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Quantitative Finance · Begrippenlijst

Wat is Lagrangian, dual problem?

Ook bekend als: Lagrangian · dual problem

Definition 23.3 Quantitative Methods · Hoofdstuk 23 — Convex Optimisation

For minimising f(x)f(x) subject to gi(x)≤0g_i(x) \le 0 and Ax=bAx = b, the Lagrangian is L(x,λ,ν)=f(x)+∑iλigi(x)+ν⊤(Ax−b)L(x, \lambda, \nu) = f(x) + \sum_i\lambda_ig_i(x) + \nu^\top(Ax - b), and the dual function is d(λ,ν)=inf⁡xL(x,λ,ν)d(\lambda, \nu) = \inf_xL(x, \lambda, \nu). The dual problem maximises dd over λ≥0\lambda \ge 0.

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