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1 2 Lagrange Multipliers Date: April 12, 2001 Contents 2.1. Introduction to Lagrange Multipliers p Enhanced Fritz John Optimality Conditions p Informative Lagrange Multipliers p Pseudonormality and Constraint Qualifications..... p Exact Penalty Functions p Using the Extended Representation p Extensions Under Convexity Assumptions p Notes and Sources p. 64 1

2 2 Lagrange Multipliers Chap. 2 The optimality conditions developed in Chapter 1 apply to any type of constraint set. On the other hand, the constraint set of an optimization problem is usually specified in terms of equality and inequality constraints. If we take into account this structure, we can obtain more refined optimality conditions, involving Lagrange multipliers. These multipliers facilitate the characterization of optimal solutions and often play an important role in computational methods. They are also central in duality theory, as will be discussed in Chapter 3. In this chapter, we provide a new treatment of Lagrange multiplier theory. It is simple and it is also more powerful than the classical treatments. In particular, it establishes new necessary conditions that nontrivially supplement the classical Karush-Kuhn-Tucker conditions. It also deals effectively with problems where in addition to equality and inequality constraints, there is an additional abstract set constraint. The starting point for our development is an enhanced set of necessary conditions of the Fritz John type, which is given in Section 2.2. In Section 2.3, we provide a classification of different types of Lagrange multipliers, and in Section 2.4, we introduce the notion of pseudonormality, which unifies and expands the conditions that guarantee the existence of Lagrange multipliers. In the final sections of the chapter, we discuss various topics related to Lagrange multipliers, including their connection with exact penalty functions. 2.1 INTRODUCTION TO LAGRANGE MULTIPLIERS Let us provide some orientation by first considering a problem with equality constraints of the form minimize f(x) subject to h i (x) = 0, i = 1,..., m. We assume that f : R n R and h i : R n R, i = 1,..., m, are smooth functions. The basic Lagrange multiplier theorem for this problem states that, under appropriate assumptions, for a given local minimum x, there exist scalars λ 1,..., λ m, called Lagrange multipliers, such that f(x ) + λ i h i(x ) = 0. (2.1) These are n equations which together with the m constraints h i (x ) = 0, form a system of n + m equations with n + m unknowns, the vector x and the multipliers λ i. Thus, a constrained optimization problem can be transformed into a problem of solving a system of nonlinear equations.

3 Sec. 2.1 Introduction to Lagrange Multipliers 3 This is the traditional rationale for illustrating the importance of Lagrange multipliers. To see why Lagrange multipliers may ordinarily be expected to exist, consider the case where the h i are linear, so that h i (x) = a i x b i, i = 1,..., m, and some vectors a i and scalars b i. Then it can be seen that the tangent cone of the constraint set at the given local minimum x is T(x ) = {y a iy = 0, i = 1,..., m}, and according to the necessary conditions of Chapter 1, we have f(x ) T(x ). Since T(x ) is the nullspace of the m n matrix having as rows the a i, T(x ) is the range space of the matrix having as columns the a i. It follows that f(x ) can be expressed as a linear combination of the a i, so f(x ) + λ i a i = 0 for some scalars λ i. In the general case where the h i are nonlinear, the argument above would work if we could guarantee that the tangent cone T(x ) can be represented as T(x ) = {y h i (x ) y = 0, i = 1,..., m}. (2.2) Unfortunately, additional assumptions are needed to guarantee the validity of this representation. One such assumption, called regularity of x, is that the gradients h i (x ) are linearly independent; this will be shown in Section 2.4. Thus, when x is regular, there exist Lagrange multipliers. However, in general the equality (2.2) may fail, and there may not exist Lagrange multipliers, as shown by the following example. Example (A Problem with no Lagrange Multipliers) Consider the problem of minimizing subject to the two constraints f(x) = x 1 + x 2 h 1 (x) = (x 1 + 1) 2 + x = 0, h 2 (x) = (x 1 2) 2 + x = 0.

4 4 Lagrange Multipliers Chap. 2 x 2 h 2 (x) = 0 h 1 (x) = 0 f(x * ) = (1,1) h 2 (x * ) = (-4,0) 1 x * h 1 (x * ) = (2,0) 2 x 1 Figure Illustration of how Lagrange multipliers may not exist (cf. Example 2.1.1). The problem here is minimize f(x) = x 1 + x 2 subject to h 1 (x) = (x 1 + 1) 2 + x = 0, h 2 (x) = (x 1 2) 2 + x = 0, with a local minimum x = (0,0) (the only feasible solution). Here f(x ) cannot be expressed as a linear combination of h 1 (x ) and h 2 (x ), so there are no Lagrange multipliers. The geometry of this problem is illustrated in Fig It can be seen that at the local minimum x = (0,0) (the only feasible solution), the cost gradient f(x ) = (1,1) cannot be expressed as a linear combination of the constraint gradients h 1 (x ) = (2,0) and h 2 (x ) = ( 4,0). Thus the Lagrange multiplier condition f(x ) + λ 1 h 1 (x ) + λ 2 h 2 (x ) = 0 cannot hold for any λ 1 and λ 2. The difficulty here is that T(x ) = {0}, while the set {y h 1 (x ) y = 0, h 2 (x ) y = 0} is equal to {(0, γ) γ R}, so the characterization (2.2) fails. Fritz-John Conditions In summary, based on the preceding assertions, there are two possibilities at a local minimum x :

5 Sec. 2.1 Introduction to Lagrange Multipliers 5 (a) The gradients h i (x ) are linearly independent (x is regular). Then, there exist scalars/lagrange multipliers λ 1,..., λ m such that f(x ) + λ i h i(x ) = 0. (b) The gradients h i (x ) are linearly dependent, so there exist scalars λ 1,..., λ m, not all equal to 0, such that λ i h i(x ) = 0. These two possibilities can be lumped into a single condition: at a local minimum x there exist scalars µ 0, λ 1,..., λ m, not all equal to 0, such that µ 0 0 and µ 0 f(x ) + λ i h i (x ) = 0. (2.3) Possibility (a) corresponds to the case where µ 0 > 0, in which case the scalars λ i = λ i /µ 0 are Lagrange multipliers. Possibility (b) corresponds to the case where µ 0 = 0, in which case the condition (2.3) provides no information regarding the existence of Lagrange multipliers. Necessary conditions that involve a nonnegative multiplier µ 0 for the cost gradient, such as the one of Eq. (2.3), are known as Fritz John necessary conditions, and were first proposed in 1948 by John [Joh48]. These conditions can be extended to inequality-constrained problems, and they hold without any further assumptions on x (such as regularity). However, this extra generality comes at a price, because the issue of whether the cost multiplier µ 0 can be taken to be positive is left unresolved. Unfortunately, asserting that µ 0 > 0 is nontrivial under some commonly used assumptions, and for this reason, traditionally Fritz John conditions in their classical form have played a somewhat peripheral role in the development of Lagrange multiplier theory. Nonetheless, the Fritz John conditions, when properly strengthened, can provide a simple and powerful line of analysis, as we will see in the next section. Sensitivity Lagrange multipliers frequently have an interesting interpretation in specific practical contexts. In economic applications they can often be interpreted as prices, while in other problems they represent quantities with concrete physical meaning. It turns out that within our mathematical framework, they can be viewed as rates of change of the optimal cost as

