For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .
Quantitative Finance · Glossário
O que é Lagrangian, dual problem?
Também chamado de: Lagrangian · dual problem
Quantitative Finance · Glossário
Também chamado de: Lagrangian · dual problem
For minimising subject to and , the Lagrangian is , and the dual function is . The dual problem maximises over .