1

*1

00

f (x) = 0

f (x) < 0

2 x0

x=0

xR

f 00 (x) < 0

x0

x=0

f (0) < 0

f 0 (x) = 0

f 0 (x) > 0

xD

D = {x : x 0}

D R

f : R 3 x 7 f (x) R

f (x) = 0, f (x) < 0

00

f (x) = 0

x=0

f 0 (x) = 0

f (0) = 0
0

x>0

f 0 (x) 0,

(1)

(2)

x 0.

(3)

f 0 (x) = 0

(2)

x=0

f (x)x = 0,

f 0 (x) < 0
0

f (x)

Complementary Slackness ConditionCS

3

*1
*2

x0

complementary slackness

*2

(2)
(2)

...

f 00 (x) < 0

*3

f (x) = 0

1 f (x) = ax2 + bx + c

fx1 = 0, fx2 = 0

*3
*4

x = (x1 , x2 )

x2

a
1

fx1 = 2x2 x1 + b

*4

fx1 = 0, fx2 = 0

+ bx1 + c

3.2.1

x2 x21

3.2

x1

f (x1 , x2 )
x1

f (x1 , x2 )
x1

x = 0
f

f (x1 , x2 ) =

x2

x=0

f (x) = 2ax + b

f (x)

3.1

f 0 (x) = 0

x = (x1 , x2 )

x + hx

f (x ) f (x + hx).
x

f (x +hx) = f (x ) + h

0<<1

(4)

f
1
2f
(x )x + h2 (x)T 2 (x + hx)x 0,
x
2
x

h0

f
1
2f
(x )x + h2 (x)T 2 (x + hx)x.
x
2
x

(4)

f
(x )x 0.
x

x (x )

f
(x ) = 0,
x

f
(x , x ) = 0,
xi 1 2
3.2.2

x1

x22

= 25
x2

x2

x1

11

x2

x2 = x21

x21

x1

f (x1 , x2 ) = 0

x1 + x2 = 10
5

i = 1, 2.

x21

x22

25

f (x1 , x2 )

fx1 dx1 + fx2 dx2 = 0,

fx
dx2
= 1,
dx1
fx2
3

dx2
2x1
x1
=
= ,
dx1
2x2
x2
x = (0, 5)

x2

x1

x = ( 52 , 52 )

3.2.3
f

x = (x1 , x2 )

g(x1 , x2 ) = 0

x1

x2 = ab x1

ax1 + bx2 = c

x2

c
b

f (x1 , ab x1

cb )

x2

x1

x2 = h(x1 )

x1 , x2

max f (x1 , x2 )

s.t. g(x1 , x2 ) = 0,

x1 ,x2

(x1 , x2 )

(x1 , x2 )

f (x1 , x2 ) = max{f (x1 , x2 ) : g(x1 , x2 ) = 0}

max f (x1 , h(x1 )),

x1

*5

x1

df
= fx1 + fx2 h0 (x1 ) = 0.
dx1

h0 (x1 )

h0 (x1 ) =

(4)

fg g 0 + fh h0

f (g(x), h(x))

dx2
gx
= 1,
dx1
gx2

fx1
*5

(5)

f
g

fx2
gx = 0,
gx2 1

(6)

g0

g(x), h(x)
f
x
(5)

fx1
gx = 0,
gx1 2

fx2

fx1
fx
= 2,
gx1
gx2

fx1
fx
= 2.
gx1
gx2

y=

(5)

fxi ygxi = 0,

(4)

i = 1, 2

(7)

L(x1 , x2 , y) = f (x1 , x2 ) + y(b g(x1 , x2 )).

(8)

Lx1 = fx1 ygx1 = 0,

(9)

Lx2 = fx2 ygx2 = 0,

(10)

Ly = b g(x1 , x2 ) = 0.
(8)

(9)

(10)

(6)

(11)

4 2

max f (x1 , x2 ) s.t. x1 0, x2 0.

x1 ,x2

x1

=0

x2

>0
x1

fx1 = 0

x1 > 0, x2 > 0

x2

fx1 < 0

fxi = 0, i = 1, 2

x1 = 0

x1 = 0, x2 = 0

fxi = 0, i = 1, 2

fxi < 0

1 i = 1, 2

fxi 0,

(12)

fxi xi = 0,

(13)

xi 0.