6 6 Lagrange Multipliers Chap. 2 the level of constraint changes. This is fairly easy to show for the case of linear and independent constraints, as indicated in Fig When the constraints are nonlinear, the sensitivity interpretation of Lagrange multipliers is valid, provided some assumptions are satisfied. Typically, these assumptions include the linear independence of the constraint gradients, but also additional conditions involving second derivatives (see e.g., the textbook [Ber99]). Inequality Constraints The preceding discussion can be extended to the case where there are both equality and inequality constraints. Consider for example the case of linear inequality constraints: minimize f(x) subject to a j x b j, j = 1,..., r. The tangent cone of the constraint set at a local minimum x is given by T(x ) = { y a j y 0, j A(x ) }, where A(x ) is the set of indices of the constraints satisfied as equations at x, A(x ) = {j a j x = 0}. The necessary condition f(x ) T(x ) can be shown to be equivalent to the existence of scalars µ j, such that f(x ) + µ j a j = 0, µ j 0, j = 1,..., r, µ j = 0, j A(x ). This follows from the characterization of the cone T(x ) as the cone generated by the vectors a j, j A(x ) (Farkas lemma). The above necessary conditions, properly generalized for nonlinear constraints, are known as the Karush-Kuhn-Tucker conditions. Similar to the equality-constrained case, the typical method to ascertain existence of Lagrange multipliers for the nonlinearly-constrained general problem minimize f(x) subject to h i (x) = 0, i = 1,..., m, g j (x) 0, j = 1,..., r, (2.4) is to assume structure which guarantees that the tangent cone has the form T(x ) = { y h i (x ) y = 0, i = 1,..., m, g j (x ) y 0, j A(x ) } ; (2.5)

7 Sec. 2.1 Introduction to Lagrange Multipliers 7 f(x * ) a x * + x a'x = b + b x * x a'x = b Figure Illustration of the sensitivity theorem for a problem involving a single linear constraint, minimize f(x) subject to a x = b. Here, x is a local minimum and λ is a corresponding Lagrange multiplier. If the level of constraint b is changed to b + b, the minimum x will change to x + x. Since b + b = a (x + x) = a x + a x = b+ a x, we see that the variations x and b are related by a x = b. Using the Lagrange multiplier condition f(x ) = λ a, the corresponding cost change can be written as cost = f(x + x) f(x ) = f(x ) x + o( x ) = λ a x + o( x ). By combining the above two relations, we obtain cost = λ b + o( x ), so up to first order we have λ = cost b. Thus, the Lagrange multiplier λ gives the rate of optimal cost decrease as the level of constraint increases. In the case where there are multiple constraints a i x = b i, i = 1,..., m, the preceding argument can be appropriately modified. In particular, for any set for changes b i for which the system a i x = b i + b i has a solution x + x, we have cost = f(x + x) f(x ) = f(x ) x + o( x ) = λ i a i x + o( x ), and a i x = b i for all i, so we obtain cost = m λ i b i + o( x ).

8 8 Lagrange Multipliers Chap. 2 a condition known as quasiregularity. This is the classical line of development of Lagrange multiplier theory: conditions implying quasiregularity (known as constraint qualifications) are established, and the existence of Lagrange multipliers is then inferred using Farkas lemma. This line of analysis is insightful and intuitive, but has traditionally required fairly complex proofs to show that specific constraint qualifications imply the quasiregularity condition (2.5). A more serious difficulty, however, is that the analysis based on quasiregularity does not extend to the case where, in addition to the equality and inequality constraints, there is an additional abstract set constraint x X. Uniqueness of Lagrange Multipliers For a given local minimum, the set of Lagrange multiplier vectors, call it M, may contain more than one element. Indeed, if M is nonempty, it contains either one or an infinite number of elements. For example, for the case of equality constraints only, M contains a single element if and only if the gradients h 1 (x ),..., h m (x ) are linearly independent. Generally, if M is nonempty, it is a linear manifold, which is a translation of the nullspace of the n m matrix h(x ) = [ h 1 (x ) h m (x ) ]. For the mixed equality/inequality constrained case of problem (2.4), it can be seen that the set of Lagrange multipliers M = (λ, µ) µ 0, f(x ) + λ i h i (x ) + µ j g j (x ) = 0 is a polyhedral set, which (if nonempty) may be bounded or unbounded. What kind of sensitivity information do Lagrange multipliers convey when they are not unique? The classical theory does not offer satisfactory answers to this question, as indicated by the following example. Example Assume that f and the g j are linear functions, f(x) = c x, g j (x) = a jx b j, j = 1,..., r, and for simplicity assume that there are no equality constraints and that all the inequality constraints are active at a minimum x. The Lagrange multiplier vectors are the µ = (µ 1,..., µ r) such that µ 0 and c + µ 1a µ ra r = 0.

