PCA
Lagrange Multiplier¶
- Statement — maximize \(f(x, y)\) which is subject to \(g(x, y) = 0\)
with the concept showed in the image, we can say that
\[
\begin{gather}
\nabla f \parallel \nabla g
\\\\
\implies
\nabla f = \lambda \nabla g
\end{gather}
\]
in which \(\lambda\) is known as Lagrange multiplier.