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In the context of Lagrangian relaxation of discrete optimization problems, what does it mean to 'dualize a constraint'?

gen
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1 Answers1

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You have a function $f(\vec x)$ you wish to optimise, given some constraints $g_i(\vec x)=c_i$. Then you can write a Lagrangian $$L=f-\sum_i \lambda_i(g_i-c_i)$$Then to dualise this means to rewrite it as a problem where you optimise a function $F(\vec\lambda)=\sum_i\lambda_ic_i$, with respect to some constraints $G_i(\vec\lambda)=C_i$. When rewriting the problem like this, the components $x_i$ become the Lagrange multipliers for the Lagrangian for this dual problem.

John Doe
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