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    Alpha Chiang 12

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    53 views10 pages

    Alpha Chiang 12

    Uploaded by

    rodrigo_aerotaina
    Alpha Chiang 12

    Copyright:

    © All Rights Reserved
    Download as PDF or read online from Scribd
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    of 10
    CHAPTER TWELVE ‘OPTIMIZATION WITH EQUALITY CONSTRAINTS ‘The last chapter presented a genera method for fining the roative extrema af a9 objective function of two or mare choice variables One important feature of tht {scusion ig that al the choice variables are independent of one another. in the sense thatthe decision mace regarding one variable doesnot impinge upon the choices of the remaining variables. For instance, a two-product em ean choose ny value for Q, and any valve for Qt wishes, without the two choles Uniting cn other 1 the ssid fem is somehow requited to observe a resticton (such a6 + production quota) in the form of Q, + Q; = 950, however. the independence [beiween the choice variables wil be lst. In tat even. the firm's proficmasimin: ing output levels and wil be not only simultaneous but aso dependent, because the higher 0 i, he lower Q, must correspondingly be, inorder to stay i the combined quota of 950. The new optimum extisying the production {quota consitues a consained optimum, which, in general, may be expected 10 Aiffer from the fre ouinune discussed inthe preceding chapter. ‘A restriction such as the production quota mentioned above, establishes 2 selatinship between the two variables in thet roles a choice variables, but this should be distinguished from other types of relationships that may lnk the ‘atiables tothe. Fr instance. in Example 2 of See. 11.6. the two products of the frm are related in consunpton (subsites) as well sin production (a8 reflected in the cos function), but that fat doesnot qualiy the problem 35 one of fonsrained optimization, sinc the two output variables are sil independent as ” 5370 ormazastonrromtcns ‘choice variables. Only the dependence ofthe variables qua chee variables gives Fise 10 a constrained optima Jn the present chapter, we shall consider equaiy consis only, such as 2, + Q:~ 950. Our primary concern wil be with relive contained extrema, although absolue ones wil also be discussed in Set. 124 121 EFFECTS OF A CONSIKAINT ‘The primary purpose of imposing a constant iso give due copizance to certain limiting factors preset inthe optimization problem under discusion, We have already seen the limitation on output choices that result from a production quota. For farther illustration, let us considera consumer with the Simple uit (index function (21) Ua aye, +28, Since the marginal utilies—the pani derivatives U, = @U/2x, and Uy = 8U/ax,—are postive for all postive levels of x, and bere to have ‘maximized without any consuaint. the consumer thould purchase an infinite !mount ofboth goods, «solution that obviously ha ie pratial relevance. To Fender the optimization problem meaningful, the purchasing pewer of the cone sumer must also be taken into account; iz, 8 fudge conroin’ should be incorporated int the problem. I the consumer intends to spend «piven sum, 0) ‘S60, on the two goods andi the current pices are Pig = 4 and Pap = 2 then the budget constraint can be expressed by the linear equation (122) 4x, +2x, = 60 Such a constrain, lke the production quota reerted to earir, renders the choices of, and X, mutually dependent The problem now is to maximize (121) subjet tothe containt stated in (12.2). Mathematically, what the constraint (variously called reraing, ide rel ‘ion or subsidy condition) does to narrow the domain, ad hence the ange of the objective function. The domain of (121) would normally be the set ((3y,p]x) 2 0.5 2 0. Graphically. the domain ie represented the nonnegs- tive quadrant ofthe xx plane in Fig 12 1a. After the budget constraint (122) ‘edded, however we can admit only thse values ofthe arabes which satisfy this lauerequstion, so thatthe domain is immediately reduced 10 the st of points lying oo the budget line. This wal automatiallyafect the range ofthe objective function, too; only that subse of the utility sure lying drecly above the budge-constaiat line wil now be relevant. The said subst (a ctess Section ofthe Surface) may lok like the curve ia Fig. 1215, where Uis potted on the vertical ts withthe Budget ine of diagram a placed on the horizontal sis. Our interest ‘hen, is ony in leatng the manu on the curve in diagram In general fora fonction = (x, 9), the diference between a constrained ‘extremum and 3 free extremum maybe ilusrated inthe three dimensional graph " v ao tt ine eine 60 © o ‘of Fig 122. The free exicemum inthis prticla graph isthe peak point ofthe tei dome, but the constrained extemum is atthe peak of the inverse U-shaped ture situated on tp of ie, ying iecily above te constraint ine. In general 5 conseuned maximnom ean be expected to have « wer value than the free ‘maximum, although, by coitcdenes, the teo maxima may happen to have the ‘same vale, Bat the Contained maximum can geverexeed the ee maximum ‘Wis interesting to note tha, had we added