Lagrange multiplier

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Figure 1: Find x and y to maximize

subject to a constraint (shown in red)

Figure 2: Contour map of Figure 1. The red line shows the constraint of

. The blue lines are contours , the

. The point where the red line tangentially touches a blue contour is our solution.Since

solution is a maximization of

In mathematical optimization, the method of Lagrange multipliers (named after Joseph Louis Lagrange) provides a strategy for finding the local maxima and minima of a function subject to equality constraints. For instance (see Figure 1), consider the optimization problem maximize subject to We introduce a new variable ( ) called a Lagrange multiplier and study the Lagrange function defined by

where the of that

term may be either added or subtracted. If for the original constrained problem, then there exists

is a maximum such

is a stationary point for the Lagrange function (stationary points are

those points where the partial derivatives of are zero). However, not all stationary points yield a solution of the original problem. Thus, the method of Lagrange multipliers yields a necessary condition for optimality in constrained problems.[1][2][3][4][5] Sufficient conditions for a minimum or maximum also exist.
Contents
[hide]

1 Introduction

1.1 Not necessarily extrema

2 Handling multiple constraints

o o

2.1 Single constraint revisited 2.2 Multiple constraints

3 Interpretation of the Lagrange multipliers 4 Sufficient conditions 5 Examples

o o o o

5.1 Example 1 5.2 Example 2 5.3 Example: entropy 5.4 Example: numerical optimization

6 Applications

o o

6.1 Economics 6.2 Control theory

7 See also 8 References 9 External links

[edit]Introduction
One of the most common problems in calculus is that of finding maxima or minima (in general, "extrema") of a function, but it is often difficult to find a closed form for the function being extremized. Such difficulties often arise when one wishes to maximize or minimize a function subject to fixed outside conditions or constraints. The method of Lagrange multipliers is a powerful tool for solving this class of problems without the need to explicitly solve the conditions and use them to eliminate extra variables. Consider the two-dimensional problem introduced above:

maximize subject to We can visualize contours of f given by

for various values of

, and the contour of

given by

Suppose we walk along the contour line with lines of and

. In general the contour one

may be distinct, so following the contour line for

could intersect with or cross the contour lines of that while moving along the contour line for Only when the contour line for

. This is equivalent to saying the value of can vary. tangentially, do

meets contour lines of

we not increase or decrease the value of touch but do not cross.

that is, when the contour lines

The contour lines of f and g touch when the tangent vectors of the contour lines are parallel. Since the gradient of a function is perpendicular to the contour lines, this is the same as saying that the gradients of f and g are parallel. Thus we want points , where where and

and

are the respective gradients. The constant

is required because

although the two gradient vectors are parallel, the magnitudes of the gradient vectors are generally not equal. To incorporate these conditions into one equation, we introduce an auxiliary function

and solve

This is the method of Lagrange multipliers. Note that implies .

[edit]Not

necessarily extrema
are critical points of the , but they are not local extrema of

The constrained extrema of Lagrangian

(see Example 2 below). One may reformulate the Lagrangian as a Hamiltonian, in which case the solutions are local minima for the Hamiltonian. This is done in optimal control theory, in the form of Pontryagin's minimum principle. The fact that solutions of the Lagrangian are not necessarily extrema also poses difficulties for numerical optimization. This can be addressed by computing the magnitude of the gradient, as the zeros of the magnitude are necessarily local minima, as illustrated in the numerical optimization example.

[edit]Handling

multiple constraints

A paraboloid, some of its level sets (aka contour lines) and 2 line constraints.

Zooming in on the levels sets and constraints, we see that the two constraint lines intersect to form a "joint" constraint that is a point. Since there is only one point to analyze, the corresponding point on the paraboloid is automatically a minimum and maximum. Yet the simplified reasoning presented in sections above seems to fail because the level set definitely appears to "cross" the point and at the same time its gradient is not parallel to the gradients of either constraint. This shows we must refine our explanation of the method to handle the kinds of constraints that are formed when we have more than one constraint acting at once.

The method of Lagrange multipliers can also accommodate multiple constraints. To see how this is done, we need to reexamine the problem in a slightly different manner because the concept of crossing discussed above becomes rapidly unclear when we consider the types of constraints that are created when we have more than one constraint acting together. As an example, consider a paraboloid with a constraint that is a single point (as might be created if we had 2 line constraints that intersect). The level set (i.e., contour line) clearly appears to cross that point and its gradient is clearly not parallel to the gradients of either of the two line constraints. Yet, it is obviously a maximum and a minimum because there is only one point on the paraboloid that meets the constraint.

