Remarks and explanation

What does this condition mean?

  • If you move from \(x\) towards any feasible \(y\), you will increase f locally.

  • The vector \(-∇f(x)\) (assuming it is nonzero) serves as a hyperplane that "supports" the feasible set \(Ω\) at \(x\). (See figure below) An illustration of the optimality condition for convex optimization.

An illustration of the optimality condition for convex optimization

Remark 1

The necessity of the condition holds independent of convexity of \(f\). Convexity is used in establishing sufficiency.

Remark 2

If \(Ω=\mathbb{R}^{n}\), the condition above reduces to our first order unconstrained optimality condition \(∇f(x)=0.\)

Remark 3

Similarly, if \(x\) is in the interior of \(Ω\) and is optimal, we must have \(∇f(x)=0\). (Take \(y=x-α∇f(x)\) for \(α\) small enough.)