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From: Paul Rubin
Date: Wednesday, February 27, 2008 10:38 PM
Subject: Re: Is nested programming possible (one optimization inside another)?
From: Paul Rubin
Date: Wednesday, February 27, 2008 10:38 PM
Subject: Re: Is nested programming possible (one optimization inside another)?
golabidoon@gmail.com wrote:
> On Feb 27, 2:03 pm, Paul Rubin
>> (P1) min x^2 s.t. x >= 3 - a; x <= 1
>>
>> (P2) min a^2 s.t. a <= 2*x.
>
> Let's say (P2) is the inner problem. Since we can obtain closed form
> solution for this simple example, I just do that instead of using
> first order necessary condition.
> We must first solve the inner problem for a and treat x as a
> parameter. We get:
>
> a*=0 if x>=0
> a*=infeasible if x<0
No, a* = x if x < 0. I deliberately did not put a sign restriction on a
(nor on x in P1).
/Paul