9 Sec. 2.1 Introduction to Lagrange Multipliers 9 In a naive extension of the traditional sensitivity interpretation, a positive (or zero) multiplier µ j would indicate that the jth inequality is significant (or insignificant ) in that the cost can be improved (or cannot be improved) through its violation. Figure 2.1.3, however, indicates that for each j, one can find a Lagrange multiplier vector where µ j > 0 and another Lagrange multiplier vector where µ j = 0. Furthermore, one can find Lagrange multiplier vectors where the signs of the multipliers are wrong in the sense that it is impossible to improve the cost while violating only constraints with positive multipliers. Thus the traditional sensitivity interpretation fails generically when there is multiplicity of Lagrange multipliers. Exact Penalty Functions An important analytical and algorithmic technique in nonlinear programming involves the use of penalty functions, whereby the equality and inequality constraints are discarded and are replaced by additional terms in the cost function that penalize their violation. An important example for the mixed equality and inequality constraint problem (2.4) is the quadratic penalty function Q c (x) = f(x) + c ( hi (x) ) 2 ( + g + 2 j (x) ) 2, where c is a positive penalty parameter, and we use the notation g + j (x) = max{ 0, g j (x) }. We may expect that by minimizing Q c k(x) over X for a sequence {c k } of penalty parameters with c k, we will obtain in the limit a solution of the original problem. Indeed, convergence of this type can generically be shown, and it turns out that typically a Lagrange multiplier vector can also be simultaneously obtained (assuming such a vector exists); see e.g., [Ber99]. We will use these convergence ideas in various proofs, starting with the next section. The quadratic penalty function is not exact in the sense that a local minimum x of the constrained minimization problem is typically not a local minimum of Q c (x) for any value of c. A different type of penalty function is given by F c (x) = f(x) + c h i (x) + g + j (x), where c is a positive penalty parameter. It can be shown that x is typically a local minimum of F c, provided c is larger than some threshold value. The

10 10 Lagrange Multipliers Chap. 2 a 2 - c a 1 y a 3 a 4 Hyperplane with normal y x * Constraint set Figure Illustration of Lagrange multipliers for the case of a two-dimensional problem with linear cost and four linear inequality constraints (cf. Example 2.1.2). We assume that c and a 1,..., a 4 lie in the same halfspace, and c lies between a 1 and a 2 on one side and a 3 and a 4 on the other side, as shown in the figure. For (µ 1,..., µ 4 ) to be a Lagrange multiplier vector, we must have µ j 0 for all j, and c = µ 1 a 1 + µ 2 a 2 + µ 3 a 3 + µ 4 a 4. There exist exactly four Lagrange multiplier vectors with two positive multipliers/components and the other two components equal to zero. It can be seen that it is impossible to improve the cost by moving away from x, while violating the constraints with positive multipliers but not violating any constraints with zero multipliers. For example, when µ 1 = 0, µ 2 > 0, µ 3 > 0, µ 4 = 0, moving from x along a direction y such that c y < 0 will violate either the 1st or the 4th inequality constraint. To see this, note that to improve the cost while violating only the constraints with positive multipliers, the direction y must be the normal of a hyperplane that contains the vectors c, a 2, and a 3 in one of its halfspaces, and the vectors a 1 and a 4 in the complementary subspace (see the figure). There also exist an infinite number of Lagrange multiplier vectors where all four multipliers are positive, or any three multipliers are positive and the fourth is zero. For any one of these vectors, it is possible to find a direction y such that c y < 0 and moving from x in the direction of y will violate only the constraints that have positive multipliers. conditions under which this is true and the threshold value for c bear an intimate connection with Lagrange multipliers. Figure illustrates this connection for the case of a problem with a single inequality constraint. In particular, it can be seen that usually (though not always) if the penalty parameter exceeds the value of a Lagrange multiplier, x is also a local

11 Sec. 2.1 Introduction to Lagrange Multipliers 11 F c (x) f(x) f(x) g(x) < 0 g(x) < 0 x * x x * x µ * g(x) g(x) (a) (b) Figure Illustration of an exact penalty function for the case of a onedimensional problem with a single inequality constraint. Figure (a) illustrates that, typically, if µ is a Lagrange multiplier and c > µ, then x is also a local minimum of F c (x) = f(x) + cg + (x). Figure (b) illustrates an exceptional case where the penalty function is not exact, even though there exists a Lagrange multiplier. In this case, g(x ) = 0, thus violating the condition of constraint gradient linear independence (we will show later that one condition guaranteeing the exactness of F c is that the constraint gradients at x are linearly independent). Here we have f(x ) = g(x ) = 0, so any nonnegative scalar µ is a Lagrange multiplier. However, it is possible that F c (x) does not have a local minimum at x for any c > 0 (if for example the downward order of growth of f exceeds the upward order of growth of g at x when moving from x towards smaller values). minimum of F c. Our Treatment of Lagrange Multipliers Our development of Lagrange multiplier theory in this chapter differs from the classical treatment in a number of ways: (a) The optimality conditions of the Lagrange multiplier type that we will develop are sharper than the classical Kuhn-Tucker conditions (they include extra conditions). They are also more general in that they apply when in addition to the equality and inequality constraints, there is an additional abstract set constraint. (b) We will simplify the proofs of various Lagrange multiplier theorems by introducing the notion of pseudonormality, which serves as a connecting link between the major constraint qualifications and quasiregularity. This analysis carries through even in the case of an additional set constraint, where the classical proof arguments based on quasiregularity fail.

12 12 Lagrange Multipliers Chap. 2 (c) We will see in Section 2.3 that there may be several different types of Lagrange multipliers for a given problem, which can be characterized in terms of their sensitivity properties and the information they provide regarding the significance of the corresponding constraints. We show that one particular Lagrange multiplier vector, the one that has minimum norm, has nice sensitivity properties in that it characterizes the direction of steepest rate of improvement of the cost function for a given level of the norm of the constraint violation. Along that direction, the equality and inequality constraints are violated consistently with the signs of the corresponding multipliers. (d) We will make a connection between pseudonormality, the existence of Lagrange multipliers, and the minimization over X of the penalty function F c (x) = f(x) + c h i (x) + g j + (x), where c is a positive penalty parameter. In particular, we will show in Section 2.5 that pseudonormality implies that local minima of the general nonlinear programming problem (2.4) are also local minima (over just X) of F c when c is large enough. We will also show that this in turn implies the existence of Lagrange multipliers. Much of our analysis is based on an enhanced set of Fritz John necessary conditions that are introduced in the next section. 2.2 ENHANCED FRITZ JOHN OPTIMALITY CONDITIONS We will develop general optimality conditions for optimization problems of the form minimize f(x) (2.6) subject to x C, where the constraint set C consists of equality and inequality constraints as well as an additional abstract set constraint X: C = X { x h 1 (x) = 0,..., h m (x) = 0 } { x g 1 (x) 0,..., g r (x) 0 }. (2.7) Except for the last section, we assume in this chapter that f, h i, g j are smooth functions from R n to R, and X is a nonempty closed set. We will use frequently the tangent and normal cone of X at any x X, which are denoted by T X (x) and N X (x), respectively. We recall from Section 1.5 that X is said to be regular at a point x X if N X (x) = T X (x). Furthermore, if X is convex, then it is regular at all x X.

