A3.10

Algorithms and Networks | Part II, 2001

(i) Let PP be the problem

 minimize f(x) subject to h(x)=b,xX\text { minimize } f(x) \quad \text { subject to } h(x)=b, \quad x \in X \text {. }

Explain carefully what it means for the problem PP to be Strong Lagrangian.

Outline the main steps in a proof that a quadratic programming problem

minimize12xTQx+cTx subject to Axb\operatorname{minimize} \frac{1}{2} x^{T} Q x+c^{T} x \quad \text { subject to } A x \geqslant b

where QQ is a symmetric positive semi-definite matrix, is Strong Lagrangian.

[You should carefully state the results you need, but should not prove them.]

(ii) Consider the quadratic programming problem:

minimizex12+2x1x2+2x22+x14x2 subject to 3x1+2x26,x1+x21.\begin{aligned} \operatorname{minimize} & x_{1}^{2}+2 x_{1} x_{2}+2 x_{2}^{2}+x_{1}-4 x_{2} \\ \text { subject to } 3 x_{1}+2 x_{2} \leqslant 6, \quad x_{1}+x_{2} \geqslant 1 . \end{aligned}

State necessary and sufficient conditions for (x1,x2)\left(x_{1}, x_{2}\right) to be optimal, and use the activeset algorithm (explaining your steps briefly) to solve the problem starting with initial condition (2,0)(2,0). Demonstrate that the solution you have found is optimal by showing that it satisfies the necessary and sufficient conditions stated previously.

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