Add Pluto notebooks for class02 chapter

Author: ArnaudDeza

class02/class02_constrained_min.jl

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+### A Pluto.jl notebook ###
+# v0.20.17
+
+using Markdown
+using InteractiveUtils
+
+# ╔═╡ a509f9d8-9c6d-11f0-3db9-cb5fe2e85d64
+md"""# Constrained Optimization (Equality & Inequality KKT)
+ 
+[⬅ Back to Class 02 Overview](class02_overview.jl) 
+
+[⬅ Previous: Unconstrained Minimization](class02_unconstrained_min.jl) 
+
+[➡ Next: Methods (Penalty/ALM/IPM)](class02_methods_barrier_alm.jl)
+
+**In this section you will:**
+
+* Build the **geometry** of equality constraints and the **KKT** conditions.
+* See the **Newton-on-KKT** linear system (saddle point) and when it’s well-posed.
+* Contrast **full Newton** vs. **Gauss–Newton** on the KKT system.
+* Extend to **inequality constraints** and understand **complementarity**.
+ 
+"""
+
+# ╔═╡ 57cd6d88-ea7e-4f5c-bc17-7fc65fb78e95
+md"""## Equality-constrained minimization: geometry and conditions
+
+**Problem:**
+[
+\min_{x\in\mathbb{R}^n} f(x) \quad \text{s.t.}\quad C(x)=0,\ \ C:\mathbb{R}^n\to\mathbb{R}^m.
+]
+
+**Geometric picture.** At an optimum on the manifold (C(x)=0), the negative gradient must lie in the tangent space:
+[
+\nabla f(x^\star)\ \perp\ \mathcal{T}_{x^\star}={p:\ J_C(x^\star)p=0}.
+]
+Equivalently, the gradient is a linear combination of the constraint normals:
+[
+\nabla f(x^\star)+J_C(x^\star)^{!T}\lambda^\star=0,\qquad C(x^\star)=0\quad(\lambda^\star\in\mathbb{R}^m).
+]
+
+**Lagrangian.** (L(x,\lambda)=f(x)+\lambda^{!T}C(x)).
+"""
+
+# ╔═╡ b7763163-fc68-4c56-bac9-c37de527858f
+md"""
+## Equality constraints: picture first
+
+**Goal.** Minimize (f(x)) while staying on the surface (C(x)=0).
+
+* **Feasible set as a surface.** Think of (C(x)=0) as a smooth surface embedded in (\mathbb{R}^n) (a manifold).
+* **Move without breaking the constraint.** Tangent directions are the “along-the-surface” moves keeping (C(x)) unchanged to first order.
+* **What must be true at the best point.** At (x^\star), there’s no downhill direction within the tangent space.
+* **Normals enter the story.** If the gradient can’t point along the surface, it must be balanced by the normals ({J_C(x^\star)_{i:}^{!T}}), producing multipliers (\lambda^\star). 
+"""
+
+# ╔═╡ 8a08b045-3a1b-4601-a081-27a6a22d05e6
+md"""
+## From the picture to KKT (equality only)
+
+For a regular local minimum:
+
+1. **Feasibility:** (C(x^\star)=0).
+2. **Stationarity:** (\nabla f(x^\star) + J_C(x^\star)^{!T}\lambda^\star = 0).
+
+**Lagrangian viewpoint.** Define (L(x,\lambda)=f(x)+\lambda^{!T}C(x)). At a solution, (x^\star) is stationary for (L) w.r.t. (x), while (C(x^\star)=0) ensures feasibility.
+
+**Interpreting (\lambda^\star).** Each (\lambda_i^\star) reflects how strongly the (i)-th constraint “pushes back”; it’s also a sensitivity of the optimal value to perturbations in (C_i).
