Donato
Donato
Donato
www.elsevier.com/locate/jfa
Abstract
In this paper an infinite dimensional generalized Lagrange multipliers rule for convex optimization prob-
lems is presented and necessary and sufficient optimality conditions are given in order to guarantee the
strong duality. Furthermore, an application is presented, in particular the existence of Lagrange multipliers
associated to the bi-obstacle problem is obtained.
© 2011 Elsevier Inc. All rights reserved.
Keywords: Lagrange multiplier rule; Convex optimization problems; Strong duality; Assumption S; Bi-obstacle problem
1. Introduction
where θZ is the zero element in the space Z, we consider the optimization problem
0022-1236/$ – see front matter © 2011 Elsevier Inc. All rights reserved.
doi:10.1016/j.jfa.2011.06.006
2084 M.B. Donato / Journal of Functional Analysis 261 (2011) 2083–2093
where
C ∗ = u ∈ Y ∗ : u, y 0, ∀y ∈ C
where
cone(C) = {λx: x ∈ C, λ ∈ R, λ 0}
Definition 1. Given three functions f , g, h and a set K as in (1), we say that Assumption S is
fulfilled at a point x0 ∈ K if and only if
(0, θY , θZ ) ∩ ]−∞, 0[ × {θY } × {θZ } = ∅,
TM (4)
where
=
M f (x) − f (x0 ) + α, g(x) + y, h(x) : x ∈ S \ K, α 0, y ∈ C .
M.B. Donato / Journal of Functional Analysis 261 (2011) 2083–2093 2085
A clear geometrical meaning of Assumption S is that the tangent cone to the subset M
of
R × Y × Z at the point (0, θY , θZ ) does not contain ]−∞, 0[ × {θY } × {θZ }. M
is a particular type
of conic extension of the image of the optimization problem (2) in the image space R × Y × Z.
From an analytic point of view the meaning of Assumption S is that f (xn ) − f (x0 ) + αn , with
αn 0 for all n ∈ N, positively converges to zero when xn does not belong to K but the limits
of the constraint sequences λn (g(xn ) + yn ) and λn (h(xn )) with yn ∈ C and λn > 0 for all n ∈ N,
vanish. Then Assumption S essentially required to show that a particular limit is nonnegative.
After all the calculus of a limit could not be an exorbitant price to pay considering the importance
to have a necessary and sufficient condition for the strong duality.
Now, we recall the main theorem on strong duality theory.
Theorem 1. (See [10].) Assume that the functions f : S → R, g : S → Y are convex and that
h : S → Z is an affine-linear mapping. Assume that Assumption S is fulfilled at the optimal so-
lution x0 ∈ K to (2). Then also problem (3) is solvable and if u ∈ C ∗ , v ∈ Z ∗ are the optimal
solutions to (3), we have
u, g(x0 ) = 0
Assumption S is also a necessary condition for the strong duality, in fact the following corol-
lary holds.
Corollary 1. If the strong duality between problems (2) and (3) holds, then Assumption S is
fulfilled.
An important consequence of the strong duality is the usual relationship between a saddle
point of the so-called Lagrange functional
L(x, u, v) = f (x) + u, g(x) + v, h(x) , ∀x ∈ S, ∀u ∈ C ∗ , ∀v ∈ Z ∗ ,
and the solution to (2) and (3). In fact one has the following theorem.
Theorem 2. (See [8] and [9].) Let the assumptions of Theorem 1 be fulfilled. Then x0 ∈ K is an
optimal solution to problem (2) if and only if there exist u ∈ C ∗ and v ∈ Z ∗ such that (x0 , u, v)
is a saddle point of the Lagrangean functional, namely
In Section 2 of this paper we investigate a generalized Lagrange multipliers rule for the op-
timization problem (2) and formulate a multiplier rule as necessary and sufficient optimality
conditions.
In details we will prove the following theorem.
Theorem 3. Let X be a linear topological space, let Y be a real normed space ordered by a
convex cone C and let Z be a real normed space. Let S be a convex subset of X and let f : S → R
be a given convex functional and let g : S → Y be a given convex mapping and h : S → Z be an
affine-linear mapping. Assume that f , g, h have a directional derivative at x0 ∈ K solution to
problem (2) in every direction x − x0 with arbitrary x ∈ S. Moreover assume that Assumption S
is fulfilled at the minimal point x0 ∈ K. Then there exist u ∈ C ∗ , v ∈ Z ∗ such that
f (x0 ) + u g (x0 ) + v h (x0 ) (x − x0 ) 0, ∀x ∈ S (5)
and
u g(x0 ) = 0. (6)
Vice versa, if (5) and (6) hold, then x0 is the minimal solution of problem (2) and Assumption S
is verified.
