Hi, I have an interesting question posed by my University Mathematics Professor.
It is by definition that the Lagrangian method:
L(x,y) = f(x,y) - λ * [g(x,y) - c]
that f concave and λ * g convex implies that L is concave.
However, is the converse true i.e. L concave implies f concave and λ * g convex? Can we prove it by some other way not by definition such as using PSD NSD principles of their Hessian matrices?
Also, is there a situation whereby L concave does not imply f concave, λ * g convex.
Thank you! :)
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