(14)

max f (x1 , x2 ) s.t. g(x1 , x2 ) b, x1 0, x2 0,

x1 ,x2

s = b g(x1 , x2 )

max f (x1 , x2 ) s.t. s 0, x1 0, x2 0, g(x) + s = b,

x1 ,x2

H(x1 , x2 , s, y) = f (x1 , x2 ) + y(b g(x1 , x2 ) s),

(9), (10), (11)

Hxi = fxi ygxi = 0,

Hxi xi = (fxi ygxi )xi = 0
xi 0,
Hy = b g(x) s = 0,
Hs = y = 0,
Hs s = ys = 0,
s 0.
s

fxi ygxi 0,
(fxi ygxi )xi = 0,
x 0,
y 0,
y(b g) = 0,
b g 0.
6

3 x3

L(x1 , x2 , y) = f (x1 , x2 ) + y(b g(x1 , x2 ))

Lxi 0,

(15)

Lxi xi = 0,

(16)

x 0,

(17)

Ly 0,

(18)

Ly y = 0,

(19)

y 0,

(20)
(21)

6 2
2

x1 , x2

w1

utility

u(x1 , x2 )

wi

xi

12

x1

xi

pi

p1 x1 + s w1 ,

p2 x2 s + w2 ,

max u(x1 , x2 )

x1 ,x2 ,s

xi 0

s0

s.t. p1 x1 + s w1 , p2 x2 s + w2 , x1 0, x2 0, s 0,

max u(x1 , x2 ),

x1 ,x2 ,s

s.t. p1 x1 + s w1 ,
p2 x2 s + w2 ,
x1 0,
x2 0,
s 0.

L(x1 , x2 , s, y1 , y2 ) = u(x1 , x2 ) + y1 (w1 p1 x1 s) + y2 (s + w2 p2 x2 ),

Lx1 = ux1 y1 p1 0,
Lx2 = ux2 y2 p2 0,
Lx1 x1 = (ux1 y1 p1 )x1 = 0,
Lx2 x2 = (ux2 y2 p2 )x2 = 0,
x1 0,
x2 0,
Ls = y1 + y2 0,
Ls s = (y1 + y2 )s = 0,
s 0,
Ly1 = w1 x1 s 0,
Ly2 = s + w2 x2 0,
Ly1 y1 = (w1 p1 x1 s)y1 = 0,
Ly2 y2 = (s + w2 p2 x2 )y2 = 0,
y1 0,
y2 0.