13 Sec. 2.2 Enhanced Fritz John Optimality Conditions 13 Definition 2.2.1: We say that the constraint set C, as represented by Eq. (2.7), admits Lagrange multipliers at a point x C if for every smooth cost function f for which x is a local minimum of problem (2.6) there exist vectors λ = (λ 1,..., λ m) and µ = (µ 1,..., µ r) that satisfy the following conditions: f(x ) + λ i h i(x ) + µ j µ j g j(x ) y 0, y T X (x ), (2.8) 0, j = 1,..., r, (2.9) µ j = 0, j / A(x ), (2.10) where A(x ) = { j g j (x ) = 0 } is the index set of inequality constraints that are active at x. A pair (λ, µ ) satisfying Eqs. (2.8)- (2.10) is called a Lagrange multiplier vector corresponding to f and x. When there is no danger of confusion, we refer to (λ, µ ) simply as a Lagrange multiplier vector or a Lagrange multiplier, without reference to the corresponding local minimum x and the function f. Figure illustrates the definition of a Lagrange multiplier. Condition (2.10) is referred to as the complementary slackness condition (CS for short). Note that from Eq. (2.8), it follows that the set of Lagrange multiplier vectors corresponding to a given f and x is the intersection of a collection of closed half spaces [one for each y T X (x )], so it is a (possibly empty) closed and convex set. The condition (2.8), referred to as the Lagrangian stationarity condition, is consistent with the Lagrange multiplier theory outlined in the preceding section for the case where X = R n. It can be viewed as the necessary condition for x to be a local minimum of the Lagrangian function L(x, λ, µ ) = f(x) + λ i h i(x) + µ j g j(x) over x X. When X is a convex set, Eq. (2.8) is equivalent to f(x ) + λ i h i(x ) + µ j g j(x ) (x x ) 0, x X. (2.11) This is because when X is convex, T X (x ) is equal to the closure of the set of feasible directions F X (x ), which is in turn equal to the set of vectors

14 14 Lagrange Multipliers Chap. 2 T X (x * ) Level Sets of f g(x) < 0 g(x * ) X T X (x * ) f(x * ) x L(x *, µ * ) Figure Illustration of a Lagrange multiplier for the case of a single inequality constraint and the spherical set X shown in the figure. The tangent cone T X (x ) is a halfspace and its polar T X (x ) is the halfline shown in the figure. There is a unique Lagrange multiplier µ, and it is such that x L(x, µ ) belongs to T X (x ). Note that for this example, we have µ > 0, and that there is a sequence {x k } X that converges to x and is such that f(x k ) < f(x ) and g(x k ) > 0 for all k, consistently with condition (iv) of the subsequent Prop of the form α(x x ), where α > 0 and x X. If X = R n, Eq. (2.11) becomes f(x ) + λ i h i(x ) + µ j g j(x ) = 0, which together with the nonnegativity condition (2.9) and the CS condition (2.10), comprise the classical Karush-Kuhn-Tucker conditions. The following proposition is central in the line of development of this chapter. It enhances the classical Fritz John optimality conditions, and forms the basis for enhancing the classical Karush-Kuhn-Tucker conditions as well. The proposition asserts that there exist multipliers corresponding to a local minimum x, including a multiplier µ 0 for the cost function gradient. These multipliers have standard properties [conditions (i)-(iii) below], but they also have a special nonstandard property [condition (iv) below]. This condition asserts that by violating the constraints corresponding to nonzero multipliers, we can improve the optimal cost (the remaining constraints, may also need to be violated, but the degree of their violation is arbitrarily small relative to the other constraints).

15 Sec. 2.2 Enhanced Fritz John Optimality Conditions 15 Proposition 2.2.1: Let x be a local minimum of problem (2.6)- (2.7). Then there exist scalars µ 0, λ 1,..., λ m, and µ 1,..., µ r, satisfying the following conditions: ( (i) µ 0 f(x ) + m λ i h i(x ) + ) r µ j g j(x ) N X (x ). (ii) µ j 0 for all j = 0, 1,..., r. (iii) µ 0, λ 1,..., λ m, µ 1,..., µ r are not all equal to 0. (iv) If the index set I J is nonempty where I = {i λ i 0}, J = {j 0 0 µ j > 0}, there exists a sequence {x k } X that converges to x and is such that for all k, f(x k ) < f(x ), λ i h i(x k ) > 0, i I, µ j g j(x k ) > 0, j J, (2.12) h i (x k ) = o ( w(x k ) ), i / I, g j (x k ) = o ( w(x k ) ), j / J, (2.13) where { } w(x) = min min h i(x), min g j(x). (2.14) i I j J Proof: We use a quadratic penalty function approach. For each k = 1, 2,..., consider the penalized problem minimize F k (x) f(x) + k 2 subject to x X S, where we denote ( hi (x) ) 2 + k 2 ( g + j (x) ) x x 2 g + (x) = max { 0, g j (x) }, S = {x x x ɛ}, and ɛ > 0 is such that f(x ) f(x) for all feasible x with x S. Since X S is compact, by Weierstrass theorem, we can select an optimal solution x k of the above problem. We have for all k, F k (x k ) F k (x ), which is can be written as f(x k ) + k 2 ( hi (x k ) ) 2 k ( + g + j 2 (xk ) ) xk x 2 f(x ). (2.15)

