Lagrangian duality theory refers to a way to find a bound or solve an optimization problem (the primal problem) by looking at a different optimization problem (the dual problem). More specifically, the solution to the dual problem can provide a bound to the primal problem or the same optimal solution as the primal problem, which is useful if the primal problem is harder to solve than the dual problem. In the latter case, the problem must be convex and satisfy a constraint qualification. A fundamental idea of the duality theory is that the dual of a dual linear program is the original primal linear program.

Last modified

• 11/30/2018

Creator

• Hannah Seo

DOI

• https://doi.org/10.21985/N2RT8N

Keyword

• Lagrangian
• Duality

Rights statement

• In Copyright