I am wondering if there is a simple example application of the Karush-Kuhn-Tucker conditions to show that a minimum exists for a multivariate minimization/optimization problem. Could anyone suggest a good reference textbook or monograph with an example?

Moreover, I am wondering if there is a computer algebra system (CAS) program or function that can be used to experiment with multivariate equations. The input to the program would be a multivariate equation, whereas the output would be some sort of analytic check for convergence (i.e. that a minimum exists). Perhaps such a program would quickly help to check equations for convergence.

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    $\begingroup$ The KKT conditions are necessary conditions, just like Lagrange multipliers. Generally they cannot be used to show that a minimum exists unless you know something more about the problem (convexity, for example). $\endgroup$ – copper.hat Aug 1 '12 at 18:55
  • $\begingroup$ @copper.hat: Thanks, copper.hat. Is there a good expository reference that deals with the KKT conditions, and perhaps demonstrates how to use them? How do I show convexity? $\endgroup$ – Nicholas Kinar Aug 1 '12 at 19:15
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    $\begingroup$ This is a tough one for me. Frankly, it took me a long time to grasp the KKT conditions (and similar), and it wasn't until I acquired some familiarity with nonsmooth analysis (Frank Clarke, "Optimization and Nonsmooth Analysis") in the context of minimax problems ($\min_x \max_i f_i(x)$) that I began to get a grip on understanding. However, that is a tough route to follow, if understanding KKT is your goal. I have only glanced at the book, but Boyd & Vandenberghe's "Convex Optimization" has a section on KKT for convex problems, which might be good to develop intuition. $\endgroup$ – copper.hat Aug 1 '12 at 20:23
  • $\begingroup$ Oh, these references are just lovely, and the Boyd & Vandenberghe book is available online as well: stanford.edu/~boyd/cvxbook, so I can read it immediately. Please write this up as an answer. $\endgroup$ – Nicholas Kinar Aug 1 '12 at 20:34
  • $\begingroup$ You are welcome, hope it helps you. $\endgroup$ – copper.hat Aug 1 '12 at 20:54

I guess the answer is late, but maybe it can help others with the same problem.

When I needed to understand the KKT conditions, this explanation helped me a lot, with a very simple and complete step by step example. If it is still complicated, I recommend reading this chapter from Mathematial Optimization and Economic Analysis (Luptácik, M.; Springer) on the subject carefully. When you master the basics concepts, you can already go to practically any book or handbook on nonlinear optimization.


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