Failure of multiplier stationarity at a singular constraint

ID: failure-of-multiplier-stationarity-at-a-singular-constraint

The nonzero gradient condition in the equality Lagrange multiplier rule cannot simply be dropped. Minimize subject to . The only feasible point is , so it is a global minimum and a global maximum of on that feasible set. Nevertheless,
and no real number satisfies . The point is singular for this representation of the optimization constraint; the usual constraint qualification fails. The linearized equation permits every direction, even though the actual feasible set permits no motion at all. This example explains why blindly solving the multiplier equations can miss an optimum.

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