http://stackoverflow.com/questions/2599564/how-to-label-each-equation-in-align-environment
\begin{align}
\label{eqn1} \lambda_i + \mu_i = 0 \\
\label{eqn2} \mu_i \xi_i = 0 \\
\label{eqn3} \lambda_i [y_i( w^T x_i + b) - 1 + \xi_i] = 0
\end{align}
The \label command should be placed in the line you want to reference, the placement in the line does not matter. I prefer to place it at the beginning at the line (as a sort of description) while others place them at the end.