Lagrange Duality

Learn how to solve constrained optimization using Lagrange multipliers.

Lagrange multipliers and the primal-dual theorem can be used to convert any convex-constrained optimization problem into a simpler optimization problem. Lagrange multipliers are very useful in transforming constrained optimizations, such as LP and QP problems, into simpler optimization problems.

Lagrange multipliers

Suppose we want to solve the following constrained optimization problem:

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