Consider the discrete optimization problem The feasible set consists of a finite collection of m points in
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Consider the discrete optimization problem
The feasible set consists of a finite collection of m points in Rn, and we have one inequality constraint. Dualize the inequality and show that the dual function is a piecewise linear, nondifferentiable concave function. Where is the dual function not differentiable?
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Related Book For 
An Introduction To Financial Markets A Quantitative Approach
ISBN: 9781118014776
1st Edition
Authors: Paolo Brandimarte
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