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stevengj / nlopt

library for nonlinear optimization, wrapping many algorithms for global and local, constrained or unconstrained, optimization
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computing Lagrange multipliers #327

Open stevengj opened 4 years ago

stevengj commented 4 years ago

As I noted here, it is pretty easy to compute Lagrange multipliers, given an optimum x computed by any optimization algorithm, by solving a small least-squares problem. Since people occasionally ask for this information, it might be nice to provide a function for this.

regislebrun commented 4 years ago

You can find such an implementation here in the OpenTURNS library. It was needed by some of our users to compute the sensitivity of the optimal value of the objective function wrt the bounds of the constraints.