
Practical Management Science
6th Edition
ISBN: 9781337406659
Author: WINSTON, Wayne L.
Publisher: Cengage,
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Question
Derive the KKT conditions for the Bid price policy program,
min J˜µ T (x)
s.t. µ ≥ 0
with variable µ ∈ R m. In particular, show that an optimal solution µ* to this program must satisfy
∑ T t=1 ∑ n j=1 P (Rt,j ≥ (µ*) ⊺Aj )
∑ T t=1 ∑n j=1 P(Rt,j ≥ (µ*)⊺Aj) (µ*)⊺Aj = (µ*)⊺x.

Transcribed Image Text:min √(x)
s.t. μ 20
with variable μ Rm. In particular, show that an optimal solution μ* to this program must
satisfy
T n
t=1 j=1
T n
P(Rt(*)¹Ã¡) Ai‚j ≤ xi, Vi,
ΣΣP (Rt‚j ≥ (µ*)'Aj) (µ*)¹A; = (µ*)¹x.
t=1 j=1
(1)
(2)
SAVE
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