONDITIONS

where

(

yk ; if k 2 E

(2.4.25) k =

0; if k 2 N = f1; :::; qg n E:

Since

q

X X

0 k

(2.4.26) v = ka = y k ak ;

k=1 k2E

we have that

(2.4.27) v 0 2 K(g(x0 ) ) K :

(2.4.24), (2.4.25) (2.4.26) and (2.4.2) it follows that equality (2.4.20)

holds and from (2.4.22), (2.4.24); (2.4.25) and (2.4.26) follows equality

(2.4.21).

C ) Let Q 6= ;: If

rf x0 = 0;

then the theorem holds with u0 = 1 2 R; v 0 = 0 2 Rm and = 0 2 Rq :

If

rf x0 6= 0;

then by Corollary ??, the system

T

X T

(2.4.28) rf x0 (u) rg x0 (ak )(yk ) = 0

k2E

has a solution

(2.4.29) u0 ; yE > (0; 0)

with

(2.4.30) u0 ; yQ > (0; 0);

where

yE = (yk )k2E and yJ = (yk )k2J :

Let us dene

q

X

0 k

(2.4.31) v = ka and = ( 1 ; :::; q) 2 Rq ;

k=1

where

(

yk ; if k 2 E

(2.4.32) k =

0; if k 2 N = f1; :::; qg n E:

4. NECESSARY OPTIMALITY CRITERIA 97

Obviously,

q

X X

0 k

(2.4.33) v = ka = yk ak 2 (K(g(x0 ))) :

k=1 k2E

and (2.4.2) it follows that equality (2.4.20) holds and from (2.4.28),

(2.4.31) and (2.4.32) follows equality (2.4.21). It remains to show that

(u0 ; v 0 ) 6= (0; 0) and (u0 ; Q ) 6= (0; 0): If u0 = 0; then from (2.4.30) it

follows that Q 0; hence (u0 ; Q ) 6= (0; 0):

If u0 = 0; since Q 0; from (2.4.31)-(2.4.32) we have that the

system

8 P q

< k

ka = 0

k=1

:

= ( k) > 0

has a solution = 2 Rq : By Corollary ??, the system

(

w; ak > 0; k 2 f1; :::; qg

w 2 Cm

v 0 6= 0 and hence (u0 ; v 0 ) 6= (0; 0): This completes the proof.

We derive now the Fritz John type saddle point theorem.

point of M and K Rm be a polyhedral cone with nonempty interior.

Let also f : M ! R be a dierentiable function at x0 and convex at x0

with respect to R+ and g : M ! Rm be a dierentiable function at x0

and concave at x0 with respect to K:

If x0 is a local solution of Problem (??), then there exist u0 2 R

and v 0 2 Rm such that

(2.4.34) u0 2 R+ , v 0 2 K g x 0 K ; u0 ; v 0 6= (0; 0) ;

(2.4.35) g(x0 ); v 0 = 0;

of Problem (??) dened by

98 2. OPTIMALITY CONDITIONS

Theorem 2, there exist u0 2 R and v 0 2 Rm such that (2.4.14)-(2.4.21)

are true. Hence (2.4.34) and (2.4.35) hold. Moreover, since g(x0 ) 2 K;

we have

hg(x0 ); vi = 0; for all v 2 K

and then

= [u0 f (x0 ) hg (x0 ) ; vi] = Lu0 (x0 ; v); for all v 2 K :

to R+ ; then

for all x 2 M:

The function g is dierentiable at x0 and concave at x0 with respect

to K; then

(2.4.37) D E

T

= x x0 ; [rg(x0 )] (v 0 ) ;

for all x 2 M:

From (??), (2.4.37) and (2.4.21), it follows that

Lu0 (x; v 0 ) Lu0 (x0 ; v 0 ) = [u0 (f (x) f (x0 ))] [hg(x) g(x0 ); v 0 i] =

= hx

T T

x0 ; [rf (x0 )] (u0 ) [rg(x0 )] (v 0 )i = 0 for all x 2 M:

