全部笔记的汇总贴(视频也有传送门):中科大-凸优化
min f 0 ( x ) s . t . f i ( x ) ≤ 0 , i = 1 , ⋯ , m h i ( x ) = 0 , i = 1 , ⋯ , P x ∈ R n , D = ∩ i = 0 m d o m f i ∩ ∩ i = 1 P d o m h i P ∗ o p t i m a l c a l u e \min f_0(x)\\s.t.\;f_i(x)\le0,i=1,\cdots,m\\h_i(x)=0,i=1,\cdots,P\\x\in\R^n,D=\cap_{i=0}^m dom\;f_i\cap\cap_{i=1}^P dom\;h_i\\P^*\;optimal\;calue minf0(x)s.t.fi(x)≤0,i=1,⋯,mhi(x)=0,i=1,⋯,Px∈Rn,D=∩i=0mdomfi∩∩i=1PdomhiP∗optimalcalue
拉格朗日函数(Lagrangian function/Lagrangian)
L ( x , λ , v ) = f 0 ( x ) + ∑ i = 1 m λ i f i ( x ) + ∑ i = 1 P v i h i ( x ) L(x,\lambda,v)=f_0(x)+\sum_{i=1}^m \lambda_if_i(x)+\sum_{i=1}^P v_ih_i(x) L(x,λ,v)=f0(x)+i=1∑mλifi(x)+i=1∑Pvihi(x)
对偶函数(Lagrange Dual Function/Dual Function)
g ( λ , v ) = inf x ∈ D L ( x , λ , v ) g(\lambda,v)=\inf_{x\in D}L(x,\lambda,v) g(λ,v)=x∈DinfL(x,λ,v)
Lagrange Multiplier/Multipler
性质:
- 对偶函数为凹函数
sup x ∈ D L ( x , λ , v ) 凸 → inf x ∈ D L ( x , λ