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The method of Lagrange multipliers finds critical points (including maxima and minima) of a differentiable function subject to differentiable constraints.
13
votes
The proof of equivalent formulas of ridge regression
It's perhaps worth reading about Lagrangian duality and a broader relation (at times equivalence) between:
optimization subject to hard (i.e. inviolable) constraints
optimization with penalties for …
8
votes
KKT in a nutshell graphically
The basic idea of the KKT conditions as necessary conditions for an optimum is that if they don't hold at a feasible point $\mathbf{x}$, then there exists a direction $\boldsymbol{\delta}$ that will i …
1
vote
What would happen to the solution of primal SVM problem we had 0 in constraint instead of 1
Then $\mathbf{w} = \mathbf{0}$, $b = 0$ satisfies every constraint, but that's not a useful solution.
Stanford Prof. Stephen Boyd has an excellent discussion in lecture 13 of his Convex Optimization …