Professional Documents
Culture Documents
The Role of The Implicit Function in The Lagrange Multiplier Rule
The Role of The Implicit Function in The Lagrange Multiplier Rule
Abstract
In this note we present the necessary condition of constrained extremum point
and the criteria for its classification using the implicit function, the chain rule and
elementary techniques of linear algebra.
e-mail: angeles.carmona@upc.es
(1)
and g 0. Hence,
f = f|M .
Then, the problem of finding the local extrema of f|M is equivalent to the problem of
finding the local extrema of f : k IR with the additional information given by the
identity g 0.
Consequently, we have achieved our purpose, since the constrained extremum problem
can be treated as an unconstrained one. In addition, the dimension of the underlying space
is smaller, which is natural, since g(y) = 0 defines some relations between the variables.
2
We must note that the above mentioned references arrive to this point. However, they
leave this way in favour of the Lagrange Function. We will keep the way and will proceed
applying the unconstrained extremum theory.
Let us make an abstraction of the role played by the implicit function to enlighten the
problem.
Study the local extrema of the function f h, knowing that gh 0, where f : n IR,
g : n IRm , and h : k IRn are C 2 -functions with n IRn , k IRk open sets
and h(k ) n .
Let x0 k be a point where a extremum of f h occurs such that rank(Dg(y0 )) =
n rank(Dh(x0 )), where y0 = h(x0 ).
It will be useful to consider the transposed Jacobian matrices of h and g denoted by
A = (h1 (x0 ), . . . , hn (x0 )) B = (g1 (y0 ), . . . , gm (y0 )),
respectively, and
V = span{g1 (y0 ), . . . , gm (y0 )}.
By applying the chain rule and using that g h 0, we obtain
Dg(y0 ) Dh(x0 ) = 0.
If we transpose this expression we get
A B = 0,
and hence V KerA. As dimV = rank(B) = n rank(A) = dim KerA, we arrive to
V = KerA.
(2)
m
X
l gl (y0 ).
l=1
(3)
To derive the sufficient condition, we must know H(f h), the Hessian matrix of f h.
n
X
Dij (f h)(x0 ) =
p,q=1
n
X
(4)
p=1
n
X
p,q=1
n
X
(5)
p=1
p=1
m X
n
X
(6)
l=1 p,q=1
Replacing the last term of (4) by the right hand side of equation (6) we obtain,
n
X
Dij (f h)(x0 ) =
Dpq f
p,q=1
m
X
l=1
Finally,
H(f h)(x0 ) = A H(f
m
X
l gl )(y0 ) AT .
(7)
l=1
k
m
X
l=1
m
X
l=1
and hence, q = Q|ImAT . On the other hand, from (2) and taking into account that
(KerA) = ImAT , we get ImAT = V and therefore, q = Q|V . Hence, H(f h)(x0 )
is definite [strictly definite] iff H(f
m
P
l=1
So, applying the standard criterium for classification of unconstrained extrema we have
that: If the function f h attains a local extremum at x0 , then H(f
on V . Moreover, if H(f
m
P
m
P
l gl )(y0 ) is definite
l=1
l=1
Note that the function h has disappeared in both necessary and sufficient conditions.
An immediate consequence of the above results is the Lagrange Multiplier Rule to
the solution of the constrained extremum problem. For this, it suffices to take as h the
function, defined in (1).
Lagrange Multiplier Rule. Let y0 n such that rank(Dg(y0 )) = m. If the function
f attains a local extremum on M at the point y0 , then there exists a unique IRm such
that f (y0 ) =
m
P
i gi (y0 ).
i=1
Moreover we have obtained a criterion for the classification of such critical points:
If the function f attains a local extremum on M at the point y0 , then Hy (L)(y0 , ) is
definite on span{g1 (y0 ), . . . , gm (y0 )} . Moreover, if Hy (L)(y0 , ) is strictly definite
on span{g1 (y0 ), . . . , gm (y0 )} then f attains a local extremum on M at the point y0 ,
where L is the Lagrange Function.
We must note that the Lagrange Function appears here as a consequence of the reasoning and not as an a priori construction.
To sum up, the role played by the implicit function in the constrained extremum
problem is to turn it into an unconstrained one. Moreover, the additional functional
information g 0, allows us to obtain the successive derivatives of f h independently
of the knowledge of the function . Therefore, the Implicit Function Theorem has been
used here only once. In contrast, those that classify constrained extrema need again the
Implicit Function Theorem to introduce the concept of differential manifold.
Finally, in the language of differential manifolds, we get from (7) that
H(f|M )(y0 ) = Hy (L)(y0 , )|Ty
(M )Ty (M )
0
References
[1] T. M. Apostol, 1974, Mathematical Analysis, (2o Ed. Addison Wesley).
[2] R. Courant, F. John, 1974, Introduction to Calculus and Analysis, Vol. II. (John
Wiley & Sons).
[3] C.H. Edwards, 1973, Advanced Calculus of Several Variables, (Academic Press).
[4] W. Fleming, 1977, Function of Several Variables, (Springer-Verlag).
[5] W.H. Protter, C.B. Morrey Jr., 1977, A First Course in Real Analysis, (SpringerVerlag).
[6] P. Shutler, 1995, Constrained Critical Points, Amer. Math. Monthly, 102, 4952.