16 16 Lagrange Multipliers Chap. 2 Since f(x k ) is bounded over X S, we obtain lim h i(x k ) = 0, i = 1,..., m, lim k k g+ j (xk ) = 0, j = 1,..., r; otherwise the left-hand side of Eq. (2.15) would become unbounded from above as k. Therefore, every limit point x of {x k } is feasible, i.e., x C. Furthermore, Eq. (2.15) yields f(x k ) + (1/2) x k x 2 f(x ) for all k, so by taking the limit as k, we obtain f(x) x x 2 f(x ). Since x S and x is feasible, we have f(x ) f(x), which when combined with the preceding inequality yields x x = 0 so that x = x. Thus the sequence {x k } converges to x, and it follows that x k is an interior point of the closed sphere S for all k greater than some k. For k k, we have the necessary optimality condition F k (x k ) T X (x k ), which [by using the formula ( g j + (x)) 2 = 2g + j (x) g j (x)] is written as f(x k ) + ξi k h i(x k ) + ζj k g j(x k ) + (x k x ) T X (x k ), where (2.16) ξ k i = kh i(x k ), ζ k j = kg+ j (xk ). (2.17) Denote δ k = 1 + (ξi k)2 + (ζj k)2, (2.18) µ k 0 = 1 δ, k λk i = ξk i δ, i = 1,..., m, k µk j = ζk j, j = 1,..., r. δk (2.19) Then by dividing Eq. (2.16) with δ k, we obtain µ k 0 f(xk ) + λ k i h i(x k ) + Since by construction we have (µ k 0 )2 + µ k j g j(x k ) + 1 δ k (xk x ) T X (x k ) (λ k i )2 + (2.20) (µ k j )2 = 1, (2.21)

17 Sec. 2.2 Enhanced Fritz John Optimality Conditions 17 the sequence {µ k 0, λk 1,..., λk m, µ k 1,..., µk r } is bounded and must contain a subsequence that converges to some limit {µ 0, λ 1,..., λ m, µ 1,..., µ r}. From Eq. (2.20) and the defining property of the normal cone N X (x ) [x k x, z k z, and z k T X (x k ) for all k, imply that z N X (x )], we see that µ 0, λ i, and µ j must satisfy condition (i). From Eqs. (2.17) and (2.19), µ 0 and µ j must satisfy condition (ii), and from Eq. (2.21), µ 0, λ i, and µ j must satisfy condition (iii). Finally, to show that condition (iv) is satisfied, assume that I J is nonempty [otherwise, by conditions (i) and (iii), we are done], and note that for all sufficiently large k within the index set K of the convergent subsequence, we must have λ i λk i > 0 for all i I and µ j µk j > 0 for all j J. Therefore, for these k, from Eqs. (2.17) and (2.19), we must have λ i h i(x k ) > 0 for all i I and µ j g j(x k ) > 0 for all j J, while from Eq. (2.15), we have f(x k ) < f(x ) for k sufficiently large (the case where x k = x for infinitely many k is excluded by the assumption that I J is nonempty). Furthermore, the conditions h i (x k ) = o ( w(x k ) ) for all i / I, and g j (x k ) = o ( w(x k ) ) for all j / J are equivalent to and λ k i = o (min { min i I λk i, min j J µk j }), i / I, { }) µ k j (min = o min i I λk i, min j J µk j, j / J, respectively, so they hold for k K. This proves condition (iv). Q.E.D. Note that condition (iv) of Prop is stronger than the CS condition (2.10). [If µ j > 0, then according to condition (iv), the corresponding jth inequality constraint must be violated arbitrarily close to x [cf. Eq. (2.12)], implying that g j (x ) = 0.] For ease of reference, we refer to condition (iv) as the complementary violation condition (CV for short). This condition can be visualized in the examples of Fig It will turn out to be of crucial significance in the following sections. If X is regular at x, i.e., N X (x ) = T X (x ), condition (i) of Prop becomes µ 0 f(x ) + λ i h i(x ) + µ j g j(x ) T X (x ), or equivalently µ 0 f(x ) + λ i h i(x ) + µ j g j(x ) y 0, y T X (x ). This term is in analogy with complementary slackness, which is the condition that for all j, µ j > 0 implies g j (x ) = 0. Thus complementary violation reflects the condition that for all j, µ j > 0 implies g j (x) > 0 for some x arbitrarily close to x.

18 18 Lagrange Multipliers Chap. 2 Level Sets of f T X (x * ) Level Sets of f g 1 (x * ) x*... x k g 2 (x * ) g(x) < 0 x*... g(x * ) x k g 1 (x) < 0 f(x * ) X g 2 (x) < 0 f(x * ) (a) (b) Figure Illustration of the CV condition. In the example of (a), where X = R 2, the triplets that satisfy the enhanced Fritz-John conditions are the positive multiples of a unique vector of the form (1, µ 1, µ 2 ) where µ 1 > 0 and µ 2 > 0. It is possible to reduce the cost function while violating both constraints by approaching x along the sequence {x k } shown. The example of (b) is the one of Fig , and is similar to the one of (a) except that X is the shaded sphere shown rather than X = R 2. If in addition, the scalar µ 0 can be shown to be strictly positive, then by normalization we can choose µ 0 = 1, and condition (i) of Prop becomes equivalent to the Lagrangian stationarity condition (2.8). Thus, if X is regular at x and we can guarantee that µ 0 = 1, the vector (λ, µ ) = {λ 1,..., λ m, µ 1,..., µ r} is a Lagrange multiplier vector, which satisfies the CV condition (a stronger condition than the CS condition, as mentioned above). As an example, suppose that there is no abstract set constraint (X = R n ), and the gradients h i (x ), i = 1,..., m, and g j (x ), j A(x ) are linearly independent, then we cannot have µ 0 = 0, since then condition (i) of Prop would be violated. It follows that there exists a Lagrange multiplier vector, which in this case is unique in view of the linear independence assumption. We thus obtain the Lagrange multiplier theorem alluded to in Section 2.1. This is a classical result, found in almost all nonlinear programming textbooks, but it is obtained here in a stronger form, which includes the assertion that the multipliers satisfy the CV condition in place of the CS condition. To illustrate the use of the generalized Fritz John conditions of Prop and the CV condition in particular, consider the following example. Example Suppose that we convert the problem min h(x)=0 f(x), involving a single equal-

