Optimization in several variables

Dr. Tran Thai-Duong

International University of Hochiminh City

Aug 6, 2012

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

1 / 16

Local/Relative extrema
Suppose f (x, y ) is defined on a neighborhood D of a point P(a, b)
f attains local maximum f (a, b) at (a, b) iff
f (a, b) f (x, y ), (x, y ) D
f attains local minimum f (a, b) at (a, b) iff
f (a, b) f (x, y ), (x, y ) D

Remark. A neighborhood of (a, b)

contains all points that are close
enough to (a, b).
The word extremum is used for
either a maximum or a minimum.
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

2 / 16

Critical points
Suppose f (x, y ) has a local extremum at (a, b) where fx , fy exist, then
fx (a, b) = 0 = fy (a, b)
In this case, (a, b) is a critical point of f .

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

3 / 16

Critical points
Suppose f (x, y ) has a local extremum at (a, b) where fx , fy exist, then
fx (a, b) = 0 = fy (a, b)
In this case, (a, b) is a critical point of f .
Example. Let C (x, y ) = 2200 + 27x 3 72xy + 8y 2
Solve
Cx = 81x 2 72y = 0 = 72x + 16y = Cy
9
0 = 72x + 16y y = x
2
81x 2 72y = 81(x 2 4x) = 81x(x 4) = 0
Therefore x = 0 or x = 4 and the critical points (0, 0), (4, 18) are the only
points that may have a local extremum of C (x, y )
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

3 / 16

Example

Find the critical points of f (x, y ) = 36xy x 3 8y 3

Solve fx = 36y 3x 2 = 0 = 36x 24y 2
2
0 = 36x 24y 2 x = y 2
3
4
4
36y 3x 2 = 36y y 4 = y (27 y 3 ) = 0
3
3
Therefore y = 0 or y = 3 and the critical points are (0, 0), (6, 3)

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

4 / 16

Test for relative extrema

Suppose (a, b) is a critical point of a function f with continuous

second-order partial derivatives. Define
D = fxx (a, b)fyy (a, b) (fxy (a, b))2

If D > 0 and fxx (a, b) < 0, then f attains a local maximum at (a, b).
If D > 0 and fxx (a, b) > 0, then f attains a local minimum at (a, b).
If D < 0 then f does not attain a local extremum at (a, b), and (a, b)
is called a saddle point.

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

5 / 16

Example
Let f (x, y ) = 6x 2 + 6y 2 + 6xy + 36x 5 and solve
fx (x, y ) = 12x + 6y + 36 = 0 = 12y + 6x = fy (x, y )
These equations gives the only critical point (-4,2)
Since
fxx (4, 2) = 12 = fyy (4, 2)
fxy (4, 2) = fyx (4, 2) = 6
D = 108 > 0, fxx > 0
f attains the local minimum 77 = f (4, 2) at (4, 2)

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

6 / 16

Example
Let f (x, y ) = 6x 2 + 6y 2 + 6xy + 36x 5 and solve
fx (x, y ) = 12x + 6y + 36 = 0 = 12y + 6x = fy (x, y )
These equations gives the only critical point (-4,2)
Since
fxx (4, 2) = 12 = fyy (4, 2)
fxy (4, 2) = fyx (4, 2) = 6
D = 108 > 0, fxx > 0
f attains the local minimum 77 = f (4, 2) at (4, 2)
Note that
f (x, y ) = 6(0.5x + y )2 + 4.5(x + 4)2 77
and we really have a global/absolute minimum at (4, 2)
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

6 / 16

Example
f (x, y ) = 2200 + 27x 3 72xy + 8y 2
From the equations
fx = 81x 2 72y = 0 = 16y 72x = fy
we get y =

9x
2 ,

and
81x 2 324x = 81x(x 4) = 0

and the critical points are (0, 0) and (4, 18)

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

7 / 16

Example
f (x, y ) = 2200 + 27x 3 72xy + 8y 2
From the equations
fx = 81x 2 72y = 0 = 16y 72x = fy
we get y =

9x
2 ,

and
81x 2 324x = 81x(x 4) = 0

and the critical points are (0, 0) and (4, 18)

At (4, 18), fxx = 648, fyy = 16, fxy = 72, and D > 0
Hence, f attains a local minimum at (4, 18) which is f (4, 18) = 1336.

