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Lecture Four

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14 views

Lecture Four

Uploaded by

Yohanis Boniface
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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LECTURE FOUR

November 22, 2023


Lagrange Multipliers

▶ Sometimes we need to find the


extreme values of a function whose
domain is constrained to lie within
some particular subset of the
plane-a disk.
▶ For example a closed triangular
region.
Lagrange Multipliers con. . .

The figure suggests, a function may


be subject to other kinds of
constraints as well.
Lagrange Multipliers con. . .
▶ Lagrange Multipliers is a powerful
method for finding extreme values
of constrained functions.
▶ Joseph-Louis Lagrange
developed the method in 1755 to
solve max-min problems in
geometry.
▶ Today the method is important in
economic, in engineering (it is
used to design multistage rockets)
Lagrange Multipliers con. . .

▶ In mathematical optimization, the


method of Lagrange multipliers is
a strategy for finding the local
maxima and minima of a function
subject to equation constraints
▶ i.e., subject to the condition that
one or more equations have to be
satisfied exactly by the chosen
values of the variables.
Lagrange Multipliers con. . .
▶ The basic idea is to convert a
constrained problem into a form
such that the derivative test of an
unconstrained problem can still be
applied.
▶ The relationship between the
gradient of the function and
gradients of the constraints rather
naturally leads to a reformulation
of the original problem, known as
Lagrange Multipliers con. . .

▶ In the general case, the


Lagrangian function is defined
as
L(x , y , λ) = f (x , y ) + λg (x , y )
(1)
for functions f (x , y ), g (x , y ) : λ is
called the Lagrange multiplier.
Lagrange Multipliers con. . .

▶ If f (x0, y0) is a maximum of


f (x , y ) for the original constrained
problem and ∇g (x0, y0) ̸= 0, then
there exists λ0 such that
(x0, yo , λ0) is a stationary point for
the Lagrange function.
▶ Stationary points are those points
where the first partial derivatives
of L are zero.
Lagrange Multipliers con. . .
Consider
∇x ,y f = λ∇x ,y g , for some λ (2)
where  
∂f ∂f
∇x ,y f = , ,
∂x ∂y
and  
∂g ∂g
∇x ,y g = ,
∂x ∂y
are respective gradients.
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .

EXAMPLE:Find the greatest and


smallest values that the function
f (x , y ) = xy
takes on the ellipse
x2 y2
+ = 1.
8 2
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .

EXAMPLE:The plane
x + y + z = 1 cuts the cylinder
x 2 + y 2 = 1 in an ellipse x 2 + y 2 + z 2.
Find the points on the ellipse that lie
closest to furthest from the origin.
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .
Lagrange Multipliers con. . .

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