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What the Heck are Lagrange Multipliers and can they hurt me?!

A short Primer on Constrained, Convex Optimization & Regularization

These are the lecture notes for FAU’s YouTube Lecture “Pattern Recognition”. This is a full transcript of the lecture video & matching slides. The sources for the slides are available here. We hope, you enjoy this as much as the videos. This transcript was almost entirely machine generated using AutoBlog and only minor manual modifications were performed. If you spot mistakes, please let us know!

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I’ve received again many of your questions and I selected a couple of those to be replied to in this post. Today’s post will be all about convex optimization, regularization, Lagrangian multipliers, Lagrange functions, and concepts like strong duality. I picked a couple of very simple examples which I hope will help you understand those rather mathematical concepts.

Lagrange multipliers won’t hurt you. I am not sure about this book though. Image under CC BY 4.0 from the Pattern Recognition Lecture.

You know it can always get worse. Imagine that you would be dealing with things like…