Theory of Intelligence
MATH FOR AI•Optimization•Constrained And Convex Optimization•4.1 Lagrange Multipliers

Introduction

Optimization problems with constraints, the Lagrangian, and the KKT conditions.

Introduction

Many problems come with rules: probabilities must sum to 1, a budget can't be exceeded, a weight vector must have bounded norm, a classifier's margin must be at least 1. Constrained optimization finds the best point that satisfies the rules. Lagrange multipliers turn a constrained problem into an unconstrained one with extra variables — the technique behind PCA's derivation, maximum-entropy models, and support vector machines.

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