TITLE: Minimizing with Lagrange multipliers and Newton-Raphson
QUESTION [8 upvotes]: I am writing a program minimizing a real-valued non-linear function of around 90 real variables subject to around 30 non-linear constraints. I found handy explanation in CERN's Data Analysis BriefBook. I've implemented it and it works, but I am not able to derive how they obtained the equations at the bottom. Could anyone please explain how it can be achieved?
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Trying to minimize $f(x_1,...,x_n)$ subject to $c_1(x_1,...,x_n) = ... = c_m(x_1,...,x_n) = 0$.
Reformulate as $$\partial F/\partial x_1 = \dots = \partial F/\partial x_n = \partial F/\partial\lambda_1 = \dots = \partial F/\partial\lambda_m = 0$$ for
$$
F(x_1,\dots,x_n,\lambda_1,\dots,\lambda_m) = f(x_1,\dots,x_n) - \lambda^T c(x_1,\dots,x_n)
$$
Using Lagrange multipliers $\lambda$ and Newton-Raphson, they arrive at (1):
$$
A\Delta x - B^T\lambda = -a\\
B\Delta x = -c,
$$
where $A$ is Hessian of $f$, $a = (\nabla f)^T$ is gradient of $f$ and $B=\nabla c$ is Jacobian of the constraints.
I can't seem to follow them. The way I understand it, they're applying Newton-Raphson to solve $\nabla F = 0$. I believe that
$$
\nabla F = \left(a - B^T \lambda \atop -c \right)
$$
Then, we need to take derivative of $\nabla F$ for Newton-Raphson. First off, it seems to me they're only taking the derivative w.r.t. $x$ and not to $\lambda$. Why is that?
Even so, this would lead to (1) if the derivative of $\nabla F$ was $\left(A \atop -B\right)$. However, while it's true that $\nabla a = A$ and $\nabla c = B$, I can't understand where the term $-B^T\lambda$ vanished to.
Many thanks to anyone who could shed some light on this.

REPLY [2 votes]: Check Sequential Quadratic Programming in any good optimization book. When there are only equality constraints, it really boils down to applying Newton's method to the system you gave. With $F(x,\lambda) := f(x) - \lambda^T c(x)$ (the Lagrangian), differentiating yields
$$
 \nabla F(x,\lambda) =
 \begin{bmatrix}
   \nabla f(x) - J(x)^T \lambda \\
   - c(x)
 \end{bmatrix},
$$
where
$$
 J(x) =
 \begin{bmatrix}
  \nabla c_1(x)^T \\
  \vdots \\
  \nabla c_m(x)^T
 \end{bmatrix}
$$
is the Jacobian of $c$ at $x$. Applying Newton's method to $\nabla F(x,\lambda) = 0$ requires that we differentiate one more time:
$$
 \begin{bmatrix}
  H(x,\lambda) & J(x)^T \\
  J(x) & 0
 \end{bmatrix}
 \begin{bmatrix}
  \Delta x \\ -\Delta \lambda
 \end{bmatrix}
 = -
 \begin{bmatrix}
   \nabla f(x) - J(x)^T \lambda \\
   - c(x)
 \end{bmatrix}.
$$
There are all sorts of difficulties that come in, ranging from the need to perform a linesearch for a merit function, to avoiding the Maratos effect. A good book such as Numerical Optimization (Nocedal & Wright, Springer) will explain everything.