Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Mathematical Economics - Part I -
Parametric
Form
Examples
Optimization
The objectives
of Optimization
Theory

Existence of
Solutions Filomena Garcia
Unconstrained
Optima

Equality
Constraints Fall 2009
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization 1 Optimization in Rn
Filomena Optimization Problems in Rn
Garcia
Optimization Problems in Parametric Form
Optimization Optimization Problems: Some Examples
Optimization
Problems in Rn
Parametric
The objectives of Optimization Theory
Form
Examples 2 Existence of Solutions
The objectives
of Optimization
Theory 3 Unconstrained Optima
Existence of
Solutions 4 Equality Constraints
Unconstrained
Optima
5 Inequality Constraints
Equality 6 Convex Structures in Optimization Theory
Constraints

Inequality 7 Quasiconvexity in Optimization

Constraints

Convex
8 Parametric Continuity: The Maximum Theorem
Structures in
Optimization 9 Supermodularity and Parametric Monotonicity
Theory

Quasiconvexity Filomena Garcia Optimization

 Optimization Problems in Rn

Optimization

Filomena
Garcia
An optimization problem in Rn is one where the values of a
Optimization given function f : Rn → R are to be maximized or minimized
Optimization
Problems in Rn
Parametric
over a given set D ⊂ Rn . The function f is called objective
Form
Examples
function and the set D is called the constraint set.
The objectives
of Optimization We denote the optimization problem as:
Theory

Existence of
Solutions max {f (x) |x ∈ D}
Unconstrained
Optima
A solution to the problem is a point x ∈ D such that
Equality
Constraints f (x) ≥ f (y ) for all y ∈ D.
Inequality We call f (D) the set of attainable values of f in D.
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena
Garcia
It is worth noting the following:
Optimization
Optimization 1 A solution to an optimization problem may not exist
Problems in Rn
Parametric
Form
Example: Let D = R+ and f (x) = x, then f (D) = R+ and
Examples supf (D) = +∞, so the problem max {f (x)|x ∈ D} has no
The objectives
of Optimization
Theory
solution.
Existence of 2 There may be multiple solutions to the optimization
Solutions
problem
Unconstrained
Optima Example: Let D = [−1, 1] and f (x) = x 2 , then the
Equality maximization problem max {f (x)|x ∈ D} has two
Constraints
solutions: x = 1 and x = −1.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena
Garcia We will be concerned about the set of solutions to the
Optimization
optimization problem, knowing that this set could be empty.
Optimization
Problems in Rn
Parametric
Form
argmax [f (x)|x ∈ D] = {x ∈ D |f (x) ≥ f (y ) , ∀y ∈ D }
Examples
The objectives
of Optimization
Theory Two important results to bear in mind:
Existence of
Solutions
1 x is a maximum of f on D if and only if it is a minimum
Unconstrained of −f on D.
Optima
2 Let ϕ : R → R be a strictly increasing function. Then x is
Equality
Constraints a maximum of f on D if and only if x is also a maximum
Inequality
Constraints
of the composition ϕ ◦ f .
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Optimization Problems in Parametric Form

Optimization

Filomena
Garcia
Optimization problems are often presented in parametric form,
Optimization
Optimization
i.e. both the objective function and/or the feasible set depend
Problems in Rn
Parametric on some parameter θ from a set of feasible parameter values Θ.
Form
Examples In this case, we denote the optimization problem as:
The objectives
of Optimization
Theory

Existence of
max {f (x, θ)|x ∈ D(θ)}
Solutions

Unconstrained
Optima
In general, this problem has a solution which also depends on
Equality
θ, i.e.
Constraints x(θ) = argmax {f (x, θ)|x ∈ D(θ)}
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Optimization Problems: Utility Maximization

Optimization

Filomena
Garcia 1 Utility Maximization
Optimization
In consumer theory the agent maximizes his utility from
Optimization
Problems in Rn
consuming xi units of commodity i.
Parametric
Form
The utility is given by u(x1 , ..., xn ).
Examples The constraint set is the set of feasible bundles given that
The objectives
of Optimization
Theory
the agent has an income I and the commodities are priced
Existence of p = (p1 , ...pn ), i.e.
Solutions

B(p, I ) = x ∈ Rn+ |p · x ≤ I

Unconstrained
Optima

Equality
Constraints
Notice that this is a parametrized optimization problem,
Inequality the parameters being (p, I ).1 .
Constraints

Convex
Structures in 1
Optimization Other parameters may exist within the utility function, namely Cobb
Theory Douglas weights
Quasiconvexity Filomena Garcia Optimization
 Optimization Problems: Expenditure Minimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
2 Expenditure Minimization
Parametric
Form
Examples
It is the dual problem to the utility maximization.
The objectives
of Optimization
Consists on minimizing the expenditure constrained on
Theory
attaining a certain level of utility ū.
Existence of
Solutions
The problem is given by:
Unconstrained
Optima min {p · x|u(x) ≥ ū}
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Optimization Problems: Profit Maximization

Optimization

Filomena
Garcia
3 Profit Maximization
Optimization
Optimization
It is the problem of a firm which produces a single output
Problems in Rn
Parametric
using n inputs through the production relationship
Form
Examples
y = g (x1 , ..., xn ).
The objectives
of Optimization
Given the production of y units of good, the firm may
Theory
charge the price p(y ) 2 .
Existence of
Solutions w denotes the vector of input prices.
Unconstrained The firm chooses the input mix which maximizes her
Optima profits, i.e.,
Equality
Constraints
max p(g (x))g (x) − w · x|x ∈ Rn+