It is worth to compare Theorem 3 with well-known results presented in the literature, as,
for example, with Theorem 5.3 and Corollary 5.4 of [17] for the necessary conditions and with
Theorem 5.14 of [17] for the sufficient conditions. In fact, let us observe that our main result,
Theorem 3, generalize Theorem 5.3 of [17], with regard to the case when h is an affine-linear
mapping. Our assumptions are very general and the Kurcyusz–Robinson–Zowe regularity con-
dition (see [21] and [25]):
g (x0 ) C + {g(x0 )}
cone S − {x } + cone = Y × Z,
h (x0 )
0
{θZ }
2. Proof of Theorem 3
Let us start remarking that, in virtue of Theorems 1 and 2, there exist u ∈ C ∗ , v ∈ Z ∗ solutions
to dual problem (3) and one has that
u, g(x0 ) = 0
and
f (x0 ) = max
∗
inf f (x) + u, g(x) + v, h(x) .
u∈C , v∈Z ∗ x∈S
M.B. Donato / Journal of Functional Analysis 261 (2011) 2083–2093 2087
Moreover, setting
L(x, u, v) = f (x) + u, g(x) + v, h(x) , ∀x ∈ S, ∀u ∈ C ∗ , ∀v ∈ Z ∗ ,
So we have that x0 is a minimal point of functional f (x) + u, g(x) + v, h(x) in S.
In virtue of well-known theorems (see for example Theorem 3.8 of [17]), since the functional
f (x) + u, g(x) + v, h(x) has directional derivative at x0 in every direction x − x0 with arbi-
trary x ∈ S, one has the thesis
f (x0 ) + u, g (x0 ) + v, h (x0 ) (x − x0 ) 0, ∀x ∈ S.
Vice versa, let us assume that (5) and (6) hold. The functional f (x) + u, g(x) + v, h(x), in
virtue of assumptions on f , g, h, u, v, is convex. In fact, f (x) is a convex functional and v(h(x))
is affine because v is linear and h is an affine-linear mapping. Moreover g is a convex mapping
with respect to the ordering cone C, namely ∀x, y ∈ S, ∀λ, μ ∈ R one has
g(λx + μy) − λg(x) + μg(y) ∈ −C.
Since u ∈ C ∗ , we get
u g(λx + μy) − λg(x) + μg(y) 0.
In virtue of Theorem 3.8, case b, of [17], we have that x0 is the minimal point of the functional
f (x) + u, g(x) + v, h(x), namely:
f (x0 ) + u, g(x0 ) + v, h(x0 ) = min f (x) + u, g(x) + v, h(x) .
x∈S
Now, let us show that the strong duality and Assumption S hold true. In fact, from (8), one has
f (x0 ) inf f (x) + u, g(x) + v, h(x) . (9)
x∈S
Furthermore, for all u ∈ C ∗ and v ∈ Z ∗ and taking into account that u, g(x0 ) 0, we get
inf f (x) + u, g(x) + v, h(x) f (x0 ) + u, g(x0 ) + v, h(x0 ) f (x0 )
x∈S
inf f (x) + u, g(x) + v, h(x) .
x∈S
Then
sup inf f (x) + u, g(x) + v, h(x) f (x0 ) inf f (x) + u, g(x) + v, h(x)
u∈C ∗ , v∈Z ∗ x∈S x∈S
sup inf f (x) + u, g(x) + v, h(x) ,
u∈C ∗ , v∈Z ∗ x∈S
namely
max
∗
inf f (x) + u, g(x) + v, h(x) = inf f (x) + u, g(x) + v, h(x)
u∈C , v∈Z ∗ x∈S x∈S
= f (x0 ) + u, g(x0 ) + v, h(x0 )
= f (x0 ) = min f (x).
x∈S
So, the strong duality holds and in virtue of Corollary 1 also Assumption S is fulfilled. 2
Corollary 2. If S = X, then
f (x0 ) + u g (x0 ) + v h (x0 ) (h) = 0, ∀h ∈ X. (10)
Furthermore, if f and g are Gateaux differentiable on X, then we also get from (10) that
f (x0 ) + u g (x0 ) + v h (x0 ) = 0.
Let Ω ⊂ Rn be an open bounded domain, either convex or with C 1,1 boundary. Let us consider
the linear elliptic operator of second order
n
n
∂ ∂ ∂u
Lu = − aij + bi + cu (11)
∂xj ∂xj ∂xi
i,j =1 i=1
where
⎧ n
⎪
⎪
⎪
⎪ aij (x)ξi ξj a|ξ |2 a.e. on Ω, ∀ξ ∈ Rn ,
⎪
⎨
i,j =1
⎪
⎪ a > 0, aij ∈ C 1 (Ω), bi ∈ L∞ (Ω),
⎪
⎪
⎪
⎩ c > 0 such large that a(u, u) αu2 1 , α > 0, ∀u ∈ H 1 (Ω).
