Linear Constraints

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Problem. Let \(A\in\mathbb{R}^{m\times n}\) be underdetermined (\(m\ll n\)) and \(A\) is full rank (\(\mbox{rank}(A) = m\)).

\[\begin{cases} \displaystyle \min_{x\in\mathbb{R}^n} f(x) \\ \text{subj. to}\quad Ax = b \end{cases}\]

The feasible set can be written as \(F = \{x \mid Ax = b\} = \{\overline{x} + z\mid z\in\mbox{null}(A)\}\), where \(\overline{x}\) is a particular solution to \(Ax = b\).

Let \(Z\) be the basis for \(\mbox{null}(A)\). Since \(A\) is full rank, we know \(Z\) is \(n\times (n-m)\). Thus, the problem above can be written as

\[\min_{p\in\mathbb{R}^{n-m}} f(\overline{x} + Zp).\]

We proceed to characterize the stationary points w.r.t. \(p\):

\[\begin{align} &\nabla_{p} f(\overline{x} + Zp) = Z^T\nabla f(\overline{x} + Zp) = 0 \\ \Leftrightarrow &\nabla f(\overline{x} + Zp)\in\mbox{null}(Z^T) \\ \Leftrightarrow &\nabla f(\overline{x} + Zp)\in\mbox{range}(A^T). \end{align}\]

Thus, if \(x^*\) is a solution to the linearly constrained problem, then

\[\begin{cases} \nabla f(x^*) = A^Ty\quad \text{for some } y\in\mathbb{R}^{m} \\ Ax^* = b \end{cases}\]

\(y\) is often called the Lagrange Multiplier.

Second-order Necessary Conditions

\(p^*\) is a local minimizer of \(f_Z(p) := f(\overline{x} = Zp)\) if

\[\nabla^2 f_z(p^*) = Z^T\nabla^2 f(\overline{x} + Zp^*)Z\succeq 0.\]

Reduced Gradient Method (WIP)

The problem reduces down to something analogous to the scaled descent algorithm with \(Z\) as the ‘scaling’ matrix (although \(Z\) is not a scaling matrix since \(Z\) is not necessarily positive definite).

  1. Start with a feasible \(x_0\).
  2. The descent directions at each iteration is the solution to \(Z^T\nabla^2 f(x_k) Z p_k = -Z^T \nabla f(x_k)\).