Re: [Help-glpk] Binary Integer Program with Lagrange Multipliers

[Andrew Makhorin]

> I have a question on how to obtain the Lagrange Multipliers for a
> Binary Integer Program (BIP).
> Attached is an example of a BIP that I have. I am not sure whether my
> method of obtaining the Lagrange Multiplier is correct.

Please see:
http://en.wikipedia.org/wiki/Lagrangian_relaxation

(Note, however, that additional terms included in the objective are
*not* penalties as many textbooks erroneously say, because stationary
point of the Lagrangian function is a saddle point, not an extremum.)