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Optimization With Equality

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33 views16 pages

Optimization With Equality

Uploaded by

umknriyaown123
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Optimization with Equality

Constraints
Optimization
• In mathematics, computer science and economics, an optimization problem is the problem of finding
the best solution from all feasible solutions.

• Optimization problems can be divided into two categories, depending on whether the variables are
continuous or discrete.

• So, Maximizing or minimizing some function relative to some set, often representing a range of
choices available in a certain situation. The function allows comparison of the different choices for
determining which might be “best.”

Examples:
• A consumer chooses how much to buy of each product, such that it satisfies his budget
constraint.

• A firm would look to minimize its cost of production, subject to a given output level.
Optimization with Equality Constraints
Lagrange multiplier method
• Suppose we want to maximize the function f (x, y) where x and y are restricted to satisfy
the equality constraint g (x, y) = c

max f (x, y)
subject to g (x, y) = c

The function f (x, y) is called the objective function

The Lagrangian function, a modified version of the objective function that incorporates the constraint

Z (x, y, λ) = f (x, y) + λ [c − g (x, y)

where the term λ is a(n unknown) constant called a Lagrangian multiplier, associated with
the constraint.
Optimization with Equality Constraints
• So, Z (x, y, λ) is an unconstrained function (in three variables), so we can find its maximum by finding
the first-order conditions:

• The first equation automatically ensures that the constraint is satisfied.

• So, we obtain the stationary points of the constraint function f (·) (with two choice variables), by
looking at the stationary points of the unconstrained function Z (·) (three choice variables, one of which
is associated with the constraint).
Optimization with Equality Constraints
Example 1

• Suppose we want to find the extrema of f (x, y) = xy subject to the constraint x + y = 6

The Lagrangian is: Z (x, y, λ) = xy + λ [6 − x − y] , so the first order conditions are:

There is then a stationary point at x∗ = y∗ = λ∗ = 3


Optimization with Equality Constraints
Example 2
Optimization using Lagrange
multipliers with equality and
inequality constraints
Equality Constraints
Equality Constraints

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