Scribd
Upload
161 views8 pages

Langrange Multipliers PDF

This document discusses constrained optimization problems where the goal is to maximize or minimize a function subject to a constraint. It provides examples of using Lagrange multipliers to find the extrema of functions subject to equality constraints. The examples show setting up the Lagrange function, taking partial derivatives to obtain equations, and solving the equations to find potential extrema points.

Uploaded by

Sehry Syed
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
161 views8 pages

Langrange Multipliers PDF

This document discusses constrained optimization problems where the goal is to maximize or minimize a function subject to a constraint. It provides examples of using Lagrange multipliers to find the extrema of functions subject to equality constraints. The examples show setting up the Lagrange function, taking partial derivatives to obtain equations, and solving the equations to find potential extrema points.

Uploaded by

Sehry Syed
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 8

Section 7.

4: Lagrange Multipliers and


Constrained Optimization
A constrained optimization problem is a problem of the form
maximize (or minimize) the function F (x, y) subject to the
condition g(x, y) = 0.

From two to one


In some cases one can solve for y as a function of x and then find
the extrema of a one variable function.
That is, if the equation g(x, y) = 0 is equivalent to y = h(x), then
we may set f (x) = F (x, h(x)) and then find the values x = a for
which f achieves an extremum. The extrema of F are at (a, h(a)).

2
Example
Find the extrema of F (x, y) = x2 y − ln(x) subject to
0 = g(x, y) := 8x + 3y.

Solution
We solve y = −8 −8 −8 3
3 x. Set f (x) = F (x, 3 x) = 3 x − ln(x).
Differentiating we have f 0 (x) = −8x2 − x1 . Setting f 0 (x) = 0, we
must solve x3 = −1 −1
8 , or x = 2 . Differentiating again,
f 00 (x) = −16x + x12 so that f 00 ( −1
2 ) = 12 > 0 which shows that 2
−1

is a relative minimum of f and ( −1 4


2 , 3 ) is a relative minimum of F
subject to g(x, y) = 0.

4
A more complicated example
Find the extrema of F (x, y) = 2y + x subject to
0 = g(x, y) = y 2 + xy − 1.

Solution: Direct, but messy


Using the quadratic formula, we find

1 p
y= (−x ± x2 + 4)
2
Substituting the above expression for y in F (x, y) we must find the
extrema of

p
f (x) = x2 + 4

and

p
ϕ(x) = − x2 + 4

6
Solution, continued
x
f 0 (x) = √
x2 +4
and

−x
ϕ0 (x) = √
x2 + 4
Setting f 0 (x) = 0 (respectively, ϕ0 (x) = 0) we find x = 0 in each
case. So the potential extrema are (0, 1) and (0, −1).

Solution, continued
4
f 00 (x) = √
( x + 4)3
2

and

−4
ϕ00 (x) = √
( x2 + 4)3

Evaluating at x = 0, we see that f 00 (0) > 0 so that (0, 1) is a


relative minimum and as ϕ00 (0) < 0, (0, −1) is a relative maximum.
(even though F (0, 1) = 2 > −2 = F (0, −1) !)

8
Lagrange multipliers
If F (x, y) is a (sufficiently smooth) function in two variables and
g(x, y) is another function in two variables, and we define
H(x, y, z) := F (x, y) + zg(x, y), and (a, b) is a relative extremum of
F subject to g(x, y) = 0, then there is some value z = λ such that
∂H ∂H ∂H
∂x |(a,b,λ) = ∂y |(a,b,λ) = ∂z |(a,b,λ) = 0.

Example of use of Lagrange multipliers


Find the extrema of the function F (x, y) = 2y + x subject to the
constraint 0 = g(x, y) = y 2 + xy − 1.

10
Solution
Set H(x, y, z) = F (x, y) + zg(x, y). Then

∂H
= 1 + zy
∂x
∂H
= 2 + 2zy + zx
∂y
∂H
= y 2 + xy − 1
∂z

11

Solution, continued
Setting these equal to zero, we see from the third equation that
y 6= 0, and from the first equation that z = −1
y , so that from the
−x
second equation 0 = y implying that x = 0. From the third
equation, we obtain y = ±1.

12
Another Example
Find the potential extrema of the function
f (x, y) = x2 + 3xy + y 2 − x + 3y subject to the constraint that
0 = g(x, y) = x2 − y 2 + 1.

13

Solution
Set F (x, y, λ) := f (x, y) + λg(x, y). Then

∂F
= 2x + 3y − 1 + 2λx (1)
∂x
∂F
= 3x + 2y + 3 + 2λy (2)
∂y
∂F
= x2 − y 2 + 1 (3)
∂λ

14
Solution, continued
Set these all equal to zero.
Multiplying the first line by y and the second by x we obtain:

0 = 2xy + 3y 2 − y + 2λxy
0 = 2xy + 3x2 + 3x + λxy

Subtracting, we have

0 = 3(x2 − y 2 ) + 3x − y

15

Solution, continued
As 0 = x2 − y 2 + 1, we conclude that y = 1 − 3x. Substituting, we
have
0 = x2 −(1−3x)2 +1 = x2 −9x2 +6x−1+1 = −8x2 +6x = x(6−8x).
So the potential extrema are at (0, 1) or ( 43 , −1
4 ).

16

You might also like