Inequality
Constraints

Convex
Structures in
Optimization
2
Theory p(y) is the inverse demand function
Quasiconvexity Filomena Garcia Optimization
 Optimization Problems: Cost Minimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
4 Cost Minimization
Parametric
Form
Examples
It is the dual problem to the profit maximization.
The objectives
of Optimization
Consists on minimizing the cost of producing at least ȳ
Theory
units of output.
Existence of
Solutions
The problem is given by:
Unconstrained
Optima min {w · x|g (x) ≥ ȳ }
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Optimization Problems: Consumption-Leisure
Choice
Optimization

Filomena
Garcia
5 Consumption-Leisure Choice
Optimization It is a model of the labor-supply decision process of
Optimization
Problems in Rn households in which the income becomes also an object of
Parametric
Form
Examples
choice.
The objectives
of Optimization
Let H be the amount of hours that the agent has available.
Theory
The wage rate of labor time is given by w . If working for L
Existence of
Solutions
units of time, the agent earns wL.
Unconstrained
The agent obtains utility from consumption of x and from
Optima leisure time, l.
Equality Then, the agent’s problem is:
Constraints

Inequality
Constraints
max {u(x, l)|p · x ≤ wL, L + l ≤ H}
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 The objectives of Optimization Theory

Optimization

Filomena
Garcia
The objectives of Optimization Theory are:
Optimization
Optimization
1 Identify the set of conditions on f and D under which the
Problems in Rn
Parametric
existence of solutios to optimization problems is
Form
Examples guaranteed
The objectives
of Optimization
Theory 2 Obtain a characterization of the set of optimal points,
Existence of namely:
Solutions
The identification of necessary conditions for an optimum,
Unconstrained
Optima i.e. conditions that every solution must verify.
Equality The identification of sufficient conditions for an optimum,
Constraints i.e. conditions such that any point that meets them is a
Inequality solution.
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 The objectives of Optimization Theory

Optimization

Filomena
Garcia
The identification of conditions ensuring the uniqueness of
Optimization
Optimization
the solution.
Problems in Rn
Parametric
Form
The identification of a general theory of parametric
Examples variation in a parametrized family of optimization
The objectives
of Optimization
Theory
problems. For example:
Existence of The identification of conditions under which the solution
Solutions
set varies continuously with the parameter θ.
Unconstrained In problems where the parameters and actions have a
Optima

Equality
natural ordering, the identification of conditions in which
Constraints parametric monotonicity is verified, i.e., increasing the
Inequality value of the parameter, increases the value of the action.
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 How we will proceed

Optimization
Section 2: Studies the question of existence of solutions.
Filomena
Garcia The main result is the Weierstrass Theorem, which
Optimization
provides a general set of conditions under which
Optimization
Problems in Rn
optimization problems are guaranteed to have both
Parametric
Form maxima and minima.
Examples
The objectives
of Optimization
From Section 3 to Section 5 we will examine the necessary
Theory
conditions for optima using differentiability assumptions
Existence of
Solutions on the undelying problem. We focus on local optima,
Unconstrained given that differentiability is only a local property.
Optima

Equality Section 3 focuses on the situation in which the optimum

Constraints
occurs in the interior the feasible set D. The main result
Inequality
Constraints are the necessary conditions that must be met by the
Convex objective function at the optimum. Also sufficient
Structures in
Optimization conditions that identify optima are provided.
Theory

Quasiconvexity Filomena Garcia Optimization

 How we will proceed

Optimization

Filomena In Sections 4 and 5 some or all of the constraints

Garcia
determine the optima. :
Optimization
Optimization
Section 4 focuses on equality constraints and the main
Problems in Rn
Parametric
result is the Theorem of Lagrange (both necessary and
Form
Examples sufficient conditions for optima are presented.
The objectives
of Optimization
Theory Section 5 focuses on inequality constraints and the main
Existence of result is the Theorem of Kuhn and Tucker which describes
Solutions

Unconstrained
necessary conditions for optima.
Optima
Sections 6 and 7 turn to the study of sufficient conditions,
Equality
Constraints i.e., conditions that, when met, will identify points as
Inequality being global optima. These are mainly related to the
Constraints
convexity and quasiconvexity of the feasible sets and
Convex
Structures in objective functions.
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 How we will proceed

Optimization

Filomena
Garcia

Optimization
Section 8 and 9 address respectivey the issue of parametric
Optimization
Problems in Rn
continuity and monotonicity of solutions.
Parametric
Form
Examples
The main result of Section 8 is the Maximum Theorem,
The objectives
of Optimization
which states that the continuity assumptions of the
Theory

Existence of
primitives of the optimization problem are inherited,
Solutions although not entirely, by the solutions.
Unconstrained
Optima Section 9 relies on the concept of supermodularity of the
Equality primitives to conclude about the parametric monotonicity
Constraints
of solutions. The main result is the Theorem of Tarski.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Existence of Solutions

Optimization

Filomena
Garcia

Optimization Main Result:

Optimization
Problems in Rn
Parametric
The Weierstrass Theorem
Form
Examples
The objectives
Let D ∈ Rn be a compact and let f : D → R be a continuous
of Optimization
Theory function on D. Then f attains a max and a min on D, i.e.,
Existence of ∃z1 , z2 ∈ D: ∀x ∈ D
Solutions

Unconstrained
Optima f (z1 ) ≥ f (x) ≥ f (z2 )
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Existence of Solutions

