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Consider the following problem, in which X is a compact polyhedral set, f is a concave function, A is an m x n matrix,
Consider the following problem, in which X is a compact polyhedral set, f is a concave function, A is an m x n matrix, and b is an m vector: Minimize f(x) subject to Ax = b xEX. a. Formulate the Lagrangian dual problem. b. Show that the dual objective function is concave. (Hint: min{a(x) + f(x): x S} > min{a(x): x S} + min{(x): x S})
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