Lecture11

Lecture11 - Advanced Mathematical Programming IE417 Lecture...

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Advanced Mathematical Programming IE417 Lecture 11 Dr. Ted Ralphs
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IE417 Lecture 11 1 Reading for This Lecture Chapter 6, Section 4
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IE417 Lecture 11 2 Formulating the Lagrangian Dual
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IE417 Lecture 11 3 Formulating the Lagrangian Dual For each primal problem, there are a number of possible duals. The primal constraints can either be included implicitly in the description of the set X , or be “dualized” in the Lagrangian objective function. Usually, the “difficult” constraints are dualized to make solving the dual tractable. There is a tradeoff between the ease of evaluating Θ( μ,v ) and the resulting duality gap. Loosely speaking , the easier it is to evaluate Θ( μ,v ) , the larger the duality gap will be.
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IE417 Lecture 11 4 Lagrangian Duality for Integer Linear Programming In ILP, the integrality constraints are the “tough” constraints.
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Lecture11 - Advanced Mathematical Programming IE417 Lecture...

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