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MathGroup Archive 2009

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FindMinimum KKT results

  • To: mathgroup at smc.vnet.net
  • Subject: [mg97864] FindMinimum KKT results
  • From: "Stuart Nettleton" <Stuart.Nettleton at uts.edu.au>
  • Date: Tue, 24 Mar 2009 05:30:52 -0500 (EST)
  • Organization: University of Technology, Sydney

Greetings,
Would someone be able to suggest if Kuhn Karush Tucker (KKT) results are  
available from FindMinimum? KKT residuals are indeed calculated as I  
sometimes see when my optimisations fail to converge. Just as a guide to  
the size of my task, FindMinimum sometimes takes around 100 hours of hard  
work to find the minimum I need (and I am in awe of what it does).  
Lagrange multipliers for linear constraints can be output from Linear  
Programming with the DualLinearProgramming function. So what I am looking  
for is a sort of undocumented "DualFindMinimum" to show the KKT nonlinear  
constraint equivalents of Lagrange multipliers. It is possible to  
calculate the KKT from fundamentals but this takes a long time for very  
large problems and there is no guarantee that the KKT multipliers I locate  
with FindInstance are actually the ones finally settled on by FindMinimum.
Look forward to any thoughts on the topic!
Thanks,
Stuart

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