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Lagrange multipliers provides a strategy for finding the maxima and minima of a function subject to constraints.
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Named after Joseph Louis Lagrange. Lagrange multipliers provides a strategy for finding

the maxima and minima of a function subject to constraints. This method gives a set of necessary conditions to identify optimal points of equality constrained optimization problems. Done by converting a constrained problem to an equivalent unconstrained problem with the help of certain unspecified parameters known as Lagrange multipliers.

The method of Lagrange multipliers is a powerful tool for solving this class of problems. Difficulties often arise when one wishes to maximize or minimize a function subject to fixed outside conditions or constraints. One of the most common problems in calculus is that of finding maxima or minima of a function. .

xn) then you will get n equations with n + 1 unknowns (i.. x 1. Original problem is rewritten as: minimize L(x. . (If there are n variables (i.. is called the Lagrange Multiplier.e.λ h1(x) ...e. . The constant. .. Calculate x by using the just found value for λ. n variables xi and one Lagrangian multiplier λ) Express all xi in terms of Langrangian multiplier λ Plug x in terms of λ in constraint h1(x) = 0 and solve λ. λ) with respect to xi and set them equal to zero. λ) = f(x) . Take derivatives of L(x.

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y)/δx = 2 x δg(x. y)/δy = -3 δg(x. y) = x² + y²-136 Thus. f(x. δf(x. y) = 5x – 3y constraint g(x. y)/δx = 5 δ f(x. Here. y)/δy = 2 y .

x=-10 and y= 6 To determine if we have maximums or minimums we just need to plug these into the function.• Now. y)/δy = λ δg(x.-6) . y)/δx δf(x. y)/δx = λ δg(x. applying δf(x. 5 = 2 λx -3 = 2 λy x² + y²=136 (constraint) Solving these equations x = 5/2 λ y = -3/2 λ Plugging these into the constraint we get λ=±¼ If λ = ¼ then. x=10 and y=-6 if λ=-1/4 then.6) = -68 Minimum at(-10.6) f(10. Here are the minimum and maximum values of the function..-6) = 68 Maximum at(10. y)/δy We get following set of equations . f(-10.

z) = x y + y z + z x-32 Thus. z)/δx = (y + z) δg(x. y. z)/δz = y x δg(x. we get. δf(x.e. y.. y. y. y. y. x y + y z + z x = 32 g(x . y. z)/δy = (x + z) δg(x.y . f(x. z)/δx = y z δf(x. Here. z) = xyz constraint 2(x y + y z + z x) = 64 i. z)/δy = x z δf(x. z)/δz = (y + x) (volume of the box) (total surface area) .

y... z)/δy = λ δg(x. z)/δz We get following set of equations . y. y. y. z)/δz = λ δg(x. y.266 .266 We can say that we will get a maximum volume if the dimensions are x = y = z = 3. x = y = z = 3. y z = λ (y + z) x z = λ (x + z) y x = λ (y + x) x y + y z + z x = 32 (constraint) Applying either elimination or substitution method we now solve the set of equations thus obtained. y. z)/δx δf(x. z)/δy δf(x. Now. applying δf(x. Thus. z)/δx = λ δg(x.

z ≥ 0. Find the maximum and minimum of f(x. Assume that x. y. y. Find the maximum and minimum values of f(x. Find the maximum and minimum values of f(x. y. Consider the following……. y) = 4x² + 10y² on the disk while x² + y²≤ 4. . z) = x y z subject to the constraint x + y + z = 1. z) = 4y – 2z subject to constraints 2x – y – z = 2 and x² + y² = 1.

from the first step into f(x. Solve the following system of equations. f(P) = λ1 g1(P) + λ2 g2(P) + … + λn g n(P) g1(P) = k1 g2(P) = k2 . provided they exist. λ2. g3=0.. . λn is called the Lagrange Multiplier. g n(P) = k n • Plug in all solutions. • The constants. ………. g n=0 are n number of constraints then. …. If g1=0. g2=0. . (x. λ1 . . y.. z).. z) and identify the minimum and maximum values. y.

x3.x3.x4.x5)/δx4 =2x4 δf(x1.x5)/δx3 =2x3 δf(x1.x3.x5)/δx5 =2x5 .x3.x3.x5)=x3-2x4+x5-6 Thus.x3.x3.x2.x5)/δx2 =2x2 δf(x1.x2.x4. δf(x1.x4.x4.x4.x5)/δx1 =2x1 δf(x1.x5)= x12+x22+x32+x42+x52 Constraints g1(x1.x2.x2.x2.x2. f(x1.x4.x3.Here.x2.x2.x4.x5)=x1+2x2+x3-1 g2(x1.x4.