+"""
+
+# ╔═╡ 907459d1-4a09-441c-a989-71ff687da873
+md"""
+## KKT system for equalities (first order) & Newton on KKT
+
+**KKT (FOC):**
+[
+\nabla_x L(x,\lambda)=\nabla f(x)+J_C(x)^{!T}\lambda=0,\qquad C(x)=0.
+]
+
+**Newton on KKT (linearize both blocks):**
+[
+\begin{bmatrix}
+\nabla^2 f(x) + \sum_{i=1}^{m}\lambda_i,\nabla^2 C_i(x) & ; J_C(x)^{!T}[2pt]
+J_C(x) & ; 0
+\end{bmatrix}
+\begin{bmatrix}\Delta x\ \Delta\lambda\end{bmatrix}
+=-
+\begin{bmatrix}
+\nabla f(x)+J_C(x)^{!T}\lambda[2pt] C(x)
+\end{bmatrix}.
+]
+
+**Notes.** This is a symmetric **saddle-point** system. Practical solves use block elimination (Schur complement) and sparse factorizations.
+ """
+
+# ╔═╡ aec59d16-c254-43b6-aee2-6261823fb7c3
+md"""
+## Newton on KKT: practice & safeguards
+
+**Works best when:**
+
+* (J_C(x^\star)) has **full row rank** (regularity).
+* The **reduced Hessian** is **positive definite**.
+* A **globalization** (e.g., merit/penalty line search) and mild **regularization** are present.
+
+**Common safeguards:**
+
+* **Regularize** the ((1,1)) block (e.g., (+\beta I)) to ensure a good search direction.
+* **Merit/penalty line search** balancing feasibility vs. optimality.
+* **Scaling** constraints to improve conditioning of the KKT system.
+"""
+
+# ╔═╡ a14a100c-5c92-42cc-899d-8c6eb0619368
+md"""
+## Gauss–Newton vs. full Newton (equality case)
+
+* **Full Newton Lagrangian Hessian:**
+  [
+  \nabla_{xx}^2 L(x,\lambda)=\nabla^2 f(x)+\sum_{i=1}^m \lambda_i,\nabla^2 C_i(x).
+  ]
+* **Gauss–Newton approximation:** drop the constraint-curvature term:
+  [
+  H_{\text{GN}}(x)\approx \nabla^2 f(x).
+  ]
+
+**Trade-offs.**
+
+* **Full Newton:** fewer iterations near the solution; costlier steps; less robust far away.
+* **Gauss–Newton:** cheaper per step and often more stable; may need more iterations but competitive in wall-clock on many problems.
+"""
+
+# ╔═╡ 300c917e-e61c-4881-82d0-bc79ace66795
+md"""
+## Solving the KKT system: Schur complement (intuition)
+
+Given
+[
+\begin{bmatrix} H & A^{!T}\ A & 0\end{bmatrix}
+\begin{bmatrix}\Delta x\ \Delta\lambda\end{bmatrix}
+=-
+\begin{bmatrix} g\ c\end{bmatrix},
+]
+with (H\approx \nabla_{xx}^2 L), (A=J_C(x)), (g=\nabla f+J_C^{!T}\lambda), (c=C(x)).
+
+* Eliminate (\Delta x): (\Delta x = -H^{-1}(g + A^{!T}\Delta\lambda)).
+* Schur system in (\Delta\lambda):
+  [
+  (A H^{-1} A^{!T}),\Delta\lambda = c + A H^{-1} g.
+  ]
+* Then recover (\Delta x).
+  Exploit **sparsity**: factor (H) once per iteration; reuse structure across iterations.
+
+"""
+
+# ╔═╡ 28a43bca-618a-4fec-a7eb-ad7a734ceac5
+md"""
+## Inequality-constrained minimization and KKT
+
+**Problem:** (\min f(x)\ \text{s.t.}\ c(x)\ge 0,\ \ c:\mathbb{R}^n\to\mathbb{R}^p).