Optimization

Filomena
Garcia
Some Definitions:
Optimization
Optimization
Compact set: closed and bounded
Problems in Rn
Parametric
Form
bounded set: is countained within a finite ball.
Examples
The objectives closed: contains its frontier. (valid even if the frontier is
of Optimization
Theory
empty like in R)
Existence of
Solutions Examples: closed interval in R.
Unconstrained
Optima
Continuous function: for any point a in the domain, we have
Equality
that:
Constraints limx→a f (x) = f (a)
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Existence of Solutions

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric
Form Notice: The Weierstrass Theorem gives us sufficient conditions
Examples
The objectives
of Optimization
for maxima or minima to exist, however, we don’t know what
Theory
happens when some or even all of the conditions of the
Existence of
Solutions Theorem are violated.
Unconstrained
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Existence of Solutions

Optimization
Failure of the Weierstrass Theorem:
Filomena
Garcia 1 Let D = R and f (x) = x 3 . f is continuous but D is not
Optimization compact (it is not bounded). Since f (D) = R, f does not
Optimization
Problems in Rn attain a maximum or a minimum on D.
Parametric
Form
Examples
2 Let D = (0, 1) and f (x) = x. f is continuous but D is not
The objectives
of Optimization compact (it is not closed). The set f (D) = (0, 1), so f
Theory

Existence of
does not attain a maximum or a minimum on D.
Solutions
3 Let D = [−1, 1] and let f be given by
Unconstrained
Optima 
Equality 0, x = −1, x = 1
f (x) =
Constraints
1, −1 < x < 1
Inequality
Constraints

Convex
D is compact, but f fails to be continuous. f (D) is the
Structures in
Optimization
open interval (−1, 1)
Theory

Quasiconvexity Filomena Garcia Optimization

 Existence of Solutions

Optimization

Filomena
Garcia

Optimization
Optimization
Intuition of the Proof of the Weierstrass Theorem:
Problems in Rn
Parametric
Form
1 First we show that under the stated conditions f (D) is a
Examples
The objectives
compact set, hence, closed and bounded.
of Optimization
Theory
2 Second, it is shown that if A is a compact set in R, then
Existence of
Solutions max A and min A are always well defined, never beeing
Unconstrained the case that A fails to contain the supremum and the
Optima
infimum. Hence max f (D) and min f (D) must exist on D.
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 The Weierstrass Theorem in Applications

Optimization

Filomena
Garcia

Optimization Consider the applications mentioned in section 1.

Optimization
Problems in Rn The Utility Maximization Problem:
Parametric
Form

Maximize u(x) subject to x ∈ B(p, I ) = x ∈ Rn+ |p · x ≤ I

Examples

The objectives
of Optimization
Theory

Existence of
Solutions We assume u(x) to be continuous.
Unconstrained
Optima
By the Weierstrass Theorem, if B is compact, we must
Equality
have a solution. ⇒ p >> 0
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 The Weierstrass Theorem in Applications

Optimization

Filomena
Garcia
The Cost Minimization Problem:
Optimization

Minimize wx over x ∈ F (y ) = x ∈ Rn+ |g (x) ≥ y

Optimization

Problems in Rn
Parametric
Form
Examples
The objectives
of Optimization The objective function is continuous.
Theory

Existence of But the feasible action set is not compact because it is not
Solutions
bounded.
Unconstrained
Optima
The Weierstrass Theorem does not guarantee or preclude a
Equality
Constraints solution. What can we do to guarantee a solution? Bound the
Inequality set.
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Unconstrained Optima

Optimization

Filomena
Garcia

Optimization
Optimization
Unconstrained optima The constraints do not affect the
Problems in Rn
Parametric optimal point; in other words, the optimum is interior.
Form
Examples
The objectives
Local Maximum: A point x is a local maximum of f on if
of Optimization
Theory there is r > 0 such that f (x) ≥ f (y ) for all y ∈ B(x, r ).
Existence of
Solutions Global Maximum: A point x is a global maximum of f if
Unconstrained for all r > 0, and all y ∈ D, f (x) ≥ f (y ) for all
Optima
y ∈ B (x, r ).
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 First Order Conditions

Optimization

Filomena
Garcia

Optimization Necessary Conditions

Optimization
Problems in Rn
Parametric If x ∗ is a local maximum (or minimum) of the function f on D
Form
Examples and f is differentiable, then Df (x ∗ ) = 0
The objectives
of Optimization
Theory

Existence of
Notice, the reverse is not necessarily true.
Solutions Example:
Unconstrained
Optima
x = 0 for f (x) = x 3
Equality Any point that satisfies the first order conditions (FOC) is a
Constraints
critical point of f on D.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Second Order Conditions

Optimization

Filomena
Garcia

Optimization Sufficient Conditions

Suppose f is a C 2 function on D, and x ∗ is a point in the
Optimization
Problems in Rn
Parametric
Form
Examples
interior of D. Then:
If Df (x ∗ ) = 0 and D 2 f (x ∗ ) is negative definite at x ∗ , then
The objectives
of Optimization
Theory

Existence of x ∗ is a local strict local maximum of f on D.

