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Karush-Kuhn-Tucker Conditions (KKT)

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InfoTheory

Definition

Point xn=(x1,,xn)x^{n}=(x_{1},\ldots,x_{n}) and multipliers λm=(λ1,,λm)\lambda^{m}=(\lambda_{1},\ldots,\lambda_{m}) and vl=(v1,,vl)v^{l}=(v_{1},\ldots,v_{l}) are said to satisfy the KKT conditions if {gi(xn)0, λi0, λigi(xn)=0\mboxfori=1,,mhj(xn)=0\mboxforj=1,,lf(xn)xK+i=1mλigi(xn)xK+j=1lvjhj(xn)xK=0\mboxforK=1,,n\begin{cases} g_{i}(x^{n})\le0, \ \lambda_{i}\ge0, \ \lambda_{i}g_{i}(x^{n})=0&\mbox{for }i=1,\ldots,m \\ h_{j}(x^{n})=0&\mbox{for }j=1,\ldots,l \\ \frac{\partial f(x^{n})}{\partial x_{K}}+\sum\limits^{m}_{i=1}\lambda_{i}\frac{\partial g_{i}(x^{n})}{\partial x_{K}}+\sum\limits^{l}_{j=1}v_{j}\frac{\partial h_{j}(x^{n})}{\partial x_{K}}=0&\mbox{for }K=1,\ldots,n \end{cases}

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