H (Ω) 0
0
Let ψ(x), ψ ∗ (x) ∈ H 1 (Ω), ψ(x) ψ ∗ (x) a.e. in Ω, ψ(x) 0 ψ ∗ (x) a.e. on ∂Ω and consider
the set K = {u ∈ L2 (Ω): ψ u ψ ∗ a.e. in Ω}.
Then the following result holds true (see [4, Corollaire I.1] and [24]).
Theorem 4. Assume that Lψ and Lψ ∗ are measures with (Lψ − f )+ and (Lψ ∗ − f )− ∈
Lp (Ω), p 2. Then, for every f ∈ Lp (Ω) there exists u ∈ K ∩ W 2,p (Ω) ∩ H01 (Ω) unique
solution to the variational inequality
Lu(v − u) dx f (v − u) dx, ∀v ∈ K
Ω Ω
such that
−
uW 2,p (Ω) c f Lp + (Lψ − f )+ Lp + Lψ ∗ − f Lp .
Now, in this section, we would like to apply the infinite dimensional Lagrange multiplier rule
of the previous section to the variational inequality
(Lu − f )(v − u) dx 0, ∀v ∈ K (13)
Ω
where
K = u ∈ L2 (Ω): ψ u ψ ∗ a.e. in Ω .
Firstly, let us show that Assumption S is verified. To this aim let us rewrite variational inequal-
ity (13) as an optimization problem. Setting
f (v) = (Lu − f )(v − u) dx, ∀v ∈ K
Ω
we get
f (v) 0, ∀v ∈ K
Lu − f 0 a.e. in Ω+ ,
Lu − f = 0 a.e. in Ω0 ,
Lu − f 0 a.e. in Ω− .
then
f (w) = (Lu − f )(w − ψ) dx 0, ∀ψ < w < ψ ∗ . (15)
Ω+
Lu − f < 0 in E,
choosing
=ψ in Ω+ /E,
w
=s in E: ψ < s < ψ ∗
M.B. Donato / Journal of Functional Analysis 261 (2011) 2083–2093 2091
we get
f (s) = (Lu − f )(s − ψ) dx < 0
E
Lu − f 0 a.e. in Ω+ .
and
TM
(0, θL2 (Ω) , θL2 (Ω) )
= y: y = lim λn f (vn ) + αn , ψ − vn + y1n , vn − ψ ∗ + y2n − (0, θL2 (Ω) , θL2 (Ω) ) ,
n→+∞
with λn > 0, lim f (vn ) + αn = 0, lim λn (ψ − vn + y1n ) = θL2 (Ω) ,
n→+∞ n→+∞
lim λn vn − ψ ∗ + y2n = θL2 (Ω) , lim (ψ − vn + y1n ) = θL2 (Ω) ,
n→+∞ n→+∞
lim vn − ψ ∗ + y2n = θL2 (Ω) , vn ∈ L2 (Ω) \ K, αn 0, yn = (y1n , y2n ) ∈ C .
n→+∞
belongs to TM
(0, θL2 (Ω) , θL2 (Ω) ), then l must be nonnegative.
2092 M.B. Donato / Journal of Functional Analysis 261 (2011) 2083–2093
It results
l = lim λn f (vn ) + αn = lim λn (Lu − f )(vn − u) dx + αn
n→+∞ n→+∞
Ω
= lim λn (Lu − f )(vn − ψ) dx + (Lu − f )(vn − u) dx
n→+∞
Ω+ Ω0
+ (Lu − f ) vn − ψ ∗ dx + αn
Ω−
= lim λn (Lu − f )(vn − ψ − y1n ) dx + (Lu − f )y1n dx
n→+∞
Ω+ Ω+
+ (Lu − f ) vn − ψ ∗ + y2n dx + (Lu − f )(−y2n ) dx + αn .
Ω− Ω−
and
Since the other assumptions, required by Theorem 3 and Corollary 2, are fulfilled, then there
exists (λ, μ) ∈ C ∗ such that:
(i) λ(ψ − u) dx = 0 ⇔ λ(ψ − u) = 0 a.e. in Ω
Ω
and
μ u − ψ ∗ dx = 0 ⇔ μ u − ψ∗ = 0 a.e. in Ω,
Ω
In particular, we can obtain explicitly the values of Lagrangean multipliers λ and μ. In fact,
when λ > 0 one has u = ψ , μ = 0 and λ = Lψ − f . Whereas, when μ > 0 one has u = ψ ∗ ,
λ = 0 and μ = −(Lψ ∗ − f ).
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