6.1

CS

x1 , x2 , s, y1 , y2

uxi = yi pi , y1 = y2 , w1 p1 x1 s = 0, s + w2 p2 x2 = 0
xi > 0, s > 0, yj > 0

i, j = 1, 2,

ux1 = y1 p1 ,
ux2 = y2 p2 ,
y1 = y2 ,
p1 x1 + s = w1 ,
p2 x2 = s + w2 .
8

y1 = y2

y1 , y2

ux1
p1
= ,
ux2
p2

p1 x1 + p2 x2 = w1 + w2 ,

s > 0

x2 = p1 x1 /x2

x1 = 0

1/x

x1 = (w1 + w2 )/2p1

x2 /x1

x1

p2

6.2 x1

s0

log x

x2 = (w1 + w2 )/2p2

log x1 + log x2

ux1 = y1 p1

y1 = y2

ux1 < y1 p1

ux1
p1
< ,
ux2
p2

x1 = 0

x2 = (w1 + w2 )/p2

yi

6.3

s=0

s=0

y1 = y2

y1 > y2

y1 = ux1 /p1 , y2 = ux x2 /p2

p1
ux1
> .
ux2
p2

s=0

x1 = w1 , x2 = w2

6.4

u x1 = u x2 = 0
9

x4 0

s0

p3 x3 s2 + w3

xT +1 0

p1 x1 + s1 w1

pi xi + si si1 + wi

3 1

p2 x2 + s2 s1 + w2 3

max u(x1 , x2 , x3 ),
xi ,sj

s.t. p1 x1 + s1 s0 + w1 ,
p2 x2 + s2 s1 + w2 ,
p3 x3 + s3 s2 + w3 ,
x4 s3 ,

x1 0,
x2 0,

s1 0,
s2 0,

x3 0,
x4 0,

s3 0,

L(xi , sj , yj ) = u(x1 , x2 , x3 ) + y1 (s0 + w1 p1 x1 s1 ) + y2 (s1 + w2 p2 x2 s2 ) + y3 (s2 + w3 p3 x3 s3 )

sj 0

s2

p2 x2 + p3 x3 + s3 s1 + w2 + w3

s1

s2 p3 x3 + s3 w3

p3 x3 + s3 w3 s1 + w2 p2 x2

p1 x1 + p2 x2 + p3 x3 s0 + w1 + w2 + w3 s3

w = s0 + w1 + w2 + w3

max u(x1 , x2 , x3 ),
xi .s3

s.t. p1 x1 + p2 x2 + p3 x3 w s3 ,
x4 s3 ,
x1 0,
x2 0,
x3 0,
x4 0.
10

L(x1 , x2 , x3 , x4 , s3 , y1 , y2 ) = u(x1 , x2 , x3 ) + y1 (w s3 p1 x1 p2 x2 p3 x3 ) + y2 (s3 x4 ),

Lxi = uxi y1 pi 0,

i = 1, 2, 3

Lxi xi = (uxi y1 pi )xi = 0,

i = 1, 2, 3

xi 0, i = 1, 2, 3,
Lx4 = y2 0,
Lx4 x4 = y2 x4 = 0,
x4 0,
Ly1 = w s3 p1 x1 + p2 x2 + p3 x3 + x4 0,
Ly1 y1 = y1 (w s3 p1 x1 + p2 x2 + p3 x3 + x4 ) = 0,
y1 0,
Ly2 = s3 x4 0,
Ly2 y2 = (s3 x4 )y2 = 0,
y2 0,
Ls3 = y1 + y2 = 0.
x1 , x2 , x3 > 0

uxi = yi pi , i = 1, 2, 3

x4

CS

y1 > 0

x4 = 0

y2 > 0

max u(x1 , ..., xT )

xi

s.t. pi xi + si si1 + wi ,
xi 0,
xT +1 sT ,

i = 1, 2, ..., T

xT +1 0.

yi (si1 + wi pi xi si ) + yT +1 (sT xT +1 ).

i=1

11

y1 = 0

L = u(x1 , ..., xT ) +

Lxi = uxi yi pi 0,
Lxi xi = (uxi yi pi )xi = 0,
xi 0,
Lyi = si1 + wi pi xi si 0,
Lyi yi = (si1 + wi pi xi si )yi = 0,
yi 0,
Lsi = yi + yi+1 = 0,
LxT +1 = yT +1 0,
LxT +1 xT +1 = yT +1 xT +1 = 0,
xT +1 0.
si

yi = yi+1

xT +1 = 0

pi xi + sT s0 +

i=1

wi .

i=1

L = u(x1 , ..., xT ) + y

( T

wi sT

i=1

)
pi xi

+ yT (sT xT +! ).

i=1

Lxi = uxi ypi 0,

Lxi xi = (uxi ypi )xi = 0,
xi 0,
Ly =

wi sT

i=1

Ly y =

( T

pi xi 0,

i=1

wi sT

i=1

)
p i xi

y = 0,

i=1

y 0,
LsT = y + yT = 0,
LxT +1 = yT +1 0,
LxT +1 xT +1 = yT +1 xT +1 = 0,
xT +1 0.

u(x1 , x2 , ...)

3 (x1 , x2 , ...)
12

pi xi s0 +

i=1

wi ,

i=1

*6

`2 L2

*6

2i

13

i + 1

1
1
i