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

7 / 16

Example
f (x, y ) = 2200 + 27x 3 72xy + 8y 2
From the equations
fx = 81x 2 72y = 0 = 16y 72x = fy
we get y =

9x
2 ,

and
81x 2 324x = 81x(x 4) = 0

and the critical points are (0, 0) and (4, 18)

At (4, 18), fxx = 648, fyy = 16, fxy = 72, and D > 0
Hence, f attains a local minimum at (4, 18) which is f (4, 18) = 1336.
At (0, 0), fxx = 0, fyy = 16, fxy = 72, and D < 0. Hence, (0,0) is a
saddle point
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

7 / 16

Remark

f (x, y ) does not attain a minimum at (4,18) because f (10, 45) < 0

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

8 / 16

Remark

f (x, y ) does not attain a minimum at (4,18) because f (10, 45) < 0
However,
f (x, y ) = 2200 + 2(9x 2y )2 + 27(x 3 6x 2 )

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

8 / 16

Remark

f (x, y ) does not attain a minimum at (4,18) because f (10, 45) < 0
However,
f (x, y ) = 2200 + 2(9x 2y )2 + 27(x 3 6x 2 )
If we restrict that x 0 then the minimum of x 3 6x 2 is -32 when x = 4
and the minimum of f (x, y ) is 2200+27(-32)=1336 when x = 4, y = 18

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

8 / 16

Example

f (x, y ) = (x 2 + y 2 )e x
fx = (x 2 y 2 + 2x)e x = 2ye x = fy = 0
That implies y = 0 and x 2 + 2x = x(2 x) = 0.
Hence, the critical points are (0, 0) and (2, 0)

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

9 / 16

Example

f (x, y ) = (x 2 + y 2 )e x
fx = (x 2 y 2 + 2x)e x = 2ye x = fy = 0
That implies y = 0 and x 2 + 2x = x(2 x) = 0.
Hence, the critical points are (0, 0) and (2, 0)
Then fxx = (x 2 + y 2 2x 2x + 2)e x , fxy = 2ye x , fyy = 2e x
D(x, y ) = (4 8x + 2x 2 2y 2 )e 2x
We have a saddle point at (2, 0) because D(2, 0) < 0, and a local
minimum at (0, 0) because D(0, 0) > 0 and fxx (0, 0) > 0.

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

9 / 16

Example

f (x, y ) = (x 2 + y 2 )e x
fx = (x 2 y 2 + 2x)e x = 2ye x = fy = 0
That implies y = 0 and x 2 + 2x = x(2 x) = 0.
Hence, the critical points are (0, 0) and (2, 0)
Then fxx = (x 2 + y 2 2x 2x + 2)e x , fxy = 2ye x , fyy = 2e x
D(x, y ) = (4 8x + 2x 2 2y 2 )e 2x
We have a saddle point at (2, 0) because D(2, 0) < 0, and a local
minimum at (0, 0) because D(0, 0) > 0 and fxx (0, 0) > 0.
Remark. It is obvious that the global minimum is f (0, 0) = 0

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

9 / 16

Absolute extrema
An extremum at a boundary point does not have to be a local extremum,
therefore boundary points need to be considered separately.

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

10 / 16

Absolute extrema
An extremum at a boundary point does not have to be a local extremum,
therefore boundary points need to be considered separately.
Example. Find the extremum values of
f (x, y ) = 2x + y 3xy , x, y [0, 1]


The only local extremum is f 13 , 23 = 32 .

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

10 / 16

Absolute extrema
An extremum at a boundary point does not have to be a local extremum,
therefore boundary points need to be considered separately.
Example. Find the extremum values of
f (x, y ) = 2x + y 3xy , x, y [0, 1]


The only local extremum is f 13 , 23 = 32 .On the boundary,

x =0

2y + 2 x = 1
f (x, y ) =

2x
y =0

x + 1
y =1

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

10 / 16

Absolute extrema
An extremum at a boundary point does not have to be a local extremum,
therefore boundary points need to be considered separately.
Example. Find the extremum values of
f (x, y ) = 2x + y 3xy , x, y [0, 1]


The only local extremum is f 13 , 23 = 32 .On the boundary,

x =0

2y + 2 x = 1
f (x, y ) =

2x
y =0

x + 1
y =1
Hence, the maximum is f (1, 0) = 2 and the minimum
f (0, 0) = f (1, 1) = 0.
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

10 / 16

Extrema with a constraint

Suppose f , g are differentiable functions of variables x, y , z, . . . and f has
a local extremum on the constraint set G = {v |g (v ) = 0} at a point
P G such that g (P) 6= ~0. Then f (P) = g (P) or
fx (P) = gx (P), fy (P) = gy (P), fz (P) = gz (P)
The number is called a Lagrange multiplier

