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Lagrange Multiplier

1. The Lagrange multiplier method can be used to find local extrema of a function f(x,y,z) on a constrained surface S defined by g(x,y,z)=0, when S is a level surface and the gradient of g is not equal to 0 at the point. 2. The method involves solving the equations ∇f(x,y,z)=λ∇g(x,y,z) and g(x,y,z)=0 simultaneously for x, y, z, and λ. 3. An example problem finds the point on the plane 2x+3y-z=5 in R3 that is nearest to

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84 views1 page

Lagrange Multiplier

1. The Lagrange multiplier method can be used to find local extrema of a function f(x,y,z) on a constrained surface S defined by g(x,y,z)=0, when S is a level surface and the gradient of g is not equal to 0 at the point. 2. The method involves solving the equations ∇f(x,y,z)=λ∇g(x,y,z) and g(x,y,z)=0 simultaneously for x, y, z, and λ. 3. An example problem finds the point on the plane 2x+3y-z=5 in R3 that is nearest to

Uploaded by

trilochan8
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© © All Rights Reserved
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Lecture 31 : Lagrange Multiplier Method


Let f : S → R, S ⊂ R3 and X0 ∈ S. If X0 is an interior point of the constrained set S, then
we can use the necessary and sufficient conditions (first and second derivative tests) studied in the
previous lecture in order to determine whether the point is a local maximum or minimum (i.e.,
local extremum) of f on S. If X0 is not an interior point then one cannot apply these tests. For
example, one cannot apply these tests at a point on a sphere x2 + y 2 + z 2 = c2 , because no point
is an interior point in this constrained set.

In general, constrained extremum problems are very difficult to solve and there is no general
method for solving such problems. In case the constrained set is a level surface, for example a
sphere, there is a special method called Lagrange multiplier method for solving such problems. So,
we will be dealing with the following type of problem.

Problem : Find the local or absolute maxima and minima of a function f (x, y, z) on the (level)
surface S := {(x, y, z) : g(x, y, z) = 0} where g : R3 → R.

Let us illustrate the problem with an example.

Example : Find a point on the plane {(x, y, z) : 2x + 3y − z = p


5} which is nearest to the origin of
R . Note that here we are minimizing the function f (x, y, z) = x2 + y 2 + z 2 or x2 + y 2 + z 2 over
3

the constrained set S defined by g(x, y, z) = 2x + 3y − z − 5.

Necessary condition: Let P0 = (x0 , y0 , z0 ) be a point on S := {(x, y, z) : g(x, y, z) = 0}. Suppose


P0 is a local extremum of f over S. Let us try to find a necessary condition. Our argument is going
to be geometric and so we will not question certain assumptions made in the following argument.

Let us first assume that f and g have continuous partial derivatives and ∇g|P0 6= 0. Let C =
R(t) = x(t)i + y(t)j + z(t)k be a curve on S passing through P0 and let P0 = R(t0 ). Since f has
a local extremum at P0 on S, it has a local extremum on C as well. Therefore df dt |t0 = 0. By the
dR
chain rule, ∇f · dt = 0. Since the curve C is arbitrary, we conclude that ∇f |P0 is perpendicular to
the tangent plane of S at P0 . But we already know that ∇g|P0 is also perpendicular to the tangent
plane of S at P0 . Therefore, there exists λ ∈ R such that ∇f |P0 = λ∇g|P0 .

So the following method is anticipated.

Lagrange Multiplier Method: Suppose f and g have continuous partial derivatives. Let
(x0 , y0 , z0 ) ∈ S := {(x, y, z) : g(x, y, z) = 0} and ∇g(x0 , y0 , z0 ) 6= 0. If f has a local maximum or
minimum at (x0 , y0 , z0 ) then there exists λ ∈ R such that
∇f (x0 , y0 , z0 ) = λ∇g(x0 , y0 , z0 ).
To find the extremum points, in practice, we consider the following equations
∇f (x, y, z) = λ∇g(x, y, z) and g(x, y, z) = 0. (1)
These equations are solved for the unknowns x, y, z and λ. Then the local extremum points are
found among the solutions of these equations.

Let us illustrate the method with a few examples.

Examples: 1. Let us find a point on the plane 2x + 3y − z = 5 in R3 which is nearest to


the origin. We have to minimize the function f (x, y, z) = x2 + y 2 + z 2 subject to the constraint
g(x, y, z) = 2x + 3y − z − 5 = 0. Here note that ∇g 6= 0 at all points. The equations given in (1)
imply that
2x = 2λ, 2y = 3λ, 2z = −λ and 2x + 3y − z − 5 = 0.

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