Fenchel and Lagrange Duality are Equivalent

A basic result in ordinary (Lagrange) convex programming is the saddlepoint duality theorem concerning optimization problems with convex inequalities and linear-affine equalities satisfying a Slater condition. This note shows that this result is equivalent to the duality theorem of Fenchel.

Bibliographic Details
Main Author: Magnanti, Thomas L.
Format: Working Paper
Language:en_US
Published: Massachusetts Institute of Technology, Operations Research Center 2004
Online Access:http://hdl.handle.net/1721.1/5352