[線代] Dual of dual problem 線性規劃
大家好,想請問要怎麼導出 dual problem 的 dual problem 呢?
一般 primal 是 minimize objective,但是 dual 是 maximize objective
這樣要先把 dual 換成 minimize 之後再推導嗎?
例如 Linear problem
Primal:
min (c^T)x
subject to Ax <= b (這裏的 <= 是 element-wise 的小於等於)
那他的 Lagrangian 就是 L(x, v) = (c^T)x + v^T(Ax - b)
然後 dual function g(v) = inf L(x,v)
x
而他的 Dual:
max -(b^T)v
subject to (A^T)v + c = 0, v >= 0
這時候要怎麼算他的 dual function?是要先把 max -(b^T)v 換成 min (b^T)v 嗎?
還是直接照算 Lagrangian?
在算 dual function 的時候一樣是對 Lagrangian 取 inf 嗎?
謝謝
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推
04/20 11:21, , 1F
04/20 11:21, 1F
Dual of dual problem 不一定都是原問題吧?
我知道這裏會是原問題,但是不知道怎麼照定義推導
※ 編輯: kusoayan (36.235.219.199), 04/20/2014 11:44:28
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