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Derivative of a constrained value function
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Mathematics
Area of mathematics
Mathematical optimization
Lagrange multiplier
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Words: 22
For
ϕ
(
b
)
=
in
f
{
f
(
x
)
:
g
(
x
)
=
b
}
,
(8)
suppose the optimizer and multiplier vary smoothly and use
L
=
f
−
λ
(
g
−
b
)
. Differentiating the optimum value and using stationarity gives
ϕ
′
(
b
)
=
λ
(
b
)
.
(9)
Ancestors
(5)
Lagrange multiplier
Mathematical optimization
Area of mathematics
Mathematics
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(1)
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