While this example seems a bit odd, it is easy to understand and is representative of the sort of effective constraint that appears quite often when we deal with multiple constraints intersecting. Thus, we take a slightly different approach below to explain and derive the Lagrange Multipliers method with any number of constraints. Throughout this section, the independent variables will be denoted by will denote them as the function being analyzed will be denoted by and the constraints will be represented by the equations . The basic idea remains essentially the same: if we consider only the points that satisfy the constraints (i.e. are in the constraints), then a point is a and, as a group, we . Also,

stationary point (i.e. a point in a flat region) of f if and only if the constraints at that point do not allow movement in a direction where f changes value. Once we have located the stationary points, we need to do further tests to see if we have found a minimum, a maximum or just a stationary point that is neither. We start by considering the level set of f at The set of vectors containing the directions in .

which we can move and still remain in the same level set are the directions where the value of f does not change (i.e. the change equals zero). Thus, for every vector vin , the following relation must hold:

where the notation

above means the

component of the vector v. The equation above can be rewritten in a more compact geometric form that helps our intuition:

This makes it clear that if we are at p, then all directions from this point that do not change the value of f must be perpendicular to of f at p). Now let us consider the effect of the constraints. Each constraint limits the directions that we can move from a particular point and still satisfy the constraint. We can use the same procedure, to look for the set of vectors containing the directions in which we can move and still satisfy the constraint. As above, for every vector v in must hold: , the following relation (the gradient

From this, we see that at point p, all directions from this point that will still satisfy this constraint must be perpendicular to .

Now we are ready to refine our idea further and complete the method: a point on f is a constrained stationary point if and only if the direction that changes f violates at least one of the constraints. (We can see that this is true because if a direction that changes f did not violate any constraints, then there would a legal point nearby with a higher or lower value for f and the current point would then not be a stationary point.)

[edit]Single

constraint

revisited
For a single constraint, we use the statement above to say that at stationary points the direction that changes f is in the same direction that violates the constraint. To determine if two vectors are in the same direction, we note that if two vectors start from the same point and are in the same direction, then one vector can always reach the other by changing its length and/or flipping to point the opposite way along the same direction line. In this way, we can succinctly state that two vectors point in the same direction if and only if one of them can be multiplied by some real number such that they become equal to the other. So, for our purposes, we require that:

If we now add another simultaneous equation to guarantee that we only perform this test when we are at a point that satisfies the constraint, we end up with 2 simultaneous equations that when solved, identify all constrained stationary points:

Note that the above is a succinct way of writing the equations. Fully expanded, there are simultaneous equations that need to be solved for the are and variables which :

[edit]Multiple

constraints
For more than one constraint, the same reasoning applies. If two or more constraints are active together, each constraint contributes a direction that will violate it. Together, these violation directions form a violation space, where infinitesimal movement in any direction within the space will violate one or more constraints. Thus, to satisfy multiple constraints we can state (using this new terminology) that at the stationary points, the direction that changes f is in the violation space created by the constraints acting jointly. The violation space created by the constraints consists of all points that can be reached by adding any linear combination of violation direction vectorsin other words, all the points that are

reachable when we use the individual violation directions as the basis of the space. Thus, we can succinctly state that v is in the space defined by if and

only if there exists a set of multipliers such that:

which for our purposes, translates to stating that the direction that changes f at p is in the violation space defined by the constraints if and only if:

As before, we now add simultaneous equation to guarantee that we only perform this test when we are at a point that satisfies every constraint, we end up with simultaneous equations that when solved, identify all constrained stationary points:

The method is complete now (from the standpoint of solving the problem of finding stationary points) but as mathematicians delight in doing, these equations can be further condensed into an even more elegant and succinct form. Lagrange must have cleverly noticed that the equations above look like partial derivatives of some larger scalar function L that takes all the

and all the

as inputs. Next, he might then have noticed that setting every equation equal to zero is exactly what one would have to do to solve for the unconstrain ed stationary points of that larger function. Finally, he showed that a larger function L with partial derivatives that are exactly the ones we require can be constructed very simply as below:

Solving the equation above for

its unconst rained stati onary points generates exactly the same stationary points as solving for the constra ined statio nary points of f under the constraints

. In Lagranges honor, the function above is called a Lagrangi an, the scalars

are called Lagr ange Multipliers and this optimizatio n method itself is called The

Method of Lagrange Multipliers. The method of Lagrange multipliers is generalize d by the Karush Kuhn Tucker conditions, which can also take into account inequality constraints of the form h(x) c.

[edit]Inte

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