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Kuhn-Tucker Conditions


The Kuhn-Tucker conditions, also called the Karush-Kuhn-Tucker conditions, characterize candidate solutions of a constrained problem in optimization theory. For the problem of minimizing f(x) subject to g_i(x)<=0 and h_j(x)=0, they assert the existence of multipliers lambda_i and mu_j such that

del f(x^*)+sum_(i)lambda_idel g_i(x^*)+sum_(j)mu_jdel h_j(x^*)=0
(1)
g_i(x^*)<=0,  h_j(x^*)=0
(2)
lambda_i>=0
(3)
lambda_ig_i(x^*)=0.
(4)

The first relation requires the gradient of the Lagrangian function to vanish. The next two express satisfaction of the original constraints and nonnegativity of the inequality multipliers. The last means that each inequality is active or has zero multiplier. Under standard regularity hypotheses, these conditions are necessary for a local minimum. When f and the g_i are convex functions, they are also sufficient for a global minimum.


See also

Convex Function, Global Minimum, Kuhn-Tucker Theorem, Lagrange Multiplier, Optimization Theory

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References

Nocedal, J. and Wright, S. J. Numerical Optimization. New York: Springer-Verlag, 1999.

Cite this as:

Weisstein, Eric W. "Kuhn-Tucker Conditions." From MathWorld--A Wolfram Resource. https://mathworld.wolfram.com/Kuhn-TuckerConditions.html

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