Lecture 8: Lagrangian
published: Aug. 17, 2010, recorded: January 2008, views: 5533
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So that’s it. Here you say, for example, that lambda three is the lagrange multiplier or dual variable or price, I’ll justify that term soon, associated with the third inequality, so FI of X less than zero, that’s what lambda three is. And in fact, you can even sort of get a hint at what’s going on here. If, for example, lambda three were six that would mean the following: up here this says that if F3 is less than or equal to zero, it’s perfectly okay; if it’s bigger than zero, it’s infinitely bad. ...
See the whole transcript at Convex Optimization I - Lecture 08
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