4. NECESSARY OPTIMALITY CRITERIA 99

criteria, there is no guarantee that u0 > 0 in Theorem 2 above. In the

case when u0 = 0; the function f disappears from (2.4.14)-(2.4.21) and

hence from (??), therefore we have a degenerate case. As it was done

in section 3, it is possible to exclude such cases by introducing restric-

tions on the constraints. These restrictions are again called constraint

qualications. In addition to Slaters constraint qualication, Kar-

lins constraint qualication and the strict constraint qualication, we

shall introduce the Arrow-Hurwicz-Uzawa constraint qualication, the

reverse-concave constraint qualication, the Kuhn-Tucker constraint

qualication and the weak constraint qualication.

point of M and

the set

X := fx 2 M : g(x) 2 Kg

is said to satisfy:

10 The Arrow-Hurwicz-Uzawa constraint qualication at x0 with

respect to X if g is dierentiable at x0 and the system

8 0 k

< [rg(x )] (x) ; a > 0; k 2 Q

>

(2.4.38) [rg(x0 )] (x) ; ak = 0; k 2 P

>

:

x 2 Rn ;

20 The reverse-concave constraint qualication at x0 with respect

to X if g is dierentiable at x0 and pseudoconvex at x0 with respect to

K(g(x0 )):

30 The Kuhn-Tucker constraint qualication at x0 with respect to

X if g is dierentiable at x0 and for each x 2 Rn nf0g with the property

that

there exists a real number " > 0 and a function : [0; "[! Rn dieren-

tiable at 0 such that

d

(0) = x0 ; (0) = x

dt

100 2. OPTIMALITY CONDITIONS

and

(t) 2 M; g( (t)) 2 K; for all t 2 [0; "[:

40 The weak constraint qualication at x0 with respect to X if g is

dierentiable at x0 and the system

8 0 T

>

< [rg(x )] (v) = 0

(2.4.40) hg(x0 ); vi = 0

>

:

v2K

Some relations between the constraint qualications are established

in what follows.

point of M;

K := \fH= (ak ) : k 2 f1; :::; qgg

be a polyhedral cone in Rn , g : M ! Rm be a function and

x0 2 X =: fx 2 M : g(x) 2 Kg:

cation at x0 with respect to X; then the function g satises the Arrow-

Hurwicz-Uzawa constraint qualication at x0 with respect to X:

20 If the function g satises the reverse-concave constraint quali-

cation at x0 with respect to X; then the function g satises the Kuhn-

Tucker constraint qualication at x0 with respect to X:

30 Let g be dierentiable at x0 and concave at x0 with respect to

K(g(x0 )): If the function g satises Slaters constraint qualication

with respect to X; then the function g satises the Arrow-Hurwicz-

Uzawa constraint qualication at x0 with respect to X:

40 Let g be dierentiable at x0 and concave at x0 with respect to K:

If the function g satises Slaters constraint qualication with respect

to X; then the function g satises the weak constraint qualication with

respect to X:

50 Let K be with nonempty interior. If the function g satises the

weak constraint qualication at x0 with respect to X; then the function

g satises the Arrow-Hurwicz-Uzawa constraint qualication at x0 with

respect to X:

60 Let g be dierentiable at x0 and concave at x0 with respect to

K(g(x0 )): If the function g satises the strict constraint qualication

4. NECESSARY OPTIMALITY CRITERIA 101

Uzawa constraint qualication at x0 with respect to X:

70 Let g be dierentiable at x0 and concave at x0 with respect to K:

If the function g satises the strict constraint qualication with respect

to X; then the function g satises the weak constraint qualication at

x0 with respect to X:

80 Let M be convex, g be concave on M with respect to K; intK 6= ;

and g dierentiable at x0 : If the function g satises Karlins constraint

qualication with respect to X; then the function g satises the Arrow-

Hurwicz-Uzawa constraint qualication at x0 with respect to X:

Proof. 10 Assume that the function g satises the reverse-concave

constraint qualication at x0 with respect to X: Since g is pseudoconvex

at x0 with respect to K(g(x0 )); we have Q = ;: Then system (2.4.38)

becomes

(

[rg(x0 )] (x) ; ak = 0; k 2 P

x 2 Rn ;

which, obviously, is consistent (x = 0 2 Rn is a solution). Hence the

function g satises the Arrow-Hurwicz-Uzawa constraint qualication

at x0 with respect to X:

20 Assume that the function g satises the reverse-concave con-

straint qualication at x0 with respect to X and let x 2 Rn n f0g

satises (2.4.39) : Let : R ! Rn be the function dened by

d

(2.4.41) (0) = x0 and (0) = x:

dt

We will show that there exists a real number " > 0 such that

such that:

102 2. OPTIMALITY CONDITIONS

Since g is pseudoconvex at x0 with respect to K(g(x0 )); from (2.4.43)

we obtain

and hence

because

g(x0 ) 2 K(g(x0 ))

and K(g(x0 )) is a convex cone.

