For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .
Quantitative Finance · Glossary
What is Lagrangian, dual problem?
Also known as: Lagrangian · dual problem
Quantitative Finance · Glossary
Also known as: Lagrangian · dual problem
For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .