maximize

f (x)

(1)

subject to hi (x) = 0

(2)

gj (x) 0

(3)

Lagrange function:
L(x, , ) = f (x) +

i hi (x) +

j gj (x)

KKT condition (Karush-Kuhn-Tucker Condition):

{
x L(x , , ) = 0
L(x , , ) = 0
{

f (x ) + i i hi (x ) + j j gj (x ) = 0
hi (x ) = 0