Convex KKT optimality certificate
For differentiable convex f₀,fᵢ on Rⁿ and affine equalities Ax=b, feasible x is optimal if λ≥0, λᵢfᵢ(x)=0 and ∇f₀(x)+Σλᵢ∇fᵢ(x)+Aᵀν=0.
Key knowledge
For differentiable convex f₀,fᵢ on Rⁿ and affine equalities Ax=b, feasible x is optimal if λ≥0, λᵢfᵢ(x)=0 and ∇f₀(x)+Σλᵢ∇fᵢ(x)+Aᵀν=0. If a strictly feasible point with Ax=b exists, every attained optimum admits such multipliers.
Conditions and scope
- Inequalities are fᵢ(x)≤0; λ belongs to those inequalities.
- The necessity statement uses the stated Slater condition; for nonconvex problems KKT alone is not a global certificate.
Sources · 1
References
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Evidence and review
Duality slides 5–18–19: KKT conditions, convex sufficiency and Slater necessity; finite everywhere differentiable case.
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