If E = f1; :::; qg; the assertion is trivial. Assume that E 6= f1; :::; qg:

The function g being dierentiable at x0 ; we have

+ t kxk "(x0 + tx; x0 );

for all t 2 [0; r[; where

t!0

From this it follows that, for each k 2 f1; :::; qg; we have

(2.4.45)

+ t kxk "(x0 + tx; x0 ); ak ; for all t 2 [0; r[

and

(2.4.46) lim "(x0 + tx; x0 ); ak = "(x0 ; x0 ); ak = 0:

t!0

If

k 2 N = fk 2 f1; :::; qg : g(x0 ); ak > 0g;

then, from (2.4.45) and (2.4.46) ; it follows that there exists a real

number rk 2]0; r0 [ such that

(2.4.47) g( (t)); ak = 0;

If we denote by

" = minfrk : k 2 N g;

then " > 0 and, by (2.4.47) ; it follows that

4. NECESSARY OPTIMALITY CRITERIA 103

Since

K = K(g(x0 )) \ \fH= (ak ) : k 2 P g ;

to X is satised.

30 Assume that the function g satises Slaters constraint quali-

cation with respect to X; then there exists x1 M such that g (x1 ) 2

intS. Since the function g is dierentiable at x0 and concave at x0 with

respect to K(g(x0 )); we have

g x0 ; ak = 0; for all k 2 E:

hence the Arrow-Hurwicz-Uzawa constraint qualication at x0 with

respect to X is satised.

40 Assume that the function g satises Slaters constraint quali-

cation with respect to X; then there exists x1 2 M such that g(x1 ) 2

intS: It follows that

satised, then there exists a point v 0 2 K n f0g such that

( T

[rg(x0 )] (v 0 ) = 0

(2.4.50)

hg(x0 ); v 0 i = 0:

to K; we have

104 2. OPTIMALITY CONDITIONS

(2.4.51) D E

0 1 0 0 T

= hg(x ); vi + x x ; [rg(x )] (v) ;

the inequality (2.4.51) becomes

g(x1 ); v 0 5 0;

50 Assume, by contradiction, that the function g does not satisfy

the Arrow-Hurwicz-Uzawa constraint qualication at x0 with respect

to X: Then system (2.4.38) is inconsistent. Obviously, in this case

Q 6= ;; otherwise z = 0 2 Rn is a solution of system (2.4.38), hence g

satises the Arrow-Hurwicz-Uzawa constraint qualication at x0 with

respect to X:

We distingwish two cases:

i) On one hand, for each k 2 Q; we have

T

(2.4.52) rg(x0 ) ak = 0

Let us denote X

v= ak 2 R m :

k2Q

T

(2.4.53) rg(x0 ) (v) = 0:

Obviously,

(2.4.54) v2K

and hence

X

(2.4.55) g(x0 ); v = g(x0 ); ak :

k2Q

then the system

8 P k

> ka = 0

>

< k2Q

> ( k )k2Q = 0

>

:

k 2 R, k 2 Q;

4. NECESSARY OPTIMALITY CRITERIA 105

Corollary ??, the system

(

w; ak > 0; k 2 Q

w 2 Rm

(

w; ak > 0; k 2 f1; :::; qg

w 2 Rm

(2.4.56) v 6= 0:

From (2.4.53) (2.4.56) it follows that system (2.4.40) has nonzero

solutions. Consequently, the function g does not satysfy the weak con-

straint qualication at x0 with respect to X; which contradicts the

hypothesis.

ii) There exists k 2 Q such that

T

rg(x0 ) ak 6= 0:

there exist the real numbers k , (k 2 E) such that

(2.4.57) ( k )k2E > 0;

and

T

(2.4.58) rg(x0 ) (v) 6= 0:

where

q

(

X k, if k 2 E

k

v= ka and k =

k=1

0; if k 2 f1; :::; qg n E:

