For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .
Quantitative Finance · Begrippenlijst
Wat is Lagrangian, dual problem?
Ook bekend als: Lagrangian · dual problem
Quantitative Finance · Begrippenlijst
Ook bekend als: Lagrangian · dual problem
For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .