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For questions related to Lagrange (or Lagrangian) multipliers, coefficients used to penalize violations of constraints that have been relaxed from an optimization problem.

3 votes
2 answers
196 views

Lagrangian Multipliers for constraints in nonlinear optimization problems?

Suppose I want to optimize some function of continuous variables and the objective is nonlinear; in this context, gradient-based methods are quite popular. To my knowledge, soft constraints can be add …