Solutions

Unconstrained
If Df (x ∗ ) = 0 and D 2 f (x ∗ ) is positive definite at x ∗ , then
Optima x ∗ is a local strict local minimum of f on D.
Equality
Constraints
Notice: This conditions only identify local optima (not global).
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Second Order Conditions

Optimization

Filomena
Garcia Example:
Let f (x) = 2x 3 − 3x 2 and D = R. The first order conditions
Optimization
Optimization are: f 0 (x) = 0 and identify as critical points x = 0 and x = 1.
Problems in Rn
Parametric
Form
At these points, the second order conditions are:
Examples
The objectives
f 00 (0) = −6 < 0 and f 00 (1) = 6 > 0. Hence, 0 is a local
of Optimization
Theory maximum and 1 is a local minimum. However, these are not
Existence of
Solutions
global max or min. In fact, this function has no global max nor
Unconstrained
min (why?).
Optima

Equality
Constraints

Inequality The existence of a global maximum (resp. minimum) in D is

Constraints
guaranteed only if the function is concave (resp. convex) in D
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Constrained Optimization Problems - Equality
Constraints
Optimization

Filomena
Garcia

Optimization
1 It is not often that optimization problems have
Optimization
Problems in Rn
unconstrained solutions.
Parametric
Form
Examples
2 Typically some, or all of the constraints will matter.
The objectives
of Optimization
Theory
3 In this chapter we will look into the constraints of the
Existence of form: g (x) = 0 where g : Rn → R k
Solutions

Unconstrained The problem:

Optima

Equality
Constraints
Maximize f (x) s.t. g(x)=0
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - 2 variables, one restriction

Optimization We can solve graphically

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric
Form
Examples
The objectives
of Optimization
Theory

Existence of
Solutions

Unconstrained
Optima

Equality
Constraints
The solution is:
Inequality
Constraints ∂f ∂g
Convex ∂x1 ∂x1
Structures in ∂f
= ∂g
g (x1 , x2 ) = 0 (1)
Optimization ∂x2 ∂x2
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - 2 variables, one restriction

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn We can solve by substitution
Parametric ∂g
Form Since g (x1 , x2 ) = 0 in the solution, and ∂x2 6= 0, we have an
Examples
The objectives
of Optimization
implicit funtion (what is this?) x2 (x1 ).
Theory
So, the problem becomes:
Existence of
Solutions

Unconstrained
maxx1 f (x1 , x2 (x1 ))
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - 2 variables, one restriction

Optimization
The FOC is:
Filomena
Garcia
∂f ∂f ∂x2
+ =0
Optimization ∂x1 ∂x2 ∂x1
Optimization
Problems in Rn
Parametric By the IMPLICIT FUNCTION THEOREM:
Form
Examples
The objectives ∂g
of Optimization ∂x2
Theory
= − ∂x
∂g
1
Existence of ∂x1
Solutions ∂x2
Unconstrained
Optima The solution is:
Equality
Constraints

Inequality ∂f ∂g
Constraints ∂x1 ∂x1
∂f
= ∂g
g (x1 , x2 ) = 0 (2)
Convex
Structures in ∂x2 ∂x2
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - 2 variables, one restriction

Optimization

Filomena
Garcia
We can rewrite the FOC of the previous problem as:
Optimization ∂g
∂f ∂f ∂x1
Optimization
Problems in Rn − ∂g
=0
Parametric ∂x1 ∂x2
Form ∂x2
Examples
The objectives
of Optimization
Theory
or:
∂f ∂g
Existence of +λ =0
Solutions ∂x1 ∂x1
Unconstrained
Optima where
∂f
Equality
Constraints λ = − ∂x
∂g
2

Inequality ∂x2
Constraints

Convex
which is the FOC of the Lagrangean.
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem

Optimization

Filomena
Garcia
Lagrange Theorem
Optimization
Optimization
Problems in Rn
Let f , g : R2 → R be C 1 functions. Suppose that x ∗ = (x1∗ , x2∗ )
Parametric
Form is a local maximizer or minimizer of f subject to g (x1 ; x2 ) = 0.
Examples
The objectives Suppose also that Dg (x ∗ ) 6= 0. Then, there exists a scalar
of Optimization
Theory λ∗ ∈ R such that (x1∗ , x2∗ , λ∗ ) is a critical point of the
Existence of
Solutions lagrangean function:
Unconstrained
Optima L(x1 ; x2 ; λ) = f (x1 , x2 ) + λg (x1 , x2 )
Equality
Constraints

Inequality
In other words, at (x1∗ , x2∗ , λ∗ ): ∂L
∂x1 = 0, ∂L
∂x2 = 0 and ∂L
∂λ =0
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem

Optimization

Filomena
Garcia

Optimization The constraint qualification

We must assume Dg (x ∗ ) 6= 0. (If there are many variables
Optimization
Problems in Rn
Parametric
Form
Examples
and restrictions, this amounts to say that the Jacobian
The objectives
of Optimization matrix of g is invertible or that the rank is equal to the
Theory

Existence of
number of constraints).
Solutions
This condition allows us to identify g as an implicit
Unconstrained
Optima function.
Equality
Constraints
The inverse of Dg is used in computing λ.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - Necessary conditions

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric Notice: The Lagrange Theorem provides necessary but not
Form
Examples sufficient conditions for local optima.
The objectives
of Optimization
Theory It is not said that if we find x and λ such that g (x) = 0 and
Existence of the FOC of the Lagrangean are equal to zero, that x, λ are
Solutions
indeed an optimum, even if Dg (x) 6= 0.
Unconstrained
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - Necessary conditions

Optimization

Filomena
Garcia
Then why can we use the Lagrange method so often?
Optimization
Optimization Proposition
Problems in Rn
Parametric
Form Suppose that the following two conditions hold:
Examples
The objectives
of Optimization 1 A global optimum x ∗ exists in the given problem.
Theory

Existence of 2 The constraint qualification is met at x ∗ .