19 Sec. 2.3 Informative Lagrange Multipliers 19 ity constraint, to the inequality constrained problem minimize f(x) subject to h(x) 0, h(x) 0. The Fritz John conditions, in their classical form, assert the existence of nonnegative µ 0, λ +, λ, not all zero, such that µ 0 f(x ) + λ + h(x ) λ h(x ) = 0. (2.22) The candidate multipliers that satisfy the above condition as well as the CS condition λ + h(x ) = λ h(x ) = 0, include those of the form µ 0 = 0 and λ + = λ > 0, which provide no relevant information about the problem. However, these multipliers fail the stronger CV condition of Prop , showing that if µ 0 = 0, we must have either λ + 0 and λ = 0 or λ + = 0 and λ 0. Assuming h(x ) 0, this violates Eq. (2.22), so it follows that µ 0 > 0. Thus, by dividing Eq. (2.22) by µ 0, we recover the familiar first order condition f(x )+ λ h(x ) = 0 with λ = (λ + λ )/µ 0, under the assumption h(x ) 0. Note that this deduction would not have been possible without the CV condition. We will explore further the CV condition as a vehicle for characterizing Lagrange multipliers in the next section. Subsequently, in Section 1.4, we will derive conditions that guarantee that one can take µ 0 = 1 in Prop , by using the notion of pseudonormality. E X E R C I S E S (Lagrange Multipliers Under Convexity) Consider problem (2.6) assuming that X is convex, the functions f, g 1,..., g r are convex, and the functions h 1,..., h m are linear. (a) Show that x is an optimal solution and (λ, µ ) is a Lagrange multiplier associated with x if and only if x is feasible, µ 0, µ j g j (x ) = 0 for all j, and f(x ) = min x X L(x, λ, µ ), where L is the Lagrangian function. (b) Show that all the optimal solutions of the problem have the same set of Lagrange multipliers.

20 20 Lagrange Multipliers Chap INFORMATIVE LAGRANGE MULTIPLIERS The Lagrange multipliers whose existence is guaranteed by Prop (assuming that µ 0 = 1) are of a special type: they satisfy the stronger CV condition in place of the CS condition. These multipliers provide a significant amount of sensitivity information by in effect indicating which constraints to violate in order to effect a cost reduction. In view of this interpretation, we refer to a Lagrange multiplier vector (λ, µ ) that satisfies, in addition to Eqs. (2.8)-(2.10), the CV condition [condition (iv) of Prop ] as being informative. The salient property of informative Lagrange multipliers is consistent with the classical sensitivity interpretation of a Lagrange multiplier as the rate of cost reduction when the corresponding constraint is violated. Here we are not making enough assumptions for this stronger type of sensitivity interpretation to be valid. Yet it is remarkable that with hardly any assumptions, at least one informative Lagrange multiplier vector exists if X is regular and we can guarantee that we can take µ 0 = 1 in Prop In fact we will show shortly a stronger and more definitive property: if X is regular and there exists at least one Lagrange multiplier vector, there exists one that is informative. An informative Lagrange multiplier vector is useful, among other things, if one is interested in identifying redundant constraints. Given such a vector, one may simply discard the constraints whose multipliers are 0 and check to see whether x is still a local minimum. While there is no general guarantee that this will be true, in many cases it will be; for example, as we will show in Chapter 3, in the special case where f and X are convex, the g j are convex, and the h i are linear, x is guaranteed to be a global minimum, even after the constraints whose multipliers are 0 are discarded. Now if discarding constraints is of analytical or computational interest and constraints with 0 Lagrange multipliers can be discarded as indicated above, we are motivated to find multiplier vectors that have a minimal number of nonzero components (a minimal support). We call such Lagrange multiplier vectors minimal, and we define them as having support I J that does not strictly contain the support of any other Lagrange multiplier vector. Minimal Lagrange multipliers are not necessarily informative. For example, think of the case where some of the constraints are duplicates of others. Then in a minimal Lagrange multiplier vector, at most one of each set of duplicate constraints can have a nonzero multiplier, while in an informative Lagrange multiplier vector, either all or none of these duplicate constraints will have a nonzero multiplier. Another interesting example is provided by Fig There are four minimal Lagrange multiplier vectors in this example, and each of them has two nonzero components. However, none of these multipliers is informative. In fact all the other Lagrange

21 Sec. 2.3 Informative Lagrange Multipliers 21 multiplier vectors, those involving three out of four, or all four components positive, are informative. Thus, in the example of Fig , the sets of minimal and informative Lagrange multipliers are nonempty and disjoint. Nonetheless, minimal Lagrange multipliers turn out to be informative after the constraints corresponding to zero multipliers are neglected, as can be inferred by the subsequent Prop In particular, let us say that a Lagrange multiplier (λ, µ ) is strong if in addition to Eqs. (2.8)-(2.10), it satisfies the condition (iv ) If the set I J is nonempty, where I = {i λ i 0} and J = {j 0 µ j > 0}, there exists a sequence {xk } X that converges to x and is such that for all k, f(x k ) < f(x ), λ i h i(x k ) > 0, i I, µ j g j(x k ) > 0, j J. (2.23) This condition resembles the CV condition, but is weaker in that it makes no provision for negligibly small violation of the constraints corresponding to zero multipliers, as per Eqs. (2.13) and (2.14). As a result, informative Lagrange multipliers are also strong, but not reversely. The following proposition, illustrated in Fig , clarifies the relationships between different types of Lagrange multipliers. It requires that the tangent cone T X (x ) be convex, which is true in particular if X is convex. In fact it turns out that regularity of X at x is sufficient to guarantee that T X (x ) is convex, although we have not proved this fact here (see Rockafellar and Wets [RoW98]). Strong Informative Minimal Lagrange multipliers Figure Relations of different types of Lagrange multipliers, assuming that the tangent cone T X (x ) is convex (which is true in particular if X is regular at x ). Proposition 2.3.1: Let x be a local minimum of problem (2.6)- (2.7). Assume that the tangent cone T X (x ) is convex and that the set of Lagrange multipliers is nonempty. Then:

22 22 Lagrange Multipliers Chap. 2 (a) The set of informative Lagrange multiplier vectors is nonempty, and in fact the Lagrange multiplier vector that has minimum norm is informative. (b) Each minimal Lagrange multiplier vector is strong. Proof: (a) We summarize the essence of the proof argument in the following lemma. Lemma 2.3.1: Let N be a closed convex cone in R n, and let a 0,..., a r be given vectors in R n. Suppose that the closed and convex set M R r given by M = µ 0 a 0 + µ j a j N is nonempty. Then there exists a sequence {d k } N such that a 0 dk µ 2, (2.24) (a j dk ) + µ j, j = 1,..., r, (2.25) where µ is the vector of minimum norm in M and we use the notation (a j dk ) + = max{0, a j dk }. Furthermore, we have 1 2 µ 2 = inf d N a 0 d + 1 ( (a 2 j d) +) 2 = lim k a 0 dk + 1 ( (a 2 j d k ) +) 2. In addition, if the problem (2.26) minimize a 0 d subject to d N, ( (a j d) +) 2 (2.27)

