Lagrange Multipliers made easy.

Dr. Tom Hearn, Physics 451, v2.

Lagrange multipliers are often introduced in freshman calculus, but seem to be used little
after that. Here I give a geometrical interpretation.

Two-variables:

Consider that we want to minimize a function:

minimize E(x,y) subject to constraint |(x,y)=0

In two-dimensions, we see this as a bunch of level-set curves, E(x,y)=constant , and a
curve u(x,y)=0. The E(x,y) point we want must be on the | curve and, furthermore, the
| curve must be perpendicular to the gradient of E(x,y) at minimum E. For if it were not
perpendicular to the gradient, we could move along the | curve to a point where E is even
less. Thus, we must have the gradient of E and the gradient of | pointed in the same
directions

E | V = V

where is a Lagrange multiplier. This equation, along with the constraint equations, can
be solved for the minimum point (x,y) along with the Lagrange multiplier.


0
0
( , ) 0
E
x x
E
x x
x y
|

|
c c
+ =

c c

c c
+ =

c c

These are three equations in three unknowns (x, y, ). Note that |(x,y) is not necessarily
linear, so these equations may have more than one solution.

Three-variables, two constraints:

Here we want to minimize a function E(x,y,z) subject to two constraint equations
|
1
(x,y)=0 and |
2
(x,y)=0. We again have level sets of E, but this time they are surfaces in
a three-dimensional space. The two constraints are also surfaces, and their intersection
forms a curve in three-space. The point we seek must be on this curve with E(x,y,z) a
minimum. At this point, we must again have the gradient of E(x,y,z) perpendicular to the
curve; for if it were not, we could move along the curve to make E even smaller. Thus,
we must have the gradient of E in the same plane as the gradients of |
1
and |
1
.


1 1 2 2
E | | V = V V

We can solve this, along with the constraint equation, for the minimum point (x,y,z)
along with the two Lagrange multipliers,
1
and
2
.



1 2
1 2
1 2
1 2
1 2
1 2
1
1
0
0
0
( , ) 0
( , ) 0
E
x x x
E
y y y
E
z z z
x y
x y
| |

| |

| |

|
|
c c c
+ + =

c c c

c c c

+ + =

c c c

c c c
+ + =

c c c

This gives five equations for five unknowns. Although we solve for the unknown
Lagrange multipliers, they dont give us any useful information.

Multiple dimensions, multiple constraints:

Now consider the more general problem of minimizing a multidimensional function E(x)
with x of dimension M with multiple constraint equations |
i
(x)=0. There obviously must
be fewer constraint equations than dimensions or the point is already uniquely
determined. Here, the equations become


1 1 2 2
( ) ( ) ( ) ... 0
( ) 0
i
E | |
|
V + V + V + =

x x x
x


The first set of equations is more easily written in terms of a Lagrange funct ion defined
as


1 1 2 2
( ) ( ) ... x E x | | u = + + +

so that we can write


( ) 0
( ) 0
i
|
Vu =

x
x


Again, these equations are necessarily linear, so multiple solutions may exist.