Solutions

Unconstrained
Then, there exists a λ∗ such that (x ∗ , λ∗ ) is a critical point of
Optima L.
Equality
Constraints
So, under the conditions of Proposition 27, the Lagrangean
Inequality
Constraints method does identify the optimum.
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Lagrange Theorem - Sufficient Conditions

Optimization

Filomena
Garcia
Sufficient Conditions
Optimization
Optimization Suppose that there is x ∗ and λ∗ which satisfy the constraint
Problems in Rn
Parametric
Form
qualification and solve the FOC of the Lagrangean. Then:
Examples
The objectives If the Bordered Hessean has a positive determinant, we
of Optimization
Theory
have a local maximum
Existence of
Solutions If the Bordered Hessean has a negative determinant, we
Unconstrained
Optima
have a local minimum
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Equality Constraints

Optimization

Filomena
An Example:
Garcia

Maxx x 2 − y 2 s.t. x 2 + y 2 = 1
Optimization
Optimization
Problems in Rn
Parametric
First we verify that the conditions of Proposition work:
Form
Examples
The objectives
1 The function f is continuous and the constraint set is
of Optimization
Theory compact.
Existence of
Solutions 2 The Constraint qualification, namely
Unconstrained Dg (x, y ) = (−2x, −2y ) 6= 0, is met.
Optima

Equality
Then, we can rely on the Theorem of Lagrange to pinpoint the
Constraints optima:
Inequality
Constraints
L(x; y ; λ) = f (x, y ) + λg (x, y ) = x 2 − y 2 + λ(1 − x 2 − y 2 )
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Equality Constraints

Optimization

Filomena
Garcia

Optimization An Example (cont.): The first order condtitions are:

Optimization
Problems in Rn ∂L
Parametric
Form ∂x = 0 ⇔ 2x − λ2x = 0
Examples ∂L
The objectives
∂y = 0 ⇔ −2y − λ2y = 0
of Optimization
Theory
∂L
Existence of ∂λ = 0 ⇔ x2 + y2 = 1
Solutions

Unconstrained The critical points are: (1,0,1);(-1,0,1);(0,1,-1);(0,-1,-1). The

Optima
first two are global maximizers, and the second are global
Equality
Constraints minimizers.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Inequality constraints and Kuhn Tucker

Optimization

Filomena
Garcia

Optimization Most economic problems include non-negativity restrictions and

Optimization
Problems in Rn inequalities in the optimization. For instance, it is natural to
Parametric
Form
Examples
impose that consumption be non negative, or work hours, or
The objectives
of Optimization capital.
Theory

Existence of
In this chapter we will study problems of the form:
Solutions

Unconstrained maxx s.t.g (x) = 0andh(x) ≥ 0

Optima

Equality
Constraints Our tool will be the Kuhn-Tucker Theorem.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Kuhn-Tucker Theorem

Optimization

Filomena
Garcia
Kuhn-Tucker Theorem - Maximization
Let f : Rn → R and hj : Rn → R be C 1 functions, i = 1, ..., l.
Optimization
Optimization Suppose x ∗ is a local maximum of f on
Problems in Rn
Parametric
Form
Examples D = {x ∈ Rn |hi (x) ≥ i = 1, ..., l}
The objectives
of Optimization
Theory

Existence of Let E denote the set of effective (binding) constraints at x ∗ ,

Solutions
and let hE = (hi )i∈E . Suppose that the rank of DhE = |E |.
Unconstrained
Optima Then, there exists a vector λ∗ = (λ∗1 , λ∗2 ..., λ∗l ) such that the
Equality following constraints are met:
Constraints

Inequality
1 λ∗i ≥ 0 and λ∗i hi (x ∗ ) = 0, for i = 1, ..., l.
Constraints
Df (x ∗ ) + li=1 λ∗i Dhi (x ∗ ) = 0
P
2
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Kuhn-Tucker Theorem

Optimization

Filomena
Garcia
Kuhn-Tucker Theorem - Minimization
Optimization
Optimization
Problems in Rn
Let f : Rn → R and hj : Rn → R be C 1 functions, i = 1, ..., l.
Parametric
Form
Suppose x ∗ is a local minimum of f on D. Let E denote the
Examples
The objectives
set of effective (binding) constraints at x ∗ , and let
of Optimization
Theory hE = (hi )i∈E . Suppose that the rank of DhE = |E |. Then,
Existence of
Solutions
there exists a vector λ∗ = (λ∗1 , λ∗2 ..., λ∗z l) such that the
Unconstrained following constraints are met:
Optima
1 λ∗i ≥ 0 and λ∗i hi (x ∗ ) = 0, for i = 1, ..., l.
Equality
Constraints
Df (x ∗ ) − li=1 λ∗i Dhi (x ∗ ) = 0
P
2
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Kuhn-Tucker Theorem - Some Observations

Optimization

Filomena
Garcia

Optimization 1 A pair x ∗ , λ∗ meets the FOC condition for a maximum in

Optimization
Problems in Rn an inequality constrained maximization problem if it
Parametric
Form
Examples
satisfies h(x ∗ ) ≥ 0 and conditions 1 and 2 of the theorem.
The objectives
of Optimization
Theory
2 Condition 1 is called the Complementary slackness
Existence of condition.
Solutions

Unconstrained
3 K-T theorem provides only necessary conditions for local
Optima optima which meet the constraint qualification.
Equality
Df (x ∗ ) − li=1 λ∗i Dhi (x ∗ ) = 0
P
Constraints 4
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Kuhn-Tucker Theorem - Interpreting the conditions

Optimization

Filomena
Complementary Slackness condition
Garcia The Lagrange multipliers give us the effect in the maximum of
Optimization relaxing the restriction. Hence we can have one of three
Optimization
Problems in Rn situations:
Parametric
Form
Examples
1 the restriction is verified with strict inequality, and in that
The objectives
of Optimization case, relaxing the restricting will not change the maximum
Theory

