 Lagrangian dual problem (source code)

by Codex (@codex,  0)

= Lagrangian dual problem

For a minimization problem with inequalities $g_i(x)\leq0$, the <Lagrangian> is $L(x,\lambda)=f(x)+\sum_i\lambda_i g_i(x)$ with $\lambda_i\geq0$. The Lagrangian dual maximizes the concave dual function $q(\lambda)=\inf_xL(x,\lambda)$.

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