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

11 / 16

Extrema with a constraint

Suppose f , g are differentiable functions of variables x, y , z, . . . and f has
a local extremum on the constraint set G = {v |g (v ) = 0} at a point
P G such that g (P) 6= ~0. Then f (P) = g (P) or
fx (P) = gx (P), fy (P) = gy (P), fz (P) = gz (P)
The number is called a Lagrange multiplier
Note that
fx (P)gy (P) = gx (P)gy (P) = gx (P)gy (P) = gx (P)fy (P)
The equations fx gy = fy gx , fx gz = fz gx , fy gz = fz gy are the Lagrange
equations

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

11 / 16

Example
Find the extreme values of f (x, y ) = x + 2y on the ellipse 3x 2 + 4y 2 = 3
Solution. g (x, y ) = 3x 2 + 4y 2 3
The Lagrange equation is
8y = fx gy = fy gx = 12x
Substitute y =

3x
2

in the constraint, we have

3x 2 + 4

3x
2

2

3 = 12x 2 3 = 0

Therefore x = 12 and
y = 32 x = 43




Maximum is f 12 . 34 = 2. Minimum is f 21 . 43 = 2

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

12 / 16

Example

Find the extreme values of f (x, y ) = x 2 + 2y 2 on the circle x 2 + y 2 = 1

Solution. The Lagrange equation is
fx gy = 4xy = fy gx = 8xy
which implies x = 0 or y = 0. Therefore the critical points are
(0, 1), (1, 0) and after comparing the values of f at these points we
have max = f (0, 1) = 2, min = f (1, 0) = 1

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

13 / 16

Example

Find the extreme values of f (x, y ) = x 2 + 2y 2 on the circle x 2 + y 2 = 1

Solution. The Lagrange equation is
fx gy = 4xy = fy gx = 8xy
which implies x = 0 or y = 0. Therefore the critical points are
(0, 1), (1, 0) and after comparing the values of f at these points we
have max = f (0, 1) = 2, min = f (1, 0) = 1
It is obvious that
f (1, 0) = 1 = x 2 + y 2 f (x, y ) = x 2 + 2y 2 2x 2 + 2y 2 = 2 = f (0, 1)

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

13 / 16

Example
Find the extremum of f (x, y , z) = xyz subject to the constraint
xy + yz + zx = 3
Solution. g (x, y , z) = xy + yz + zx 3, then
fx = yz, fy = xz, fz = xy , gx = y + z, gy = x + z, gz = x + y
From the constraint, at least two variables must be different from zero.
Assume x and y are not zero and Solve the equations
xy (x + z) = xz(x + y )
xy (y + z) = yz(x + y )
xy + yz + xz = 3
we then get x = y = z = 1
max=f(1,1,1)=1, min=f(-1,-1,-1)=-1
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

14 / 16

Cobb-Douglas Production function

Find x, y to get the maximum of f (x, y ) = x 0.4 y 0.6 subject to the

constraint g (x, y ) = x + 2y = 200
The Lagrange equation is
0.8x 0.6 y 0.6 = fx gy = fy gx = 0.6x 0.4 y 0.4
Multiply by x 0.6 y 0.4 we have 0.8y = 0.6x or y =
constraint equation we get x = 80, y = 60

Dr. Tran Thai-Duong (IU HCMC)

Optimization

2x
3 .

Use this with the

Aug 6, 2012

15 / 16

Cobb-Douglas Production function

Find x, y to get the maximum of f (x, y ) = x 0.4 y 0.6 subject to the

constraint g (x, y ) = x + 2y = 200
The Lagrange equation is
0.8x 0.6 y 0.6 = fx gy = fy gx = 0.6x 0.4 y 0.4
Multiply by x 0.6 y 0.4 we have 0.8y = 0.6x or y =
constraint equation we get x = 80, y = 60

2x
3 .

Use this with the

Remark. x [0, 100] and the value of f is minimum iff x = 0, 100. Hence,
we get the maximum f (80, 60) = 800.4 600.6 = 20(40.4 30.6 )

Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

15 / 16

HOMEWORK #8
1.
a.
b.
c.

Find the critical points of the functions

x 3 y 3 + 6xy
xy 2 6x 2 3y 2
2
2
e (x +y 6y )

2. Determine the global extreme values of the functions

f (x, y ) = x + y , g (x, y ) = x y where x [0, 1], y [3, 5]
3. Find local extremum of
a. f (x, y ) = x 3 xy + y 3
b. g (x, y ) = x 3 + 2xy 2y 2 10x
4. Find the minimum and maximum values of the function f subject to
the given constraint
a. f (x, y ) = 2x + y , x 2 + y 2 = 4
b. f (x, y ) = 4x 2 + 9y 2 , xy = 4
c. f (x, y ) = x 2 y + x + y , xy = 4
d. f (x, y ) = x 2 y 4 , x 2 + 2y 2 = 6
Dr. Tran Thai-Duong (IU HCMC)

Optimization

Aug 6, 2012

16 / 16