another consrait intersecting the est consraint ata single point in the xy plane, the two constraints together would have restricted the domain to that single point. Then the loatng of the extremum would become a val mater. In a meaningful problem, the momber tnd the matte ofthe constrains shouldbe such a forest, but not eliminate the posibiliy of choice. Generally, the mumber of constrains vhoold be es than the number of choice variables, 12.2 FINDING THE STATIONARY VALUES Even without any new technique of solution, the constrained maximum in the simple example defined by (12.1) and (122) can easly be found. Since the consent (122) implies 60 x (22) oy =i = 30- 2s, we can combine the constait withthe objective fanetion by substituting (12.2) into (12.1. The eesul isan objective funtion in one variable only Um «60 2x,) + 25, = 224) = 2a ‘hich can te handled with the method already leaned. By setting 4U/dx, ~ 32= 4 equal to zero, We get the sohtion f= 8, which by virtue of (22) immediatly leas to £, = 30 ~ 28)» 14. From ((21), we san then ind the Stationary vue U = 128: and since the second derivatives d°U/ds? = 4 ~ 0 ‘that stationary value consitues a (constrained) maximum of Us ‘When the constraat sits a compliated function, or when there ate several constants wo consider, however, he technique of substitution and elimination of vatiables cosld become a burdensome task. More importants, when the con- Struint comes ina form such that we cannot salve ito expressone variable (2) san explck uncon ofthe other (x), the elimination method would infect be of no avail~even if x, were known wo bean implicit function of, tht even it the conditons ofthe impict-function theorem were salisied In sush ase, we may resort to a method known as the method of Lagrange (undetermined) ‘multiplier wich, as we sal Se, has stint analytical advantges ‘Lagrange-Multplier Method “The essence of the Lagrange-nuliplier method is 19 convert a constrained extremum problem into form such thatthe fis-order condition of the fre. ‘extremum problem ca sl be applied ‘Given tke problem of maximiing U = xx + 2x. subjes to the constraint 44x, + 2x) = 6 [from (12.1) and (122), let vs write what fe refered (0 a8 the Lagrangian junction. which isa modi version of the objeave function that + You may el ta fo he foes pb of Exe 142 de sane thle of ubttn ws apples id he ase ang const fe sale guy te ‘tig smc one oh ihe ic kage eit Bon bl Incorporates the caastraint as follows (123) Zaityh 42m 460-4, - 28) ‘The symbol A (the Greck let lambda), epreseating some as yet undetermined umber, is called Loprange (undetermined) mpi. If we ean somehow be ‘svured that xy + 2x, = 6, so thatthe constrain wll be satisfied, then the last term in (123) will vanish regardless ofthe vale of A. fn that event, 2 will be identical with U, Moreover, with the costain out of the way. we only have to eck the fee masinum of Z, in Tew ofthe consained masimum of U. with respec to the two variables x, and ny. The question is: How ean we make the Patentetical expresion in (123) vanish? “The tacts thal wil aceomplsh this & simpy to teat A a8 an aiionl variable in (123) Le, to consider Z'= Z(\, 3). For then the Brstorder condition fot fee extrem wil consis of th set of simultaneous equations Bil 92/20 ) = 60 4x, — 24520 (124) (= 02/88)= 42420 Za 02/84,) =, -20~0 snd the fest equation will automatically guarantee the sstisfation of the con- rant Ths, by insoporaing the constant into the Lagrangian funcuion Zand by treating the Lagrange multiplier as an extra variable. we can cbiin the consteuied exremam O (oro choice variables) simply by sereening the stationary ‘values of Z, taken a3 free function of thee choice variables, ‘Solving (124) for he erica values of the variables, we had S, = 8. 5, = 14 (and X= 4)-As expected the values of, and Fy check withthe answers already ‘obiained by the sbsttion method. Furthermore, i is clear from (123) that {= 128; this is dential with the vale of Z found ear, a8 shoud be. In general given an objective funtion (23) re fey) subject othe eonsaint a9 ainsi (2) Z= fly) +Me~ ale rI) seis ie aemiatet-tach sae hires Facts he ayo he ope so changin he coat at ae ee inten ¥. the necesary condition is Ze-a(ny) 0 (128) Z-/-s, <0 Zn hd =O Since the rst equation i (128) i simply restatement of (126), the stationary Values of te Lagrangian funtion Z wll automatically sats) the constraint of the orignal ‘unetions. And since the expression Ale ~ g(x.) i now asutedly zero, the stationary values of Zin (127) must be Wentel Win those of (125) subject (126) Let ue strate the method with two mare examples, nome Find te eteman of coo ne shine The noe ioe he Langan fin Z=xytA6-x-y) For nny va 2s ey ha Zetnenyeo stye6 iynkao } a {2 tro grnace mveuen) Ths by Camera or sneer med wean fey ted pod Tesora ves = #9, ich eds aed atin acon oder condition before we can tell whether iti a matimim or miamum (Or ater. ‘That wil be aken up late Example 2 Find the extremum of etd subjection tary =? “The Lagrangian function is Zesttxd+AQ—n~ 4) for whieh tke necessary condition for a stationary value is a mic" ( ryt axe? Z=2y-AWo ow [Ata #0 22, -heo

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