# 原来拉格朗日乘子法这么简单！

## 拉格朗日乘子法

\begin{aligned} &max \quad f_0(\bf{x}) \\ &\begin{aligned} s.t. \quad &f_i(\bf{x}) \le 0, &i = 1, 2, \dots, m \\ &h_i(\bf{x}) = 0, &i = 1, 2, \dots, p \\ \end{aligned} \end{aligned}

$L(\mathbf{x}, \lambda, \nu) = f_0(\mathbf{x}) - \sum_{i = 1}^{m}\lambda_{i}f_i(\mathbf{x}) - \sum_{i = 1}^{p}\nu_ih_i(\mathbf{x})$

\begin{aligned} g(\lambda, \nu) &= \inf\limits_{\mathbf{x} \in D}L (\mathbf{x} , \lambda, \nu) \\ &= f_0(\mathbf{x}) - \sum_{i = 1}^{m}\lambda_{i}f_i(\mathbf{x}) - \sum_{i = 1}^{p}\nu_ih_i(\mathbf{x}) \\ \end{aligned}

$f_0(\mathbf{x}) \ge L(\mathbf{x}, \lambda, \nu) \ge g(\lambda, \nu) \to g(\lambda, \nu) \le p^{*}$

\begin{aligned} &max \quad g(\lambda, \nu) \\ &\begin{aligned} s.t. \quad \lambda \le 0 \\ \end{aligned} \end{aligned}

• 弱对偶性（weak duality）$d^{*} \le p^{*}$

• 对于非凸问题和凸问题总是成立；
• 可以用来寻找困难问题的平凡下界。
• 强对偶性（strong duality）$d^{*} = p^{*}$

• 通常不会成立；
• 当问题是凸问题时，通常成立。

\begin{aligned} f_0(\mathbf{x}^{*}) = g(\lambda^{*}, \nu^{*}) &= f_0(\mathbf{x}) - \sum_{i = 1}^{m}\lambda_{i}^{*}f_i(\mathbf{x}) - \sum_{i = 1}^{p}\nu_i^{*}h_i(\mathbf{x}) \\ &\le f_0(\mathbf{x}^{*}) - \sum_{i = 1}^{m}\lambda_{i}^{*}f_i^{}(\mathbf{x}^{*}) - \sum_{i = 1}^{p}\nu_i^{*}h_i(\mathbf{x}^{*}) \\ &\le f_0(\mathbf{x}^{*}) \\ \end{aligned}

• $\mathbf{x^{*}}$使得$L(\mathbf{x}^{*}, \lambda, \nu)$值最小;
• $\lambda_{i}^{*}f_i(\mathbf{x}^{*}) = 0, i = 1, 2, \dots, m$

\begin{aligned} \lambda_{i}^{*} < 0 &\to f_i(\mathbf{x}^{*}) = 0 \\ f_i(\mathbf{x}^{*}) = 0 &\to \lambda_{i}^{*} < 0 \\ \end{aligned}

• 原始约束（primal constraints）$f_i(\mathbf{x}) \le 0, i = 1, \dots, m, \quad h_i(\mathbf{x}) = 0, i = 1, \dots, p;$
• 对偶约束（dual constraints）$\lambda \le 0;$
• 互补松弛性（complementary slackness）$\lambda_{i}f_i(\mathbf{x}) = 0, i = 1, \dots, m;$
• 拉格朗日函数对于$\mathbf{x}$的梯度满足：
$\nabla f_0(\mathbf{x}) + \sum_{i = 1}^{m}\lambda_i\nabla f_i(\mathbf{x}) + \sum_{i = 1}^{p}\nu_i\nabla h_i(\mathbf{x}) = 0$

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