MIE376 Lec 5 - NLPQPv2.page11

MIE376 Lec 5 - NLPQPv2.page11 - j for every constraint ²...

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MIE376 - Mathematical Programming 11 Constrained Opt. – Equality Constraints ± Max f( x ) subject to g j ( x ) = b j j=1…m ± Use Lagrange Multipliers to convert to unconstrained optimization ² Introduce a Lagrange multiplier
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Unformatted text preview: λ j for every constraint ² Form the Lagrangian as ² Max L ( x, λ ) Î Max f( x ) subject to g j (x) = b j , j=1…m )] ( [ ) ( ) , ( 1 ∑ = − + = m j j j j x g b x f x L λ...
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