The Embedded Objects manual (3.2.1) explains that the menu
Insert>List/TOC>List of Algorithms can not be used when the
document is a non English one, and the command
\listof{algorithm}{your name} must be used.

It still is necessary?
Inserting the list of algorithms using the menu entry,
either the label in LyX and the PDF output are automatically
translated into Spanish.

Regards
Ignacio García

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