Solve the primal and dual formulation of
$$ \text{minimize } f(x)= e^x \\ \text{subject to } x \geq 1 $$
Solve the primal and dual formulation of
$$ \text{minimize } f(x)= e^x \\ \text{subject to } x \geq 1 $$
On
I want to answer my question. Kindly verify if there are any errors.
The primal solution is $x^* =1$ i.e $f(x^*)=e$. Consider the dual function:
$$\Theta(\lambda)= \min_{x} e^x + \lambda (1-x)$$ This reaches the minimum at $x^* = ln(\lambda)$ where $\lambda > 0$
Now, on substitution, we get, the dual problem to be
$$\max_{\lambda >0}\Theta(\lambda)= 2\lambda - \lambda ln(\lambda) $$
$\nabla \Theta = 0$ gives $\lambda = e$ which has the same objective value as the primal.
Now, for the dual of dual,
$$\Theta(x)= \max_{\lambda} 2\lambda - \lambda ln(\lambda) -x\lambda$$
this has the maximum at $\lambda = e^{1-x}$ which then gives the original primal problem.
Noting that $f(x)=e^x$ is an increasing function over its domain, the minimum of $f(x)$ for $x \geqslant 1$ occurs at $x=1$, namely, $f(1)=e$.