Chemical engineering Department Assist Lecturer Ghadeer Jassim

C- Lagrange Multiplier Method (Multi-varaiables) :-

For example two variables and one constraint

𝑶𝒑𝒕𝒊𝒎𝒊𝒛𝒆 𝒚(𝒙𝟏 , 𝒙𝟐 )
𝑺𝒖𝒃𝒋𝒆𝒄𝒕 𝒕𝒐 𝒇 (𝒙𝟏 , 𝒙𝟐 ) = 𝟎

We define 𝑳(𝒙𝟏 , 𝒙𝟐 , 𝝀) = 𝒚(𝒙𝟏 , 𝒙𝟐 ) + 𝝀𝒊 𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 )

Where 𝜆𝑖 𝑙𝑎𝑔𝑟𝑎𝑛𝑔𝑒 𝑚𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟

With the necessary conditions

𝝏𝑳 𝝏𝑳 𝝏𝑳
=𝟎 =𝟎 =𝟎
𝝏𝒙𝟏 𝝏𝒙𝟐 𝝏𝝀𝒊

Example:-
𝑶𝒑𝒕𝒊𝒎𝒊𝒛𝒆 𝒚(𝒙𝟏 , 𝒙𝟐 ) = 𝒙𝟏 ∗ 𝒙𝟐
𝑺𝒖𝒃𝒋𝒆𝒄𝒕 𝒕𝒐 𝒇 (𝒙𝟏 , 𝒙𝟐 ) = 𝒙𝟐𝟏 + 𝒙𝟐𝟐 − 𝟏 = 𝟎

Find the value of x’s using Lagrange Multiplier Method?

Solution:-

𝑳(𝒙𝟏 , 𝒙𝟐 , 𝝀) = 𝒙𝟏 ∗ 𝒙𝟐 + 𝝀 (𝒙𝟐𝟏 + 𝒙𝟐𝟐 − 𝟏)

𝝏𝑳
= 𝟎 ⟹ 𝒙𝟐 + 𝟐 ∗ 𝝀 ∗ 𝒙𝟏 = 𝟎 −−−𝟏
𝝏𝒙𝟏
𝝏𝑳
= 𝟎 ⟹ 𝒙𝟏 + 𝟐 ∗ 𝝀 ∗ 𝒙𝟐 = 𝟎 −−−𝟐
𝝏𝒙𝟐
𝝏𝑳
= 𝟎 ⟹ 𝒙𝟐𝟏 + 𝒙𝟐𝟐 − 𝟏 = 𝟎 −−−𝟑
𝝏𝝀
Solving these equations simultaneously gives

𝟏 𝟏 𝟏
𝒙𝟏 = √ 𝒙𝟐 = √ 𝝀= − 𝑴𝒂𝒙𝒊𝒎𝒖𝒎 𝒑𝒐𝒊𝒏𝒕
𝟐 𝟐 𝟐

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Chemical engineering Department Assist Lecturer Ghadeer Jassim

𝟏 𝟏 𝟏
𝒙𝟏 = −√ 𝒙𝟐 = −√ 𝝀= − 𝑴𝒂𝒙𝒊𝒎𝒖𝒎 𝒑𝒐𝒊𝒏𝒕
𝟐 𝟐 𝟐

𝟏 𝟏 𝟏
𝒙𝟏 = −√ 𝒙𝟐 = √ 𝝀= 𝑴𝒂𝒏𝒊𝒎𝒖𝒎 𝒑𝒐𝒊𝒏𝒕
𝟐 𝟐 𝟐

𝟏 𝟏 𝟏
𝒙𝟏 = √ 𝒙𝟐 = −√ 𝝀= 𝑴𝒂𝒏𝒊𝒎𝒖𝒎 𝒑𝒐𝒊𝒏𝒕
𝟐 𝟐 𝟐

D- Inequality constraint optimization (Kuhn Tucker Method):-

For n independent variables and m inequality constraints
𝑶𝒑𝒕𝒊𝒎𝒊𝒛𝒆 𝒚(𝒙𝟏 , 𝒙𝟐 )
𝑺𝒖𝒃𝒋𝒆𝒄𝒕 𝒕𝒐 𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 ) ≥ 𝟎
𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 ) ≤ 𝑪

We define 𝑳(𝒙𝟏 , 𝒙𝟐 , 𝝁) = 𝒚(𝒙𝟏 , 𝒙𝟐 ) − 𝝁𝒊 𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 )

Where 𝜇𝑖 𝑖𝑠 𝐾𝑢ℎ𝑛 𝑇𝑢𝑐𝑘𝑒𝑟 𝑚𝑢𝑙𝑡𝑖𝑝𝑙𝑖𝑒𝑟, with the necessary conditions

𝝏𝑳
=𝟎
𝝏𝒙𝟏

𝝏𝑳
=𝟎
𝝏𝒙𝟐

𝝁𝒊 [𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 ) − 𝑪] = 𝟎

𝝁𝒊 ≥ 𝟎

𝒇𝒊 (𝒙𝟏 , 𝒙𝟐 ) ≤ 𝑪

Example:-

Maximize [−(𝑥1 − 4)2 − (𝑥2 − 4)2 ]

Subject to 𝑥1 + 𝑥2 ≤ 4

3𝑥1 + 𝑥2 ≤ 9
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Chemical engineering Department Assist Lecturer Ghadeer Jassim

Solution:-
𝑳 = −(𝒙𝟏 − 𝟒)𝟐 − (𝒙𝟐 − 𝟒)𝟐 − 𝝁𝟏 (𝒙𝟏 + 𝒙𝟐 − 𝟒) − 𝝁𝟐 (𝟑𝒙𝟏 + 𝒙𝟐 − 𝟗)

