Past exam of the mathematics course of the University of Cambridge / 2006 / ib / Paper 1 / 8C (Optimization)

For maximization of $f(x)$ subject to $g_j(x)\le 0$ and $h_k(x)=0$, the Lagrangian sufficiency theorem says: if a feasible $x^{\ast }$ globally maximizes $L(x)=f(x)-{\sum }_j{\lambda }_j{g}_j(x)+{\sum }_k{\nu }_k{h}_k(x)$, where ${\lambda }_j\ge 0$, and ${\lambda }_j{g}_j(x^{\ast })=0$, then $x^{\ast }$ globally maximizes $f$ over the feasible set. Indeed, at every feasible $x$,This requires a global maximum of the optimization Lagrangian; a stationary point alone is not sufficient without additional concavity or another justification.

Put $q=p/(p-1)$ and $C=({\sum }_i|a_i{|}^q{)}^{1/q}$. If every $a_i=0$, the maximum is zero and every feasible vector is optimal. Otherwise setSince $p(q-1)=q$, ${\sum }_i|x_i^{\ast }{|}^p=1$. For $g(x)={\sum }_i|x_i{|}^p-1$, the optimization Lagrangian is $L(x)={\sum }_i{a}_i{x}_i-\lambda g(x)$. Its gradient vanishes at $x^{\ast }$ becauseThe function ${\sum }_i|x_i{|}^p$ is a strictly convex function for $p>1$, so $L$ is a strictly concave function. Its supporting-hyperplane inequality proves that this stationary point is its global maximum. Complementary slackness and feasibility hold, so the sufficiency theorem applies. Substitution givesThe maximizing vector is unique when $a\ne 0$. It is the norming vector for Holder inequality, and the value is the corresponding dual norm.