To understand *duality*, you first need to understand the *Lagrange multipliers* method. The general idea is to transform a constrained optimization objective into an unconstrained one, by moving the constraints into the objective function. Let’s look at a simple example. Suppose you want to find the values of *x* and *y* that minimize the function *f*(*x*,*y*) = *x*^{2} + 2*y*, subject to an *equality constraint*: 3*x* + 2*y* + 1 = 0. Using the Lagrange multipliers method, we start by defining a new function called the *Lagrangian* (or *Lagrange function*): *g*(*x*, *y*, *α*) = *f*(*x*, *y*) – *α*(3*x* + 2*y* + 1). Each constraint (in this case just one) is subtracted from the original objective, multiplied by a new variable called a Lagrange multiplier.

Joseph-Louis Lagrange showed that if is a solution to the constrained optimization problem, then there must exist an such that is a *stationary point* of the Lagrangian (a stationary point is a point where all partial derivatives are equal to zero). In other words, we can compute the partial derivatives of *g*(*x*, *y*, *α*) with regards to *x*, *y*, and *α*; we can find the points where these derivatives are all equal to zero; and the solutions to the constrained optimization ...

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