x4.x3.x2.x4.x2.x5)/δx3 =1 δg1 (x1.x3.x2.x5)/δx4 =-2 δg2 (x1.x2.x5)/δx1 = λ δg1(x1.x4.x3.x4.x2.x5)/δx3 =1 δg2 (x1.x5)/δ x1 .x5)/δx4 =0 δg1 (x1.x2.x2.x4.x5)/δ x1 + µ δg2(x1.x3.x4.x3.x4.x2.x4.x2.x3.x4.x4.x5)/δx2 =2 δg1 (x1. δf(x1.x4.x3.x5)/δ x1 =0 δg2 (x1.x4.x2.x2.x4.x3.x3.x2.x5)/δx5 =1 On applying.x5)/δx2 =0 δg2 (x1.x2.δg1(x1.x3.x5)/δ x1 =1 δg1 (x1.x3.x5)/δx5 =0 δg2(x1.x3.x3.

x3.x4.x5)/δx4= λ δg1(x1. 2x4 -2 µ =0 .x2.x3.x2.x4.x5)/δ x3 δf(x1.x3.x5)/δ x3 + µ δg2(x1.x4.x5)/δ x5 We get following set of equations . 2x1 + λ=0 .x4.x3.x2.x5)/δx2 + µ (x1. 2x5 + µ =0 x1+2x2+x3=1 .x2.x5)/δ x4 δf(x1.x4.x5)/δx2= λ δg1 (x1.x4.x2.x3. 2x3 + λ + µ =0 .x3.x2.δf(x1.x5)/δx3= λ δg1(x1.x3..x4.x3. 2x2 +2 λ=0 .x3.x4.x4.x3.x4.x3. x3-2x4+x5=6 (constraint) δg2 .x4.x4.x2.x5)/δ x5 + µ δg2(x1.x2.x2.x5)/δ x4 + µ δg2(x1.x2.x2.x2.x3.x5)/δx2 δf(x1.x5)/δx5= λ δg1(x1.

1. Here .1)=6. x3=x5=1 and x4=-2 To determine minimums we just need to plug these into the function.-2. λ=0 Plugging these into the equations we get x1=x2=0. f(0.On Solving these equations µ=-2. .the minimum values of the function.0.

z)/δx =0 δf(x .y . δf(x . f(x .y .y .y . y .z)/δy =4 δf(x .z)/δy =-1 .Here. z)=4y-2z Constraint.y .z)= x² + y² -1 Thus.z)/δz =-2 δg1(x .z)/δx =2 δg1(x . g1(x .z)=2x-y-z-2 g2(x .y .y .

2x – y – z = 2.y .y .λ=-2. .y .z)/δx δf(x .y . 2 λ+2x µ=0.y . (constraint) x² + y² = 1 (constraint) .z)/δx= λ δg1 (x .y .z)/δy= λ δg1 (x .y .λ+2y µ=4.z)/δz= λ δg1 (x .y .δg1(x .z)/δz =-1 δg2(x .y .y .z)/δz + µ δg2 (x .z)/δy+ µ δg2 (x .z)/δz=0 On applying.z)/δy δf(x .z)/δx=2x δg2(x . δf(x .y . .z)/δx + µ δg2 (x ..z)/δz We get following set of equations .z)/δy =2y δg2(x .y .y .

y=0.y=-0. f(0. µ=+5.-5 Plugging these into the equations we get If µ=+5 .2)=10.z=-4.2 To determine if we have maximums or minimums we just need to plug these into the function.then x=0.2) f(-0.6.On Solving these equations… λ=2.z=0.8.8.0.8 minimum at(0.-4.6.8.8 maximum at(-0.2) .2 and If µ=-5 .6.8.0.8.0.6.2)=-2.then x=-0.8.6.-0. Here are the minimum and maximum values of the function.-4.6.-0.0.

Kuhn and Tucker extended the Lagrangian theory to include the general classical single-objective nonlinear programming problem: . Lagrangian multipliers are very useful in sensitivity analyses. Lagrangian multipliers require equalities. Setting the derivatives of L to zero may result in finding a saddle point. So a conversion of inequalities is necessary. Additional checks are always useful.

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