My textbook is using Lagrange multipliers in a way I'm not familiar with.(adsbygoogle = window.adsbygoogle || []).push({});

F(w,λ)=wCw^{T}-λ(wu^{T}-1)

Why is the first order necessary condition?:

2wC-λu=0

Is it because:

[itex]\nabla[/itex]F=2wC-λu

Why does [itex]\nabla[/itex]F equal this?

Many thanks!

Edit: C is a covariance matrix

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# Lagrange multipliers with vectors and matrices

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