23 Sec. 2.3 Informative Lagrange Multipliers 23 has an optimal solution, denoted d, we have a 0 d = µ 2, (a j d ) + = µ j, j = 1,..., r. (2.28) Proof: For any γ 0, consider the function L γ (d, µ) = a 0 + µ j a j d + γ 2 d µ 2. (2.29) Our proof will revolve around saddle point properties of the convex/concave function L 0, but to derive these properties, we will work with its γ-perturbed and coercive version L γ for γ > 0, and then take the limit as γ 0. From the saddle point theorem of Section 1.4, for all γ > 0, the coercive convex/concave quadratic function L γ has a saddle point, denoted (d γ, µ γ ), over d N and µ 0. This saddle point is unique and can be easily characterized, taking advantage of the quadratic nature of L γ. In particular, the maximization over µ 0 when d = d γ yields µ γ j = (a j dγ ) +, j = 1,..., r (2.30) [to maximize µ j a j dγ (1/2)µ 2 j subject to the constraint µ j 0, we calculate the unconstrained maximum, which is a j dγ, and if it is negative we set it to 0, so that the maximum subject to µ j 0 is attained for µ j = (a j dγ ) + ]. The minimization over d N when µ = µ γ is equivalent to projecting the vector s γ = a 0 + r µγ j a j γ on the cone N, since by adding and subtracting (γ/2) s γ 2, we can write L γ (d, µ γ ) as It follows that L γ (d, µ γ ) = γ 2 d sγ 2 γ 2 sγ µγ 2. (2.31) d γ = P N (s γ ), (2.32) where P N ( ) denotes projection on N. Furthermore, using the projection theorem and the fact that N is a cone, we have so Eq. (2.31) yields s γ 2 d γ s γ 2 = d γ 2 = P N (s γ ) 2, L γ (d γ, µ γ ) = γ 2 P N (sγ ) µγ 2, (2.33)

24 24 Lagrange Multipliers Chap. 2 or equivalently using the definition of s γ : ( ( P N L γ (d γ, µ γ a 0 + )) r µγ j a 2 j ) = 2γ 1 2 µγ 2. (2.34) We will use the preceding facts to show that as γ 0, µ γ µ, while d γ yields the desired sequence d k, which satisfies Eqs. (2.24)-(2.26). Furthermore, we will show that if d is an optimal solution of problem (2.27), then (d, µ ) is a saddle point of the function L 0. We note that { 1 inf L 0(d, µ) = d N 2 µ 2 if µ M, otherwise, so since µ is the vector of minimum norm in M, we obtain for all γ > 0, 1 2 µ 2 = sup inf L 0(d, µ) d N µ 0 inf sup L 0 (d, µ) d N µ 0 inf sup L γ (d, µ) d N µ 0 = L γ (d γ, µ γ ). (2.35) Combining Eqs. (2.34) and (2.35), we obtain ( ( P N L γ (d γ, µ γ a 0 + )) r µγ j a 2 j ) = 1 2γ 2 µγ µ 2. (2.36) From this, we see that µ γ µ, so that µ γ remains bounded as γ 0. By taking the limit above as γ 0, we see that lim γ 0 P N a 0 + µ γ j a j = 0, so (by the continuity ( of ( the projection operation) any limit point of µ γ, call it µ, satisfies P N a 0 + )) ( r µ j a j = 0, or a 0 + ) r µ j a j N. Since µ γ 0, it follows that µ 0, so µ M. We also have µ µ (since µ γ µ ), so by using the minimum norm property of µ, we conclude that any limit point µ of µ γ must be equal to µ. Thus, µ γ µ. From Eq. (2.36) we then obtain L γ (d γ, µ γ ) 1 2 µ 2, (2.37)

25 Sec. 2.3 Informative Lagrange Multipliers 25 while from Eqs. (2.32) and (2.33), we have We also have L γ (d γ, µ γ ) = sup L γ (d γ, µ) µ 0 γ 2 dγ 2 0. (2.38) = a 0 dγ + γ 2 dγ ( (a j d γ ) +) 2 = a 0 dγ + γ 2 dγ µγ 2. (2.39) Taking the limit as γ 0 and using the fact µ γ µ and (γ/2) d γ 2 0 [cf. Eq. (2.38)], it follows that lim L γ(d γ, µ γ ) = lim a γ 0 γ 0 0 dγ µ 2. Combining this equation with Eq. (2.37), we obtain lim γ 0 a 0 dγ = µ 2, which together with the fact a j dγ = µ γ j µ j shown earlier, proves Eqs. (2.24) and (2.25). The maximum of L 0 over µ 0 for fixed d is attained at µ j = (a j d)+ [compare with Eq. (2.30)], so that sup L 0 (d, µ) = a 0 d + 1 ( (a µ 0 2 j d) +) 2. Hence inf sup L 0 (d, µ) = inf d N µ 0 d N Combining this with the equation a 0 d ( (a j d) +) 2. (2.40) inf sup L 0 (d, µ) = lim L γ (d γ, µ γ ) = 1 d N µ 0 γ 0 2 µ 2 [cf. Eqs. (2.35) and (2.37)], and Eqs. (2.38) and (2.39), we obtain the desired relation 1 2 µ 2 = inf d N a 0 d + 1 ( (a 2 j d) +) 2 = lim γ 0 a 0 dγ + 1 ( (a 2 j d γ ) +) 2

26 26 Lagrange Multipliers Chap. 2 [cf. Eq. (2.26)]. Finally, if d attains the infimum in the right-hand side above, Eqs. (2.35), (2.37), and (2.40) show that (d, µ ) is a saddle point of L 0, and that a 0 d = µ 2, (a j d ) + = µ j, j = 1,..., r. Q.E.D. We now return to the proof of Prop (a). For simplicity we assume that all the constraints are inequalities that are active at x (equality constraints can be handled by conversion to two inequalities, and inactive inequality constraints are inconsequential in the subsequent analysis). We will use Lemma with the following identifications: N = T X (x ), a 0 = f(x ), a j = g j (x ), j = 1,..., r, M = set of Lagrange multipliers, µ = Lagrange multiplier of minimum norm. If µ = 0, then µ is an informative Lagrange multiplier and we are done. If µ 0, by Lemma [cf. (2.24) and (2.25)], for any ɛ > 0, there exists a d N = T X (x ) such that a 0d < 0, (2.41) a j d > 0, j J, a j d ɛ min l J a l d, j / J, (2.42) where J = {j µ j > 0}. By suitably scaling the vector d, we can assume that d = 1. Let {x k } X be such that x k x for all k and x k x, x k x x k x d. Using Taylor s theorem for the cost function f, we have for some vector sequence ξ k converging to 0 f(x k ) f(x ) = f(x ) (x k x ) + o( x k x ) = f(x ) ( d + ξ k) x k x + o( x k x ) ( = x k x f(x ) d + f(x ) ξ k + o( xk x ) x k x (2.43) From Eq. (2.41), we have f(x ) d < 0, so we obtain f(x k ) < f(x ) for k sufficiently large. Using also Taylor s theorem for the constraint functions g j, we have for some vector sequence ξ k converging to 0, g j (x k ) g j (x ) = g j (x ) (x k x ) + o( x k x ) ). = g j (x ) ( d + ξ k) x k x + o( x k x ) ( ) = x k x g j (x ) d + g j (x ) ξ k + o( xk x ). x k x (2.44)

