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Chapter 19: Optimality Conditions in Convex Programming

Chapter 19: Optimality Conditions in Convex Programming

pp. 264-276

Authors

, Carnegie Mellon University, Pennsylvania, , Georgia Institute of Technology
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Extract

In this chapter we present convex programming optimality conditions in both sadde point form and Karush--Kuhn--Tucker form for mathematical programming, and also optimality conditions for cone-constrained convex programs and for conic problems. We conclude the chapter by revisiting linear programming duality as a special case of conic duality and reproducing the classical results on the dual of a linearly constrained convex quadratic minimization problem.

Keywords

  • Saddle point form of optimality conditions
  • Karush-Kuhn-Tucker form of optimality conditions
  • KKT optimality conditions in cone-constrained form
  • optimality conditions in Conic Programming
  • Linear Programming duality
  • linearly constrained convex quadratic problem
  • dual of a linearly constrained convex quadratic program

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