For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .
Quantitative Finance · Glossaire
Qu'est-ce que « Lagrangian, dual problem » ?
Aussi appelé : Lagrangian · dual problem
Quantitative Finance · Glossaire
Aussi appelé : Lagrangian · dual problem
For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .