TITLE: Testing Linear Least Squares with Linear Inequality Constrains for Optimality
QUESTION [5 upvotes]: I've written a C# solver for linear least squares problems with inequality constraints.  That is, given $A$, $b$, $G$, $h$
$$\min\|Ax-b\|^2\text{ s.t. }Gx\ge h$$
I have a few hand crafted test problems that my solver gives the correct answer for, and now I'd like to throw a gauntlet of randomly generated problems of various ranks at it to make sure there aren't any edge cases I'm missing.
So what I need is a way to determine that a given $b$ vector calculated satisfies the constraints $Gx \ge h$ (which is easy to check for) and that the solution vector can't be improved by perturbing it in a given non-constrained direction.  The second part is what I'm at a loss for.

REPLY [4 votes]: As written above, the nice thing about the KKT conditions is that they allow you to check any solution as it was a black box without a reference solver just by validating its $ \lambda $ on the KKT conditions.
Yet while there are many solvers for this I'm adding another approach - The Projected Gradient Descent.
The Problem Statement
$$
\begin{align*}
\arg \min_{x} & \quad & \frac{1}{2} \left\| A x - b \right\|_{2}^{2} \\
\text{subject to} & \quad & C x \leq d
\end{align*}
$$
The Solution
Now, if we had a closed form projection into the set of the Linear Inequality (Convex Polytop / Convex Polyhedron), which is a Linear Inequality Constraints Least Least Square problem by itself, using the Projected Gradient Descent was easy:

Gradient Descent Step.
Project Solution onto the Inequality Set.
Unless converged go to (1).

Yet, another way is to use Alternating Projections.
Since the set:
$$ \mathcal{S} = \left\{ x \mid C x \leq d \right\} $$
Can be decomposed into:
$$ \mathcal{S} = \cap_{i = 1}^{l} {\mathcal{s}}_{i} = \cap_{i = 1}^{l} \left\{ x \mid {c}_{i}^{T} x \leq {d}_{i} \right\} $$
Where $ {c}_{i} $ is the $ i $ -th row of $ C $.  
Projection onto Half Space
In the above, each $ \mathcal{s}_{i} $ is an half space which the projection onto is known:
$$
\begin{align*}
\arg \min_{x} & \quad & \frac{1}{2} \left\| x - y \right\|_{2}^{2} \\
\text{subject to} & \quad & {c}^{T} x \leq d
\end{align*}
$$
The solution is given by:
$$ \hat{x} = y - \lambda c, \quad \lambda = \max \left\{ \frac{ {x}^{T} y - d }{ \left\| c \right\|_{2}^{2} }, 0 \right\} $$
Now the solution becomes:

Gradient Descent Step.
Project Solution onto the Inequality Set:

Project onto the 1st Half Space.
Project onto the 2nd Half Space. 
...
Project onto the k-th Half Space.

Unless converged go to (1).

The code for the Gradient Descent is given by:
mAA = mA.' * mA;
vAb = mA.' * vB;

vX          = zeros([numCols, 1]);
vObjVal(1)  = hObjFun(vX);

for ii = 2:numIterations

    vG = (mAA * vX) - vAb; %<! Gradient

    vX = vX - (stepSize * vG); %<! Gradient Descent
    vX = ProjectOntoLinearInequality(vX, mC, vD, stopThr); %<! Projection

    vObjVal(ii) = hObjFun(vX);
end

The Projection (Alternating Projection):
function [ vX ] = ProjectOntoLinearInequality( vY, mC, vD, stopThr )

numConst    = size(mC, 1);
vCNorm      = sum(mC .^ 2, 2);

vX      = vY;
vRes    = (mC * vX) - vD;
maxRes  = max(vRes);

while(maxRes > stopThr)
    for ii = 1:numConst
        paramLambda = max(((mC(ii, :) * vX) - vD(ii)) / vCNorm(ii), 0);
        vX = vX - (paramLambda * mC(ii, :).');
    end

    vRes = (mC * vX) - vD;
    maxRes = max(vRes);

end


end

The result:

The full code (Including validation against CVX) is available on my StackExchange Math Q73712 GitHub Repository.