Obviously

(2.4.59) v2K

and

X

(2.4.60) g(x0 ); v = k g(x0 ); ak = 0:

k2E

106 2. OPTIMALITY CONDITIONS

the system 8 P k

>

> ka = 0

< k2E

> ( k )k2E > 0

>

:

k 2 R, k 2 E

(

w; ak > 0; k 2 E

w 2 Rm ;

(

w; ak > 0; k 2 f1; :::; qg

w 2 Rm ;

but this, together with (2.4.58) (2.4.60) contradicts the fact that the

function g satises the weak constraint qualication at x0 with respect

to X:

60 Assertion 60 follows immediately from assertion 20 of Theorem

9 and the above assertion 30 :

70 Apply assertion 20 of Theorem 9 and the above assertion 40 .

80 Apply assertion 30 of Theorem 9 and the above assertions 30 and

0

4:

point of M; and K be a polyhedral cone in Rm . Let also A 2 Rm n ;

b 2 Rm and g : M ! Rm be the function dened by

g(x) := A (x) + b; for all x 2 M:

If

x0 2 X := fx 2 M : g(x) 2 Kg;

then the function g satises the reverse-concave constraint qualication

at x0 with respect to X:

Proof. Obviously the function g is dierentiable at x0 and

rg(x0 ) = A:

point x0 ; it follows that g satises the reverse-concave constraint qual-

ication at x0 with respect to X:

4. NECESSARY OPTIMALITY CRITERIA 107

point of M and K be a polyhedral cone in Rm . Let also A 2 Rm n ;

b 2 Rm and g : M ! Rm be the function dened by

g(x) =: A (x) + b for all x 2 M:

If

X =: fx 2 M : g(x) 2 Kg;

and x0 2 X, then the function g satises the Kuhn-Tucker constraint

qualication at x0 with respect to X:

Proof. Apply Theorem 6 and Theorem 5.

We derive now the fundamental necessary optimality criterion of

the optimization problem.

point of M and K be a polyhedral cone in Rm . Let also f : M ! R

and g : M ! Rm be two dierentiable functions at x0 : Moreover, let us

assume that one of the following conditions fullled:

10 The function g satises the Arrow-Hurwicz-Uzawa constraint

qualication at x0 with respect to X and intK 6= ;; or

20 The function g satises the Kuhn-Tucker constraint qualication

at x0 with respect to X; or

30 The function g satises the reverse-concave constraint qualica-

tion at x0 with respect to X; or

40 The function g satises the weak constraint qualication at x0

with respect to X and intS 6= ;; or

50 The function g is concave at x0 with respect to K(g(x0 )); and

satises the Slater constraint qualication with respect to X; or

60 The function g is concave at x0 with respect to K(g(x0 )); and

satises the strict constraint qualication with respect to X; or

70 The set M is convex, intS 6= ;; g is concave on M with respect

to K; and satises Karlins constraint qualication with respect to X:

If x0 is a local solution of Problem (2.4.1); then there exists a point

v 2 Rm such that:

0

(2.4.62) g(x0 ); v 0 = 0;

and

T

(2.4.63) rf (x0 ) rg(x0 ) v 0 = 0:

108 2. OPTIMALITY CONDITIONS

number q = 1 and q points a1 ; :::; aq 2 Rm n f0g such that

K = \fH= (ak ) : k 2 f1; :::; qgg;

where

H= (ak ) = fv 2 Rm : v; ak = 0g; for all k 2 f1; :::; qg:

the assumptions 10 or 20 :

10 Since the hypotheses of Theorem 2 are satised there exist u1 2

R, v 1 2 Rm and = ( k ) 2 Rq such that

(2.4.65) = ( k ) 2 Rq+ ;

q

X

1 k

(2.4.67) v = ka ;

k=1

(2.4.68) if Q = ;; then u1 6= 0;

(2.4.70) g(x0 ); v 1 = 0;

i) If Q = ;; then (2.4.68) shows that u1 6= 0:

ii) If Q 6= ;; since g satises the Arrow-Hurwicz-Uzawa constraint

qualication at x0 with respect to X, system (2.4.38) is consistent. Let

x1 be a solution of system (2.4.38) : Assume that u1 = 0; then from

(2.4.69) it follows that

(2.4.72) Q = ( k )k2Q > 0;

(2.4.73) [rg x0 ]T (v 1 ) = 0:

