非光滑优化中的高阶Karush-Kuhn-Tucker条件

Higher-Order Karush--Kuhn--Tucker Conditions in Nonsmooth Optimization

SIAM Journal on Optimization · 2018
被引 17
ABS 3

中文导读

针对带集合和包含约束的一般集值问题,建立了基于高阶导数的KKT乘子规则,包含互补松弛条件,适用于弱解和强解,并给出了四阶包络效应的例子。

Abstract

For a general set-valued problem with set and inclusion constraints we establish higher-order Karush--Kuhn--Tucker multiplier rules with additional complementarity slackness conditions in terms of contingent-type derivatives of index $\gamma \in \{0,1\}$ for weak and firm solutions. Our multiplier rules are in a nonclassical form with a supremum expression on the right-hand side (instead of zero). An example is provided to show a case in which the fourth-order envelope-like effect occurs. We also prove Karush--Kuhn--Tucker rules in terms of Studniarski's derivatives under directional higher-order Hölder metric subregularity. The results are novel even in classical finite-dimensional scalar problems of nonlinear programming. As applications, we consider vector nonlinear programming to have detailed comparisons with known results.

非光滑优化集合约束优化乘子规则非线性规划