Existence of
value attained: λ = 0 and h > 0.
Solutions
2 the restriction is verified with equality, and in that case,
Unconstrained
Optima relaxing the restricting will at least increase the value
Equality attained: λ > 0 and h = 0.
Constraints

Inequality 3 the restriction is verified with equality, and in that case,

Constraints
relaxing the restricting will maintain the value attained:
Convex
Structures in λ = 0 and h = 0.
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Kuhn-Tucker Theorem - Constraint Qualification

Optimization
Constraint Qualification
Filomena
Garcia
r (DhE (x ∗ )) = |E |
Optimization
Optimization
Problems in Rn An example where the constraint qualification fails:
Parametric
Form Let: f (x, y ) = −(x 2 + y 2 ) and h(x, y ) = (x − 1)3 − y 2 .
Examples
The objectives
of Optimization
Consider the problem of maximizing f subject to h ≥ 0.
Theory
By inspection we see that f attains its max when (x 2 + y 2 )
Existence of
Solutions attains its min. We also must have x ≥ 1 and y ≥ 0. So the
Unconstrained maximum is obtained at (x ∗ , y ∗ ) = (1, 0), a point where the
Optima

Equality
constraint is binding.
Constraints Dh(x ∗ , y ∗ ) = (3(x ∗ − 1)2 , 2y ∗ ) = (0, 0). The K-T theorem
Inequality
Constraints
fails. In fact:
Convex
Structures in
Optimization
Df (x ∗ , y ∗ ) + λ(x ∗ , y ∗ ) = (2, 0) ⇔ .
Theory

Quasiconvexity Filomena Garcia Optimization

 Why the procedure usually works

Optimization

Filomena
Garcia
In general we can rely on the K-T theorem due to the following
Optimization
Optimization
proposition:
Problems in Rn
Parametric
Form Proposition
Examples
The objectives
of Optimization
Theory
Suppose the following conditions hold:
Existence of 1 A global maximum x ∗ exists to the given
Solutions

Unconstrained
inequality-constrained problem.
Optima
2 The constraint qualification is met at x ∗ .
Equality
Constraints Then, there exists λ∗ such that (x ∗ , λ∗ ) is a critical point of L.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 An Example

Optimization

Filomena
Let g (x, y ) = 1 − x 2 − y 2 . Consider the problem of maximizing
Garcia f (x, y ) = x 2 − y over the set D = (x, y )|g (x, y ) ≥ 0.
Optimization
Optimization
1 The conditions of proposition 2 are met: by weierstrass
Problems in Rn
Parametric and the fact that if the constraint is met, x and y cannot
Form
Examples be simmultaneously zero, and hence r (Dg ) = 1.
The objectives
of Optimization
Theory 2 We can use the K-T theorem.
Existence of
Solutions L(x, y , λ) = x 2 − y + λ(1 − x 2 − y 2 )
Unconstrained
Optima

Equality ∂L
Constraints ∂x = 0 ⇔ 2x − 2λx = 0
Inequality ∂L
Constraints ∂y = 0 ⇔ −1 − 2λy = 0
Convex
Structures in
λ ≥ 0,1 − x 2 − y 2 ≥ 0, λ(1 − x 2 − y 2 ) = 0
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 An Example (cont.)

Optimization

Filomena
Garcia
From (1) either x = 0 or λ = 1. If λ =
√
1, (2) implies that
2 2 3
Optimization y = −1/2 and x + y = 1 ⇔ x = ± 2 .
Optimization
Problems in Rn
Parametric
If x = 0, we may have λ = 0 or λ > 0. Take the first case:
Form
Examples λ > 0, then from the CSC we must have y = ±1. y = 1 is
The objectives
of Optimization
Theory inconsistent from (2). so y = −1 and λ = 21 .
Existence of
Solutions
λ = 0 is inconsistent with (2).
√
Unconstrained
Optima
So, the critical points are: (x, y , λ) = ( ±2 3 , − 12 , 1) and
Equality
(x, y , λ) = (0, −1, 21 ) the value of the function is respectively
Constraints 5/4 and 1, hence we obtain the maxima. (why not the
Inequality
Constraints
minimum)?
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Interpreting the Lagrange Multipliers

Optimization The Lagrange multipliers of the Lagrange Theorem and of the

Filomena Kuhn-Tucker Theorem can be interpreted as the sensitivity of
Garcia
the value of the function in the optimum to relaxing the
Optimization
Optimization
restriction.
Problems in Rn
Parametric
Case 1: Equality restrictions
Form
Examples Suppose that we have the following optimization problem:
The objectives
of Optimization
Theory
maxx f (x)s.t.g (x) + c = 0
Existence of
Solutions

Unconstrained We would solve the problem by writing the FOC of the

Optima
Lagrangean w.r.t. x and λ, namely:
Equality
Constraints
∂L ∂f (x) ∂g (x)
Inequality = +λ ; g (x) + c = 0
Constraints ∂x ∂x ∂x
Convex
Structures in The optimum is x ∗ (c) and the value of the function in the
optimum is f (x ∗ (c)).
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena We can compute the effect of c on the optimum of the