4. NECESSARY OPTIMALITY CRITERIA 109

duce that

0 = hx1 ; [rg (x0 )]T (v 1 ))i = h[rg(x0 )] (x1 ) ; v 1 i =

P q P

= [rg(x0 )] (x1 ) ; ka

k

= [rg(x0 )] (x1 ) ; ka

k

=

k=1 k2E

P P

= [rg(x0 )] (x1 ) ; ak = k [rg(x0 )] (x1 ) ; ak > 0;

k2E k2Q

Since v 1 2 (K(g(x0 ))) K and since (K(g(x0 ))) and K are

1

cones and u > 0; it follows that

(1=u1 )v 1 2 (K(g(x0 ))) K :

v 0 = (1=u1 )v 1

20 Let x 2 Rn n f0g with the property that

(2.4.74) [rg(x0 )] (x) 2 K(g(x0 )):

with respect to X; there exists a real number " > 0 and a function

: [0; "[! Rm dierentiable at the point t = 0 such that

d

(2.4.75) (0) = x0 ; (0) = x

dt

and

(t) 2 M; g( (t)) 2 K, for all t 2 [0; "[:

Since x0 is a local solution of Problem (2.4.1) ; we have

d

f ( (t)) jt=0 = 0;

dt

hence

(2.4.76) [rf (x0 )] (x) = 0:

Hence the system

8

< [rf (x0 )] (z) < 0

(2.4.77) h i

: [rg(x0 )]T ak (x) = 0; k 2 E

110 2. OPTIMALITY CONDITIONS

is inconsistent.

If

rf (x0 ) = 0;

then the theorem holds with v 0 = 0 2 Rm: :

If

rf (x0 ) 6= 0;

then system (2.4.77) being inconsistent, it follows that the system

T

Xh T

iT

(2.4.78) rf (x0 ) (u) rg(x0 ) ak (yk ) = 0;

k2E

has a solution (u1 ; yE ) > 0 with u1 > 0; where yE = (yk )k2E : Now from

(2.4.78) ; we obtain

T

rf (x0 ) rg(x0 ) v 0 = 0;

where X yk

v0 = ak :

k2E

u1

By dening

(

(yk )= (u1 ) , if k 2 E

k =

0; if k 2 f1; :::; qg n f0g

we have that

q

X

0 k

v = ka and v 0 2 (K(g(x0 ))) K :

k=1

Moreover X

g(x0 ); v 0 = k g(x0 ); ak = 0

k2E

We give the following Kuhn-Tucker type saddlepoint theorem as a

consequence of Theorem 8.

point of M and K be a polyhedral cone in Rm . Let also f : M ! R

be a dierentiable function at x0 convex at x0 with respect to R+ and

let g : M ! Rm be a dierentiable function at x0 concave at x0 with

respect to K: In addition, let one of the following conditions hold:

5. SUFFICIENT CONDITIONS 111

straint qualication at x0 with respect to X and intK 6= ;; or

20 The function g satises the Kuhn-Tucker complex constraint

qualication at x0 with respect to X; or

30 The function g satises the reverse-concave complex constraint

qualication at x0 with respect to X; or

40 The function g satises the weak complex constraint qualication

at x0 with respect to X and intK 6= ;; or

50 The function g is concave at x0 with respect to K(g(z 0 )) and

satises the Slater complex constraint qualication with respect to X;

or

60 The function g is concave at x0 with respect to K(g(z 0 )) and

satises the strict complex constraint qualication with respect to X; or

70 The set M is convex, intK 6= ;; g is concave on M with respect to

K and satises the Karlin complex constraint qualication with respect

to X:

If x0 is a local solution of Problem (2.4.1) ; then there exists a point

v 2 Rm such that:

0

v 0 2 (K(g(z 0 ))) K ;

g(x0 ); v 0 = 0;

and

L1 (x0 ; v) 5 L1 (x0 ; v 0 ) 5 L1 (x; v 0 );

Problem (2.4.1) given by the formula

L1 (x; v) = f (x) hg(x); vi for all (x; v) 2 M K :

Optimization Problems with Dierentiable Hypothesis

about the Functions

The purpose of this paragraph is to give some su cient conditions

for the solution of an optimization problem

Consider the optimization problem:

(2.5.1) min f (x)

112 2. OPTIMALITY CONDITIONS

subject to (

x2M

g(x) 2 K;

where M is a nonempty subset of Rn ; K is a nonempty subset of Rm

and f : M ! R and g : M ! Rm are two functions.

