[Math] Kuhn Tucker conditions with strict inequality constraints

karush kuhn tucker

I want to know if the Kuhn Tucker conditions can be used to identify a global maximum if one or more of the constraints is a strict inequality. What information would I need to answer this question?

Edit: The problem that motivated me to ask this is the following. Can Kuhn Tucker be applied here?

Doubt

Best Answer

Strict inequality constraints are never binding at a feasible solution (if they were, they wouldn't be strict inequalities). However, they can cause the problem to have no global maximum. What you might do is solve the problem with the strict inequalities replaced by non-strict inequalities. If this new problem has a global maximum where those strict inequalities are satisfied, then that is a global maximum of the original problem. If not, the original problem has no global maximum.

EDIT: Hmm, that's not quite always correct: it is true if the feasible region of the original problem is dense in the feasible region of the new problem. It is true if the new problem has a global maximum $p$ such that the gradients of the strict inequality constraints that are binding at $p$ are linearly independent.

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