+
+**KKT (FOC):**
+[
+\begin{aligned}
+&\text{Stationarity:} && \nabla f(x)-J_c(x)^{!T}\lambda=0,\
+&\text{Primal feasibility:} && c(x)\ge 0,\
+&\text{Dual feasibility:} && \lambda\ge 0,\
+&\text{Complementarity:} && \lambda^{!T}c(x)=0\quad(\lambda_i c_i(x)=0,\ \forall i).
+\end{aligned}
+]
+
+**Interpretation.**
+
+* **Active** constraints: (c_i(x)=0\Rightarrow \lambda_i) can be nonzero (acts like an equality).
+* **Inactive** constraints: (c_i(x)>0\Rightarrow \lambda_i=0) (no influence on stationarity).
+"""
+
+# ╔═╡ 3b6300c0-d69f-4004-9b91-41116d0ce832
+md"""
+## Complementarity: intuition & Newton’s challenge
+
+**What (\lambda_i c_i(x)=0) means.**
+
+* Tight constraint ((c_i=0)) → can press back ((\lambda_i\ge 0)).
+* Loose constraint ((c_i>0)) → no force ((\lambda_i=0)).
+
+**Why naïve Newton struggles.**
+
+* Complementarity brings **nonsmoothness** and **inequalities** ((\lambda\ge 0), (c(x)\ge 0)).
+* Equality-style Newton can violate nonnegativity or bounce across the boundary.
+
+**Two main strategies (preview).**
+
+* **Active-set:** guess actives → solve equality-constrained subproblem → update the set.
+* **Barrier / PDIP / ALM:** smooth or relax complementarity, use damped Newton, and drive the relaxation to zero.
+ 
+"""
+
+# ╔═╡ ab782dbb-5f3c-404f-87b7-091b4382b0aa
+md"""
+## Globalization with constraints: merit functions
+
+To balance feasibility and optimality during updates ((x,\lambda)\to(x+\alpha\Delta x,\lambda+\alpha\Delta\lambda)), use a **merit/penalty** function, e.g.
+[
+\Phi_\mu(x) = f(x) + \mu,|C(x)|*1 \quad \text{(equality case)},
+]
+or for inequalities, a penalty on **violation** (v(x)=\sum_i \max(0,-c_i(x))).
+Do a **backtracking line search** on (\Phi*\mu) to ensure robust progress.
+
+*(You’ll see barrier and ALM variants in the next section.)*
+ 
+"""
+
+# ╔═╡ 0f722888-d66c-47ae-a1ee-1e2b7c9b4a58
+md"""
+## Conditioning & scaling
+
+* **Scale constraints** so rows of (J_C) have comparable norms → better KKT conditioning.
+* **Regularize** (H) when indefinite/ill-conditioned (modified Cholesky or (+\beta I)).
+* **Exploit structure:** block-banded, sparse patterns common in trajectory problems.
+* **Warm-starts** from previous solves (e.g., along continuation or time steps) improve robustness.
+"""
+
+# ╔═╡ f4d85409-9095-4bc0-b515-ae283e43f344
+md"""
+## Where to next
+
+* Proceed to **Methods: Penalty vs. Augmented Lagrangian vs. Interior-Point** to see practical algorithms that *enforce* the KKT conditions reliably, including complementarity handling for inequalities.
+* Later, we’ll assemble these pieces into **SQP**.
+
+[➡ Methods (Penalty/ALM/IPM) (next)](class02_methods_barrier_alm.jl) · [⬅ Back to overview](class02_overview.jl)
+"""
+
+# ╔═╡ 00000000-0000-0000-0000-000000000001
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+[deps]
+"""
+
+# ╔═╡ 00000000-0000-0000-0000-000000000002
+PLUTO_MANIFEST_TOML_CONTENTS = """
+# This file is machine-generated - editing it directly is not advised
+
+julia_version = "1.10.0"
+manifest_format = "2.0"
+project_hash = "da39a3ee5e6b4b0d3255bfef95601890afd80709"
+
+[deps]
+"""
+
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