Theorem 2.5.1 Let M be a nonempty subset of Rn and x0 be an

interior point of M: Let also f : M ! R and g : M ! Rm be two

dierentiable functions at x0 and K be a closed convex cone in Rm :

A su cient condition for

x0 2 X := fx 2 M : g(x) 2 Kg;

to be a solution of Problem (2.5.1) is that there exists a point v 0 2 Rm

such that the function L : M ! R dened by

(2.5.2) L(x) := f (x) hg(x); v 0 i; for all x 2 M;

is pseudoconvex at x0 with respect to R+ and

(2.5.3) v0 2 K ;

(2.5.4) hg(x0 ); v 0 i = 0;

and

(2.5.5) hx x0 ; rf (x0 ) [rg(x0 )]H v 0 i = 0;

for all x 2 X:

Proof. Obviously, the function L is dierentiable at x0 and

rL(x0 ) = rf (x0 ) [rg(x0 )]T v 0 ;

(2.5.6) x x0 ; rL(x0 ) = 0; for all x 2 X:

at x0 with respect to R+ : Moreover, (2.5.6) is true. Therefore, the

hypotheses of Theorem 7 are satised. Then, it follows that

(2.5.7) L(x) = L(x0 ); for all x 2 X:

Let now x 2 X: Since v 0 2 K and g(x) 2 K we have

hg(x); v 0 i = 0:

Taking into account that (2.5.7) and (2.5.4) hold, we obtain

5. SUFFICIENT CONDITIONS 113

= f (x0 ); for all x 2 X:

Therefore x0 is a solution of Problem (2.5.1).

(2.5.8) min f (x1 ; x2 ) := x21 + x22

subject to

(

(x1 ; x2 ) 2 R2

g (x1 ; x2 ) := z 2 + 2zz + z 2 2iz + 2iz 2 S;

f (x1 ; x2 ) = x21 + x22 ; for all (x1 ; x2 ) 2 R2

and

g(x1 ; x2 ) = (x1 )2 + (x2 )2 ; for all (x1 ; x2 ) 2 R2 :

For v 0 = 0 2 R, the function L : R2 ! R dened by (2.5.2) becomes

L (x1 ; x2 ) = x21 + x22 ; for all (x1 ; x2 ) 2 R2

hypotheses of Theorem 1 are satised, then x0 = (0; 0) is a solution of

Problem (2.5.8).

Corollary ??.

point of M and K be a polyhedral cone in Rm . Let also f : M ! R be a

dierentiable function at x0 which is pseudoconvex at x0 with respect to

R+ and g : M ! Rm be a dierentiable function at x0 and quasiconcave

at x0 with respect to K(g(x0 )):

A su cient condition for

x0 2 X := fx 2 M : g(x) 2 Kg

such that

(2.5.9) v 0 2 K g x0

and

(2.5.10) hx x0 ; rf (x0 ) [rg(x0 )]H v 0 i = 0; for all x 2 X:

114 2. OPTIMALITY CONDITIONS

(2.5.11) g(x) 2 K K(g(x0 ))

and

(2.5.12) g(x0 ) 2 K(g(x0 )):

(2.5.13) g (x) g(x0 ) 2 K(g(x0 )):

(2.5.13) ; it results that

(2.5.14) [rg(x0 )] x x0 2 K(g(x0 )):

[rg(x0 )] x x0 ; v 0 = 0;

or, if we take into account the properties of the inner product we have

(2.5.15) x x0 ; [rg(x0 )]H v 0 = 0:

Adding (2.5.10) and (2.5.15) we obtain

x x0 ; rf (x0 ) = 0;

which, leads us to

f (x) = f (x0 )

if we take into account the fact that the function f is pseudoconvex at

z 0 with respect to R+ : Therefore x0 is a solution of Problem (2.5.1) :

point of M , f : M ! R and g : M ! Rm be twice dierentiable

functions at x0 and

K =: \fH= (ak ) : k 2 f1; :::; qgg

be a polyhedral cone in Rm :

Let

(2.5.16) ( k ) 2 Rq+

such that

q

X

0 k

(2.5.17) v = ka 2K

k 1

5. SUFFICIENT CONDITIONS 115

satises

(2.5.18) g x0 ; v 0 = 0

and

(2.5.19) rf (x0 ) [rg(x0 )]H v 0 = 0:

