Next: Condition Number of the Up: Review of The Basics: Previous: Unconstrained Optimization

## Constrained Optimization

Consider next the problem

 (5)

where . We derive now the optimality conditions for this case. Consider changes in and correspondingly in as
 (6)

where and are related through the equation
 (7)

which is a linearization of the constraint equation in (5). The variation in the functional can be written as
 (8)

For this formulation we see that a descent direction for the functional depends on , which is not known before we have decided about the direction of change (since depends on ). Using is not a viable approach and we are going to derive a different one. The idea is to eliminate the dependence of the variation in the functional on . We derive it in details since later on we need to do a similar derivation for partial differential equations (PDE) and there things may look less obvious.

From equation (7) for we have (by taking transpose),

 (9)

and therefore also
 (10)

for an arbitrary vector . The plan is to add this term, which is zero, to our expression for the variation in the cost functional and then by using a proper choice for simplifying the variation of the cost functional such that it does not depend on . Clearly,
 (11)

and by recombination of terms
 (12)

and this is true for all . Now a proper choice for that simplifies (12) is given by
 (13)

 (14)

Equation (13) for is called the adjoint (or costate) equation and is called the adjoint (costate) variable, or the Lagrange multiplier. Note the last expression for the variation of given by (14) does not depends on , but it does depends on , which satisfies the adjoint equation listed above. It is clear that the choice
 (15)

is a direction of descent for the functional , since
 (16)

This direction is called the steepest descent direction, and the method based on it is called the steepest descent method.

At a minimum , giving us the optimality condition (necessary condition)

 (17)

The left hand side of the last equation is the gradient of the functional subject to the constraints,
 (18)

Next: Condition Number of the Up: Review of The Basics: Previous: Unconstrained Optimization
Shlomo Ta'asan 2001-08-22