27 Sec. 2.3 Informative Lagrange Multipliers 27 This, combined with Eq. (2.42), shows that for k sufficiently large, g j (x k ) is bounded from below by a constant times x k x for all j such that µ j > 0 [and hence g j(x ) = 0], and satisfies g j (x k ) o( x k x ) for all j such that µ j = 0 [and hence g j(x ) 0]. Thus, the sequence {x k } can be used to establish the CV condition for µ, and it follows that µ is an informative Lagrange multiplier. (b) We summarize the essence of the proof argument of this part in the following lemma. Lemma 2.3.2: Let N be a closed convex cone in R n, let a 0, a 1,..., a r be given vectors in R n. Suppose that the closed and convex set M R r given by M = µ 0 a 0 + µ j a j N is nonempty. Among index subsets J {1,..., r} such that for some µ M we have J = {j µ j > 0}, let J {1,..., r} have a minimal number of elements. Then if J is nonempty, there exists a vector d N such that a 0 d < 0, a jd > 0, for all j J. (2.45) Proof: We apply Lemma with the vectors a 1,..., a r replaced by the vectors a j, j J. The subset of M given by M = µ 0 a 0 + µ j a j N, µ j = 0, j / J j J is nonempty by assumption. Let µ be the vector of minimum norm on M. Since J has a minimal number of indices, we must have µ j > 0 for all j J. If J is nonempty, Lemma implies that there exists a d N such that Eq. (2.45) holds. Q.E.D. Given Lemma 2.3.2, the proof of Prop (b) is very similar to the corresponding part of the proof of Prop (a). Q.E.D. Sensitivity Let us consider now the special direction d that appears in Lemma 2.3.1, and is a solution of problem (2.27) (assuming this problem has an optimal

28 28 Lagrange Multipliers Chap. 2 solution). Let us note that this problem is guaranteed to have at least one solution when N is a polyhedral cone. This is because problem (2.27) can be written as minimize a 0 d + 1 zj 2 2 subject to d N, 0 z j, a j d z j, j = 1,..., r, where the z j are auxiliary variables. Thus, if N is polyhedral, then problem (2.27) is a quadratic program with a cost function that is bounded below by Eq. (2.26), and as shown in Section 1.3, it has an optimal solution. An important context where this is relevant is when X = R n in which case N X (x ) = T X (x ) = R n, or more generally when X is polyhedral, in which case T X (x ) is polyhedral. It can also be shown that problem (2.27) has an optimal solution if there exists a vector µ M such that a 0 + µ j a j ri(n), where ri(n) denotes the relative interior of the cone N. We will show this in the next section after we develop the theory of pseudonormality and constraint qualifications. Assuming now that T X (x ) is polyhedral (or more generally, that problem (2.27) has an optimal solution), the line of proof of Prop (a) [combine Eqs. (2.43) and (2.44)] can be used to show that if the Lagrange multiplier that has minimum norm, denoted by (λ, µ ), is nonzero, there exists a sequence {x k } X, corresponding to the vector d T X (x ) of Eq. (2.28) such that f(x k ) = f(x ) λ i h i(x k ) µ j g j(x k ) + o( x k x ). (2.46) Furthermore, the vector d solves problem (2.27), from which it can be seen that d solves the problem minimize f(x ) d ( subject to hi (x ) d ) 2 + where β is given by β = j A(x ) ( gj (x ) d) +) 2 = β, d TX (x ), ( hi (x ) d ) 2 ( + gj (x ) d ) +) 2. j A(x )

29 Sec. 2.3 Informative Lagrange Multipliers 29 More generally, it can be seen that for any given positive scalar β, a positive multiple of d solves the problem minimize f(x ) d ( subject to hi (x ) d ) 2 + j A(x ) ( gj (x ) d) +) 2 = β, d TX (x ), Thus, d is the tangent direction that maximizes the cost function improvement (calculated up to first order) for a given value of the norm of the constraint violation (calculated up to first order). From Eq. (2.46), this first order cost improvement is equal to λ i h i(x k ) + µ j g j(x k ). Thus, the multipliers λ i and µ j express the rate of improvement per unit constraint violation, along the maximum improvement (or steepest descent) direction d. This is consistent with the traditional sensitivity interpretation of Lagrange multipliers. An Alternative Definition of Lagrange Multipliers Finally, let us make the connection with another treatment of Lagrange multipliers, due to Rockafellar [Roc93]. Consider vectors λ = (λ 1,..., λ m) and µ = (µ 1,..., µ r) that satisfy the conditions f(x ) + λ i h i(x ) + µ j g j(x ) N X (x ), (2.47) µ j 0, j = 1,..., r, µ j = 0, j / A(x ). (2.48) Such vectors are called Lagrange multipliers by Rockafellar, but we will here refer to them as R-multipliers, to distinguish them from Lagrange multipliers as we have defined them [cf. Eqs. (2.8)-(2.10)]. When X is regular at x, Rockafellar s definition and our definition coincide. In general, however, the set of Lagrange multipliers is a (possibly strict) subset of the set of R-multipliers, since T X (x ) N X (x ) with inequality holding when X is not regular at x. Note that multipliers satisfying the enhanced Fritz John conditions of Prop with µ 0 = 1 are R-multipliers, and they still have the extra sensitivity-like property embodied in the CV condition. Furthermore, Lemma can be used to show that assuming N X (x ) is convex, if the set of R-multipliers is nonempty, it contains an R-multiplier with the sensitivity-like property of the CV condition.

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