(

h[rg(x0 )] (d) ; ak i = 0; k 2 fk 2 E : k > 0g

(2.5.20)

[rg(x0 )] (d) 2 K(g(x0 ));

we have

(2.5.21) hd; [r2 f (x0 ) r2 g(x0 )u0 ]di > 0;

Proof. Assume that x0 is not a local solution of Problem (2.5.1):

Then there exists a sequence (xj )j2N from X n fx0 g which converges to

x0 such that

(2.5.22) f (xj ) < f (x0 ); for all j 2 N.

1 j

tj = xj x0 and dj = (x x0 ):

tj

Then we have

tj > 0 and xj = x0 + tj dj ; for all j 2 N

and

lim tj = 0:

j!1

Since

dj = 1; for all j 2 N;

it follows that the sequence (dj )j2N contains a convergent subsequence.

Without loss of generality we can assume that the sequence itself is

convergent. Let

d = lim dj :

j!1

Then

kdk = 1:

From

xj 2 X; for all j 2 N;

116 2. OPTIMALITY CONDITIONS

we have

g(xj ) 2 K; for all j 2 N

and hence

g(xj ) g(x0 ) 2 K(g(x0 )); for all j 2 N.

Moreover

1

d x0 + tj dj g x0 2 K:

tj

From this, by passing to limit, we obtain that

(2.5.23) [rg(x0 )] (d) 2 K(g(x0 ));

or, equivalently

h[rg(x0 )] (d) ; ak i = 0, for all k 2 E:

1

[f (x0 + tj dj ) f (x0 )] < 0; for all j 2 N.

tj

(2.5.24) [rf (x0 )] (d) 5 0:

(2.5.25) h[rg(x0 )] (d) ; ak i = 0 for all k 2 fk 2 E : k > 0g :

(2.5.26) h[rg(x0 )] (d) ; ak0 i > 0:

P

q

h[rg(x0 )] (d) ; v 0 i = h[rg(x0 )] (d) ; ka

k

i=

k=1

P

q P

= k h[rg(x

0

)] (d) ; ak i = k h[rg(x

0

)] (d) ; ak i =

k=1 k2E

= k0 h[rg(x

0

)] (d) ; ak0 i > 0:

Hence

(2.5.27) h[rg(x0 )] (d) ; v 0 i > 0:

5. SUFFICIENT CONDITIONS 117

h[rg(x0 )] (d) ; v 0 i = hd; [rg(x0 )]H (v 0 )i =

= hd; [rf (x0 )]i = [rf (x0 )] (d) 5 0;

From (2.5.25) and (2.5.23); it follows that d is a solution of system

(??): Since d 2 Rn n f0g; we have

(2.5.28) hd; [r2 f (x0 ) r2 g(x0 )u0 ]di > 0:

F (x) = f (x) hg(x); u0 i for all x 2 M;

then, from (2.5.28) we obtain

(2.5.29) hd; [r2 F (x0 )]d > 0:

We have

F (xj ) = f (xj ) hg(xj ); v 0 i 5 f (x0 ) =

5 f (x0 ) hg(x0 ); v 0 i = F (x0 ) for all j 2 N,

because

g(xj ) 2 K for all j 2 N,

v 0 2 K and hg(x0 ); v 0 i = 0:

Since

X

m

0 0

rF (x ) = rf (x ) vk0 rg(x0 );

k=1

it follows that

F (x0 + tj dj ) F (x0 ) tj hdj ; rF (x0 )i =

= f (x0 + tj dj ) hg(x0 + tj dj ); v 0 i f (x0 ) + hg(x0 ); v 0 i

P m

tj hdj ; rf (x0 ) vk0 rgk (x0 ) i =

k=1

0 j 0

= f (x + tj d ) f (x ) hg(x0 + tj dj ); v 0 i

f (x0 + tj dj ) f (x0 ) for all j 2 N.

Hence

1

[F (x0 + tj dj ) F (x0 ) tj hdj ; rF (x0 )i] 5 0 for all j 2 N.

t2j

hr2 F (x0 )i 5 0

118 2. OPTIMALITY CONDITIONS

Therefore x0 is a local solution of Problem (2.5.1):

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