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Convex Optimization by Lieven Vandenberghe, Stephen Boyd

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Chapter 5

Duality

5.1 The Lagrange dual function

5.1.1 The Lagrangian

We consider an optimization problem in the standard form (4.1):

image

(5.1)

with variable x Rn. We assume its domain dom hi is nonempty, and denote the optimal value of (5.1 ...

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