Garcia
function.
Optimization
Optimization
Problems in Rn ∂f ∂f (x ∗ (c)) ∂x ∗ (c)
Parametric =
Form
Examples
∂c ∂x ∂c
The objectives ∗
∂f (x (c)) ∂g (x ∗ (c))
of Optimization
Theory = −λ
Existence of ∂x ∂x
Solutions ∗
Unconstrained
Also: ∂g (x∂x(c)) = −1 (because the constraint must be observed
Optima
in the optimum), hence:
Equality
Constraints
∂f
Inequality =λ
Constraints ∂c
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Interpreting the Lagrange Multipliers

Optimization

Filomena Case 2: Inequality restrictions

Garcia
Suppose that we have the following optimization problem:
Optimization
Optimization
Problems in Rn maxx f (x)s.t.h(x) + c ≥ 0
Parametric
Form
Examples
The objectives We would solve the problem by writing the FOC of the
of Optimization
Theory Lagrangean w.r.t. x and λ, namely:
Existence of
Solutions
∂L ∂f (x) ∂g (x)
Unconstrained = +λ
Optima ∂x ∂x ∂x
Equality
Constraints λ ≥ 0, h(x) + c ≥ 0, λ(h(x) + c) = 0
Inequality
Constraints The optimum is x ∗ (c) and the value of the function in the
Convex
Structures in
optimum is f (x ∗ (c)).
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena
Garcia We can compute the effect of c on the optimum of the
function.
Optimization
Optimization
Problems in Rn
Parametric ∂f ∂f (x ∗ (c)) ∂x ∗ (c)
Form =
Examples ∂c ∂x ∂c
The objectives
of Optimization
Theory
∗
∂f (x (c)) ∂h(x ∗ (c))
Existence of
= −λ
Solutions
∂x ∂x
∂f (x ∗ (c))
Unconstrained
Optima
If the restriction is not binding, λ = 0 and, hence, ∂x =0
Equality If the restriction is binding,
∗ ∗
Constraints
h(x) + c = 0 ⇒ ∂h(x∂x(c)) ∂x∂c(c) = −1
Inequality ∂f
Constraints So: ∂c = λ.
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia
The notion of convexity occupies a central position in the study
Optimization of optimization theory. It encompasses not only the idea of
Optimization
Problems in Rn convex sets, but also of concave and convex functions. The
Parametric
Form
Examples
attractiveness of convexity for optimization theory arises from
The objectives
of Optimization the fact that when an optimization problem meets suitable
Theory

Existence of
convexity conditions, the same first-order conditions that we
Solutions have shown in previous to be necessary for local optima, also
Unconstrained
Optima
become sufficient for global optima. Moreover, if the convexity
Equality conditions are tightened to what are called strict convexity
Constraints
conditions, we get the additional bonus of uniqueness of the
Inequality
Constraints solution.
Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity Defined

Optimization We say that an optimization problem is convex if the objective

Filomena function is concave (max) or convex (min) and the feasible set
Garcia
is convex.
Optimization
Optimization
Convex set
Problems in Rn
Parametric
A set D is said to be convex if given x1 , x2 ∈ D we have
Form
Examples λx1 + (1 − λ)x2 ∈ D.
The objectives
of Optimization
Theory
concave function
Existence of A function defined on a convex set D is concave if: given
Solutions
x1 , x2 ∈ D
Unconstrained
Optima
f (λx1 + (1 − λ)x2 ) ≥ λf (x1 ) + (1 − λ)f (x2 )
Equality
Constraints convex function
Inequality
Constraints
A function defined on a convex set D is concave if: given
Convex x1 , x2 ∈ D
Structures in
Optimization
Theory
f (λx1 + (1 − λ)x2 ) ≤ λf (x1 ) + (1 − λ)f (x2 )
Quasiconvexity Filomena Garcia Optimization
 Convexity Defined (cont.)

Optimization

Filomena
Garcia Strictly concave function
Optimization A function defined on a convex set D is concave if: given
Optimization
Problems in Rn x1 , x2 ∈ D
Parametric
Form
Examples
The objectives f (λx1 + (1 − λ)x2 ) > λf (x1 ) + (1 − λ)f (x2 )
of Optimization
Theory

Existence of
Solutions
Strictly convex function
Unconstrained
A function defined on a convex set D is concave if: given
Optima x1 , x2 ∈ D
Equality
Constraints

Inequality
f (λx1 + (1 − λ)x2 ) < λf (x1 ) + (1 − λ)f (x2 )
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Implications of convexity

Optimization

Filomena
Garcia

Optimization
Optimization Every concave or convex function must also be continuous
Problems in Rn
Parametric
Form
on the interior of its domain.
Examples
The objectives
of Optimization
Every concave or convex function must possess minimal
Theory
differentiability properties.
Existence of
Solutions The concavity or convexity of an everywhere differentiable
Unconstrained
Optima
function f can be completely characterized in terms of the
Equality
behavior of its second derivative D 2 f
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Some General Observations
Problems in Rn
Parametric
Form
Theorem 1
Examples
The objectives
of Optimization
Suppose D ⊂ Rn is convex and f : D → R is concave. Then
Theory

Existence of
1 Any local maximum of f is a global maximum of f .
Solutions
2 The set argmax {f (x)|x ∈ D} of maximizers of f on D is
Unconstrained
Optima either empty or convex.
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia

Optimization Some General Observations

Optimization
Problems in Rn
Parametric
Theorem 2
Form
Examples
The objectives
Suppose D ⊂ Rn is convex and f : D → R is strictly concave.
of Optimization
Theory Then
Existence of
Solutions 1 Any local maximum of f is a global maximum of f .
Unconstrained 2 The set argmax {f (x)|x ∈ D} of maximizers of f on D is
Optima

Equality
either empty or or contains a single point (uniqueness).
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn Convexity and Unconstrained Optimization
Parametric
Form
Examples Theorem 3
The objectives

