We have a minimization problem, which includes the following two constraints, where M constant, and and x,y,z variables: M(1- z) >= x-y -M(1-z) <= x-y

I want to dualize these two constraints using lagrangean multipliers u >=0 and v>=0. So I add in the objective function the following: u * [x-y-M(1-z)] + v [ y-x-M(1-z)]. Or should I do u * [ M(1-z) -(x-y) ] + v [M(1-z) -(y-x)] ?

Thank you

asked 10 Nov '15, 06:23

spyimp's gravatar image

spyimp
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edited 11 Nov '15, 16:01

Paul%20Rubin's gravatar image

Paul Rubin ♦♦
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You can think of the dual variable as a penalty for the amount you violate the constraint and a prize for satisfying it. In the minimization case a penalty is positive and a prize is negative. Then, you do the math :-)

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answered 10 Nov '15, 11:58

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Sune
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Asked: 10 Nov '15, 06:23

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Last updated: 11 Nov '15, 16:01

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