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Quantitative Finance · Glossary

What is Karush–Kuhn–Tucker conditions?

Also known as: Karush--Kuhn--Tucker conditions

Definition 23.7 Quantitative Methods · Chapter 23 — Convex Optimisation

The Karush–Kuhn–Tucker conditions at (x,λ,ν)(x, \lambda, \nu) are primal feasibility, dual feasibility (λ≥0\lambda \ge 0), complementary slackness (λigi(x)=0\lambda_ig_i(x) = 0) and stationarity, ∇f(x)+∑iλi∇gi(x)+A⊤ν=0\nabla f(x) + \sum_i\lambda_i\nabla g_i(x) + A^\top\nu = 0 (Karush, 1939; Kuhn and Tucker, 1951).

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