Suppose D ⊂ Rn is convex and f : D → R is concave and

of Optimization
Theory

Existence of
Solutions
differentiable function on D. Then, x is an unconstrained
Unconstrained maximum of f on D if and only if Df (x) = 0.
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia

Optimization
Convexity and the Theorem of Kuhn-Tucker
Optimization
Problems in Rn
Parametric
Theorem 4
Form
Examples
The objectives
Suppose D ⊂ Rn is open and convex and f : D → R is concave
of Optimization
Theory and differentiable function on D. For i = 1, 2...l, let
Existence of
Solutions
hi : D → R also concave. Suppose that there is some x̄ ∈ D
Unconstrained
such that hi (x̄) > 0, i = 1, ...l. Then, x ∗ maximizes f over the
Optima constraint set, if and only if there is λ∗ ∈ Rk such that the
Equality
Constraints
Kuhn Tucker first order conditions hold.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Convexity and Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
The Slater Condition The condition that there is some x̄ ∈ D
Problems in Rn
Parametric such that hi (x̄) > 0 is called the Slater Condition
Form
Examples
The objectives
1 The SC is used only in the proof that the K-T conditions
of Optimization
Theory are necessary at an optimum. It is not related to
Existence of
Solutions
sufficiency.
Unconstrained 2 The rank condition established in the K-T theorem can be
Optima
replaced by the SC and concavity of the constraints.
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity in Optimization

Optimization

Filomena
Garcia

Optimization Convexity carries important implications for optimization.

Optimization
Problems in Rn However it is a quite restrictive assumption. For instance, such
Parametric
Form
Examples
a commonly used utility function,P such as the Cobb Douglas
The objectives
of Optimization
function is not concave unless ni=1 αi ≤ 1.
Theory

Existence of
Solutions u(x1 , ..., xn = x1α1 ...xnαn .
Unconstrained
Optima
In this chapter we examine optimization under a weakening of
Equality
Constraints the condition of convexity, which is called quasi-convexity.
Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity and Quasiconcavity defined

Optimization

Filomena
Garcia quasi-concave function
Optimization A function f defined on a convex set D is quasi-concave if and
Optimization
Problems in Rn only if: for all x1 , x2 ∈ D and for all λ ∈ (0, 1) it is the case that
Parametric
Form
Examples
The objectives f (λx1 + (1 − λ)x2 ) ≥ minf (x1 ), f (x2 )
of Optimization
Theory

Existence of
Solutions
quasi-convex function
Unconstrained
A function defined on a convex set D is concave if: given
Optima x1 , x2 ∈ D
Equality
Constraints

Inequality
f (λx1 + (1 − λ)x2 ) ≤ maxf (x1 ), f (x2 )
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity and Quasiconcavity defined

Optimization

Filomena
Garcia strict quasi-concave function
Optimization A function f defined on a convex set D is quasi-concave if and
Optimization
Problems in Rn only if: for all x1 , x2 ∈ D and for all λ ∈ (0, 1) it is the case that
Parametric
Form
Examples
The objectives f (λx1 + (1 − λ)x2 ) > minf (x1 ), f (x2 )
of Optimization
Theory

Existence of
Solutions
strict quasi-convex function
Unconstrained
A function defined on a convex set D is concave if: given
Optima x1 , x2 ∈ D
Equality
Constraints

Inequality
f (λx1 + (1 − λ)x2 ) < maxf (x1 ), f (x2 )
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity as a generalization of convexity

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric If a function f is concave on a convex set, it is also
Form
Examples quasi-concave on the convex set. Same for concavity. The
The objectives
of Optimization
Theory reverse does not hold.
Existence of Let f : R → R.If f is a nondecreasing function on R, then, f is
Solutions
both quasi concave and quasi-convex.
Unconstrained
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Implications of quasi-convexity

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn Quasi-concave and quasi-convex functions are not
Parametric
Form necessarily continuous on the interior of their domains.
Examples
The objectives
of Optimization Quasi-concave and quasi-convex functions may have local
Theory

Existence of
optima that are not global optima.
Solutions
First order conditions are not necessary to identify every
Unconstrained
Optima local optima under quasi-convexity.
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity and Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Theorem
Problems in Rn
Parametric
Form
Suppose that f : D → R and hi are strictly quasiconcave and
Examples
The objectives
D is convex. Suppose that there are x ∗ and λ∗ such that the
of Optimization
Theory K-T conditions are satisfied. Then, x ∗ maximizes f over D
Existence of
Solutions
provided at least one of the following conditions holds:
Unconstrained 1 Df (x ∗ ) 6= 0
Optima

Equality
2 f is concave
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

 Quasiconvexity and Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn Theorem
Parametric
Form
Examples Suppose that f : D → R is strictly quasiconcave and D is
The objectives
of Optimization
Theory
convex. Then, any local maximum of f on D is also a global
Existence of
maximum of f on D. Moreover, the set or maximizers of f is
Solutions
either empty or a singleton. Same holds for a minimum and
Unconstrained
Optima strictly quasiconvex functions.
Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric
Form
Examples
The objectives
of Optimization
Theory

Existence of
Solutions

Unconstrained
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization

Optimization

Filomena
Garcia

Optimization
Optimization
Problems in Rn
Parametric
Form
Examples
The objectives
of Optimization
Theory

Existence of
Solutions

Unconstrained
Optima

Equality
Constraints

Inequality
Constraints

Convex
Structures in
Optimization
Theory

Quasiconvexity Filomena Garcia Optimization