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Lecture - 10 - 13.10 Lagrange Multipliers

The document discusses the Method of Lagrange Multipliers, a technique used to solve constrained optimization problems. It explains how to find optimal solutions under constraints by using gradients and introduces the concept of Lagrange multipliers. Examples are provided to illustrate the application of this method with one and two constraints.

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14 views22 pages

Lecture - 10 - 13.10 Lagrange Multipliers

The document discusses the Method of Lagrange Multipliers, a technique used to solve constrained optimization problems. It explains how to find optimal solutions under constraints by using gradients and introduces the concept of Lagrange multipliers. Examples are provided to illustrate the application of this method with one and two constraints.

Uploaded by

fatema
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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13:10-Lagrange Multipliers

Md. Abul Kalam Azad


Assistant Professor, Mathematics
MPE,IUT
Objectives
◼ Understand the Method of Lagrange Multipliers.

◼ Use Lagrange multipliers to solve constrained


optimization problems.

◼ Use the Method of Lagrange Multipliers with two


constraints.

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Lagrange Multipliers
▪ Many optimization problems have restrictions, or
constraints, on the values that can be used to produce the
optimal solution. Such constraints tend to complicate
optimization problems because the optimal solution can
occur at a boundary point of the domain. In this section,
you will study an ingenious technique for solving such
problems. It is called the Method of Lagrange
Multipliers.

▪ To see how this technique works, consider the problem


of finding the rectangle of maximum area that can be
inscribed in the ellipse

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Lagrange Multipliers
▪ Let (x, y) be the vertex of the rectangle in the first
quadrant, as shown in Figure 13.78.

Figure 13.78

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Lagrange Multipliers
▪ Because the rectangle has sides of lengths 2x and 2y, its
area is given by
f(x, y) = 4xy. Objective function

▪ You want to find x and y such that f(x, y) is a maximum.

▪ Your choice of (x, y) is restricted to first-quadrant points


that lie on the ellipse

Constraint

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Lagrange Multipliers
▪ Now, consider the constraint equation to be a fixed level
curve of

▪ The level curves of f represent a family of hyperbolas


f(x, y) = 4xy = k.

▪ In this family, the level curves that meet the constraint


correspond to the hyperbolas that intersect the ellipse.
Moreover, to maximize f(x, y), you want to find the
hyperbola that just barely satisfies the constraint.

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Lagrange Multipliers
▪ The level curve that does this is the one that is tangent to
the ellipse, as shown in Figure 13.79.

Figure 13.79

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Lagrange Multipliers
▪ To find the appropriate hyperbola, use the fact that two
curves are tangent at a point if and only if their gradients
are parallel.
▪ This means that f(x, y) must be a scalar multiple of
g(x, y) at the point of tangency.

▪ In the context of constrained optimization problems, this


scalar is denoted by  (the lowercase Greek letter
lambda).

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Lagrange Multipliers
▪ f(x, y) = g(x, y)

▪ The scalar  is called a Lagrange multiplier. Theorem


13.19 gives the necessary conditions for the existence of
such multipliers.

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Lagrange Multipliers

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Constrained Optimization Problems

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Example 1 – Using a Lagrange Multiplier with One
Constraint
▪ Find the maximum value of f(x, y) = 4xy, where x > 0
and y > 0, subject to the constraint (x2/32) + (y2/42) = 1.
▪ Solution:
To begin, let

By equating f(x, y) = 4yi + 4xj and


g(x, y) = (2x/9)i + (y/8)j, you obtain the following
system of equations.

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Example 1 – Solution cont’d

▪ From the first equation, you obtain  = 18y/x, and


substitution into the second equation produces

✓ Substituting this value for x2 into the third equation


produces

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Example 1 – Solution cont’d

✓ Because y > 0, choose the positive value and find that

✓ Because x > 0, choose the positive value. So, the


maximum value of f is

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Constrained Optimization Problems
▪ Economists call the Lagrange multiplier obtained in a
production function the marginal productivity of
money.
✓ For instance, if the marginal productivity of money is 
and x represents the units of labor and y represents the
units of capital then the marginal productivity of
money at x = 250 and y = 50 is

✓ which means that for each additional dollar spent on


production, an additional 0.334 unit of the product can be
produced.
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The Method of Lagrange Multipliers with Two
Constraints
▪ For optimization problems involving two constraint
functions g and h, you can introduce a second Lagrange
multiplier,  (the lowercase Greek letter mu), and then
solve the equation

f = g + h

✓ where the gradient vectors are not parallel, as illustrated


in

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Example 5 – Optimization with Two Constraints
▪ Let T(x, y, z) = 20 + 2x + 2y + z2 represent the temperature
at each point on the sphere x2 + y2 + z2 = 11.
✓Find the extreme temperatures on the curve formed by the
intersection of the plane x + y + z = 3 and the sphere.
▪ Solution:
The two constraints are
g(x, y, z) = x2 + y2 + z2 = 11
and
h(x, y, z) = x + y + z = 3.

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Example 5 – Solution cont’d

✓ Using

and

✓ you can write the following system of equations.

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Example 5 – Solution cont’d

▪ By subtracting the second equation from the first, you


can obtain the following system.
(x – y) = 0
2z(1 – ) –  = 0
x2 + y2 + z2 = 11
x+y+z=3
✓ From the first equation, you can conclude that  = 0 or
x = y.
✓ If  = 0, you can show that the critical points are
(3, –1, 1) and (–1, 3, 1).

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Example 5 – Solution cont’d

▪ For  ≠ 0, then x = y and you can show that the critical


points occur when x = y = and z =

▪ Finally, to find the optimal solutions, compare the


temperatures at the four critical points.

▪ So, T = 25 is the minimum temperature and is the


maximum temperature on the curve.
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Suggested Problems
Exercise 13.10:6,9,11,18,15,16.

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Thanks a lot …

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