Reduction of Constrained Maxima to Saddle point Problems
STANFORD UNIVERSITY STANFORD United States
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The usual applications of the method of Lagrangian multipliers, used in locatingconstrained extrema say maxima, involve the setting up of the Lagrangian expression,1 phi x, y fx ygx,where fx is being say maximized with respect to the vector variable x x,XNJ, subject to the constraint gx 0, where gx maps the points of the N-dimensionalx-space into an M-dimensional space, and y Iyi,.-. , YM is the Lagrange multipliervector. Here, I indicates a column vector the prime indicates transposition, sothat y is a row vector.
- Numerical Mathematics