How can I solve convex optimization problem by applying KKT conditions
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It is a maximization problem by Applying KKT conditions and Lagrange’s multipliers.
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Matt J
on 11 May 2014
Edited: Matt J
on 11 May 2014
I think you've answered your own question. To solve the optimization problem, the way to do it is to apply the KKT conditions and solve the Lagrange multiplier equations.
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Matt J
on 11 May 2014
Well, the KKT conditions lead to nonlinear equations in various variables (some Lagrange multipliers, some the original unknowns) which must be solved, in some cases with bounds lambda>=0 on the Lagrange multipliers corresponding to inequality constraints.
The command lsqnonlin() can solve such problems.
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