𝝏𝑳
= 𝟎 ⟹ −𝟐(𝒙𝟏 − 𝟒) ∗ 𝟏 − 𝝁𝟏 ∗ 𝟏 − 𝝁𝟐 ∗ 𝟑 = 𝟎
𝝏𝒙𝟏
−𝟐(𝒙𝟏 − 𝟒) − 𝝁𝟏 − 𝟑𝝁𝟐 = 𝟎 − − − 𝒆𝒒(𝟏)

𝝏𝑳
= 𝟎 ⟹ −𝟐(𝒙𝟐 − 𝟒) ∗ 𝟏 − 𝝁𝟏 ∗ 𝟏 − 𝝁𝟐 ∗ 𝟏 = 𝟎
𝝏𝒙𝟐
−𝟐(𝒙𝟐 − 𝟒) − 𝝁𝟏 − 𝝁𝟐 = 𝟎 − − − 𝒆𝒒(𝟐)

𝝁𝟏 (𝒙𝟏 + 𝒙𝟐 − 𝟒) = 𝟎 − − − 𝒆𝒒(𝟑)

𝝁𝟐 (𝟑𝒙𝟏 + 𝒙𝟐 − 𝟗) = 𝟎 − − − 𝒆𝒒(𝟒)

𝝁𝟏 ≥ 𝟎 𝝁𝟐 ≥ 𝟎

𝑥1 + 𝑥2 ≤ 4

3𝑥1 + 𝑥2 ≤ 9

Case 1:-
𝝁𝟏 = 𝟎 𝝁𝟐 = 𝟎

From eq(1) ⟹ −𝟐(𝒙𝟏 − 𝟒) = 𝟎 ⟹ 𝒙𝟏 = 𝟒

From eq(2) ⟹ −𝟐(𝒙𝟐 − 𝟒) = 𝟎 ⟹ 𝒙𝟐 = 𝟒

Checking:-

𝑥1 + 𝑥2 ≤ 4 ⟹ 4 + 4 ≤ 4 ×

3𝑥1 + 𝑥2 ≤ 9 ⟹ 3 ∗ 4 + 4 ≤ 9 ×

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Chemical engineering Department Assist Lecturer Ghadeer Jassim

Case 2:-
𝝁𝟏 > 𝟎 𝝁𝟐 = 𝟎

From eq(1) ⟹ −𝟐(𝒙𝟏 − 𝟒) − 𝝁𝟏 = 𝟎 ∴ 𝝁𝟏 = −𝟐(𝒙𝟏 − 𝟒) − −𝒆𝒒(𝟒)

From eq(2) ⟹ −𝟐(𝒙𝟐 − 𝟒) − 𝝁𝟏 = 𝟎 ∴ 𝝁𝟏 = −𝟐(𝒙𝟐 − 𝟒) − −𝒆𝒒(𝟓)

From eq(3) ⟹ 𝝁𝟏 (𝒙𝟏 + 𝒙𝟐 − 𝟒) = 𝟎 ∴ 𝒙𝟏 = 𝟒 − 𝒙𝟐 − −𝒆𝒒(𝟔)

Solve simultaneously to get 𝒙𝟏 = 𝟐 𝒙𝟐 = 𝟐 𝝁𝟏 = 𝟒

Checking:-

𝑥1 + 𝑥2 ≤ 4 ⟹ 2 + 2 ≤ 4 ⟹ 4 = 4 𝑡𝑟𝑢𝑒

3𝑥1 + 𝑥2 ≤ 9 ⟹ 3 ∗ 2 + 2 ≤ 9 ⟹ 8 < 9 𝑡𝑟𝑢𝑒

𝜇1 ≥ 0 𝑡𝑟𝑢𝑒

Case 3:-
𝝁𝟏 = 𝟎 𝝁𝟐 > 𝟎
−𝟐(𝒙𝟏 −𝟒)
From eq(1) ⟹ −𝟐(𝒙𝟏 − 𝟒) − 𝟑𝝁𝟐 = 𝟎 ∴ 𝝁𝟐 = − −𝒆𝒒(𝟒)
𝟑

From eq(2) ⟹ −𝟐(𝒙𝟐 − 𝟒) − 𝝁𝟐 = 𝟎 ∴ 𝝁𝟐 = −𝟐(𝒙𝟐 − 𝟒) − −𝒆𝒒(𝟓)

From eq(3) ⟹ 𝝁𝟐 (𝟑𝒙𝟏 + 𝒙𝟐 − 𝟗) = 𝟎 ∴ 𝒙𝟐 = 𝟗 − 𝟑𝒙𝟏 − −𝒆𝒒(𝟔)

Solve simultaneously to get 𝒙𝟏 = 𝟏. 𝟗 𝒙𝟐 = 𝟑. 𝟑 𝝁𝟐 = 𝟏. 𝟒

Checking:-

𝑥1 + 𝑥2 ≤ 4 ⟹ 1.9 + 3.3 ≤ 4 ×

3𝑥1 + 𝑥2 ≤ 9 ⟹ 3 ∗ 1.9 + 3.3 ≤ 9 𝑡𝑟𝑢𝑒

𝜇2 ≥ 0 𝑡𝑟𝑢𝑒

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Chemical engineering Department Assist Lecturer Ghadeer Jassim

Home work:-
Case 4:-
𝝁𝟏 > 𝟎 𝝁𝟐 > 𝟎

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