本题摘自《最优化方法及其Matlab程序设计 第一版》 123(130/271)
【例22】考虑优化问题
m
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s
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\mathrm{min} f(x) = -2x^2_1-x^2_1 \ , \\ \mathrm{s.t.} \quad x^2_1+x^2_2-2=0 \ ,\\ -x_1+x_2 \ge 0 \ , \\ x_1 \ge 0 \ , x_2 \ge 0.
minf(x)=−2x12−x12 ,s.t.x12+x22−2=0 ,−x1+x2≥0 ,x1≥0 ,x2≥0.
试验证
x
∗
=
(
1
,
1
)
T
x^*=(1,1)^\mathrm{T}
x∗=(1,1)T为
K
T
KT
KT点,并求出问题的
K
T
KT
KT对。
【解】记
f
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h
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\begin{aligned} f(x) &= -2x^2_1-x^2_1,\\ h(x) &= x^2_1+x^2_2-2,\\ g_1(x) &= -x_1+x_2, \\ g_2(x) &= x_1, \\ g_3(x) &= x_2. \end{aligned}
f(x)h(x)g1(x)g2(x)g3(x)=−2x12−x12,=x12+x22−2,=−x1+x2,=x1,=x2.
求梯度,得到
▽
f
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x
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=
[
−
4
x
1
−
2
x
2
]
,
▽
h
(
x
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=
[
2
x
1
2
x
2
]
,
▽
g
1
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x
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=
[
−
1
1
]
,
▽
g
2
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x
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=
[
1
0
]
,
▽
g
3
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x
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=
[
0
1
]
.
\begin{aligned} \bigtriangledown f(x) &= \begin{bmatrix} -4x_1 \\ -2x_2 \end{bmatrix}, \quad \bigtriangledown h(x) = \begin{bmatrix} 2x_1 \\ 2x_2 \end{bmatrix}, \\ \bigtriangledown g_1(x) &= \begin{bmatrix} -1 \\ 1 \end{bmatrix}, \quad \bigtriangledown g_2(x) = \begin{bmatrix} 1 \\ 0 \end{bmatrix}, \quad \bigtriangledown g_3(x) = \begin{bmatrix} 0 \\ 1 \end{bmatrix}. \end{aligned}
▽f(x)▽g1(x)=[−4x1−2x2],▽h(x)=[2x12x2],=[−11],▽g2(x)=[10],▽g3(x)=[01].
把
x
∗
=
(
1
,
1
)
T
x^*=(1,1)^\mathrm{T}
x∗=(1,1)T代入上面5个式子,由
K
T
KT
KT条件有,
注意:这里一定注意要加负号!!!!
{
−
4
−
2
μ
+
ω
1
−
ω
2
=
0
−
2
−
2
μ
−
ω
1
+
ω
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=
0
(1)
\left\{\begin{matrix} -4-2\mu+\omega_1-\omega_2 = 0 \\ -2-2\mu-\omega_1+\omega_3 = 0 \end{matrix}\right. \tag{1}
{−4−2μ+ω1−ω2=0−2−2μ−ω1+ω3=0(1)
因为
{
ω
2
▽
g
2
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x
ˉ
)
=
0
ω
3
▽
g
3
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x
ˉ
)
=
0
⇒
{
ω
2
∗
=
0
ω
3
∗
=
0
\left\{\begin{matrix} \omega_2\bigtriangledown g_2(\bar{x}) = 0 \\ \omega_3\bigtriangledown g_3(\bar{x}) = 0 \end{matrix}\right. \Rightarrow \left\{\begin{matrix} \omega^*_2 = 0 \\ \omega^*_3 = 0 \end{matrix}\right.
{ω2▽g2(xˉ)=0ω3▽g3(xˉ)=0⇒{ω2∗=0ω3∗=0
所以
(
1
)
(1)
(1)变为
{
−
4
−
2
μ
+
ω
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=
0
−
2
−
2
μ
−
ω
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=
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(2)
\left\{\begin{matrix} -4-2\mu+\omega_1 = 0 \\ -2-2\mu-\omega_1 = 0 \end{matrix}\right. \tag{2}
{−4−2μ+ω1=0−2−2μ−ω1=0(2)
求解
(
2
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(2)
(2)式,得到
{
μ
∗
=
−
1.5
ω
1
∗
=
1
\left\{\begin{matrix} \begin{aligned} \mu^* &= -1.5 \\ \omega^*_1 &= 1 \end{aligned} \end{matrix}\right.
{μ∗ω1∗=−1.5=1
这表明
x
∗
x^*
x∗ 是
K
T
KT
KT 点,
(
x
∗
,
(
μ
∗
,
ω
∗
)
)
(x^*,(\mu^*,\omega^*))
(x∗,(μ∗,ω∗))是
K
T
KT
KT 对,其中,
μ
∗
=
−
1.5
\mu^*=-1.5
μ∗=−1.5,
ω
∗
=
(
1
,
0
,
0
)
T
\omega^*=(1,0,0)^\mathrm{T}
ω∗=(1,0,0)T。