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Journal of Global Optimization

, Volume 56, Issue 4, pp 1463–1499 | Cite as

Approximate KKT points and a proximity measure for termination

  • Joydeep Dutta
  • Kalyanmoy DebEmail author
  • Rupesh Tulshyan
  • Ramnik Arora
Article

Abstract

Karush–Kuhn–Tucker (KKT) optimality conditions are often checked for investigating whether a solution obtained by an optimization algorithm is a likely candidate for the optimum. In this study, we report that although the KKT conditions must all be satisfied at the optimal point, the extent of violation of KKT conditions at points arbitrarily close to the KKT point is not smooth, thereby making the KKT conditions difficult to use directly to evaluate the performance of an optimization algorithm. This happens due to the requirement of complimentary slackness condition associated with KKT optimality conditions. To overcome this difficulty, we define modified \({\epsilon}\)-KKT points by relaxing the complimentary slackness and equilibrium equations of KKT conditions and suggest a KKT-proximity measure, that is shown to reduce sequentially to zero as the iterates approach the KKT point. Besides the theoretical development defining the modified \({\epsilon}\)-KKT point, we present extensive computer simulations of the proposed methodology on a set of iterates obtained through an evolutionary optimization algorithm to illustrate the working of our proposed procedure on smooth and non-smooth problems. The results indicate that the proposed KKT-proximity measure can be used as a termination condition to optimization algorithms. As a by-product, the method helps to find Lagrange multipliers correspond to near-optimal solutions which can be of importance to practitioners. We also provide a comparison of our KKT-proximity measure with the stopping criterion used in popular commercial softwares.

Keywords

KKT optimality conditions Approximate KKT point Proximity measure Evolutionary optimization Termination condition Knitro 

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Copyright information

© Springer Science+Business Media, LLC. 2012

Authors and Affiliations

  • Joydeep Dutta
    • 1
  • Kalyanmoy Deb
    • 2
    Email author
  • Rupesh Tulshyan
    • 1
  • Ramnik Arora
    • 3
  1. 1.Department of Mathematics and StatisticsIndian Institute of Technology KanpurKanpurIndia
  2. 2.Department of Mechanical EngineeringIndian Institute of Technology KanpurKanpurIndia
  3. 3.Courant Institute of Mathematical ScienceNew York UniversityNew YorkUSA

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