This is the Primal problem

$\min f_0(x)$,

subject to $f_i(x) \leq 0$, i = $1,2,\ldots,m$

$f(x)$ is a linear program

and my target is to prove that

$\max g(λ)$

subject to $\lambda \geq 0$


$g(λ) = \inf L(x, \lambda)$, which is the Lagrange dual function

is the dual program of the primal program.

I'm just confused how to do it, can anybody help me? thanks!


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