MATRIKS HESSIAN DALAM

FUNGSI LAGRANGE
M. Syarqim Mahfudz 18/437557/PTK/12590
Danang Adi Kuncoro 19/449606/PTK/12864
Helmy Andamari Kwintanada 19/449612/PTK/12871
Reakha Zulvatricia 19/449623/PTK/12882
Rizki Amalia Pratiwi 19/449624/PTK/12883
Safira Puspita 19/449626/PTK/12885
Rian Febrianto 16/395149/TK/44441
Novenda Ayu Faradila 16/395145/TK/44437
 Matriks Hessian Dalam Fungsi Lagrange
Max f(x, y)
Subject to gሺx, yሻ = c
gሺx, yሻ− c = 0
Lagrange L (x, y, λ) = f(x,y) + λ(c – g(x,y))

𝜕𝑔 𝜕𝑔
0 ‫𝑥𝜕 ۍ‬ 𝜕𝑥2 AAAAA‫ې‬
1
AAAAA‫ێ‬
𝜕𝑔 2
𝜕 𝐿 𝜕2 𝐿
‫ۑ‬
H(x) = AAAAA‫ێ‬
𝜕𝑥1 𝜕𝑥21 𝜕𝑥1 𝜕𝑥2
‫ۑ‬
AAAAA‫ێ‬ ‫ۑ‬
AAAAA‫ێ‬
𝜕𝑔 𝜕2 𝐿 2
𝜕 𝐿 ‫ۑ‬
𝜕𝑥‫ۏ‬2 𝜕𝑥2 𝜕𝑥1 𝜕𝑥22 ‫ے‬

■ Because the constraint equation now equals zero, the subtraction of

the constraint, multiplied by λ, from the objective function does not
affect the value of the function.
Chiang, A.C. and Wainwright, K. 2005.
Fundamental Methods of Mathematical Economics,
4th ed. McGraw-Hill International Edition.
Taylor III, B.W., 1999. Introduction to Management
Science, 6th ed. Prentice Hall. New Jersey : Upper
 Example
Maximize Z = 4 x1 – 0,1 x12 + 5 x2 – 0,2 x22

Subject to

x1 + 2 x2 = 40

Step 3:
Step 1:
−𝑥1 − 2 𝑥2 + 40 = 0
x1 + 2 x2 – 40 = 0
4 − 0,2 𝑥1 − 𝜆 = 0
L = 4 x1 – 0,1 x12 + 5 x2 – 0,2 x22 – λ(x1 + 2 x2 – 40)
5 − 0,4 𝑥2 − 2𝜆 = 0

Step 2:
𝜕𝐿
= −𝑥1 − 2 𝑥2 + 40
𝜕𝜆
𝜕𝐿
= 4 − 0,2 𝑥1 − 𝜆
𝜕𝑥1
𝜕𝐿
= 5 − 0,4 𝑥2 − 2𝜆
𝜕𝑥2
 Step 4:

Hessian Matrix
𝜕𝑔 𝜕𝑔
0 ‫𝑥𝜕 ۍ‬ 𝜕𝑥2 AAAAA‫ې‬ 0 −1 −2
1 H = ൥−1 −0,2 0 ൩
AAAAA‫ێ‬
𝜕𝑔 𝜕2 𝐿 𝜕2 𝐿
‫ۑ‬ −2 0 −0,4
H(x) = AAAAA‫ێ‬
𝜕𝑥1 𝜕𝑥21 𝜕𝑥1 𝜕𝑥2
‫ۑ‬
AAAAA‫ێ‬ ‫ۑ‬ ∆𝑀1 = 0
AAAAA‫ێ‬
𝜕𝑔 𝜕2 𝐿 2
𝜕 𝐿 ‫ۑ‬
𝜕𝑥‫ۏ‬2 𝜕𝑥2 𝜕𝑥1 𝜕𝑥22 ‫ے‬ ∆𝑀2 = 0
∆𝑀3 = 0
Indefinite
Step 5:

4 − 0,2 𝑥1 − 𝜆 = 0 x2 8 − 0,4 𝑥1 − 2𝜆 =0

5 − 0,4 𝑥2 − 2𝜆 = 0 x1 5 − 0,4 𝑥2 − 2𝜆 =0

3 − 0,4 𝑥1 + 0,4 𝑥2 = 0

−0,4 𝑥1 + 0,4 𝑥2 − 3 = 0 x1 −0,4 𝑥1 + 0,4 𝑥2 − 3 = 0

−𝑥1 − 2 𝑥2 + 40 = 0 x 0,4 −0,4 𝑥1 − 0,8 𝑥2 + 16 = 0

1,2 𝑥2 − 13 = 0
𝑥2 = 10,83

3 − 0,4 𝑥1 + 0,4 𝑥2 = 0
3 − 0,4 𝑥1 + 0,4 ሺ10,83ሻ= 0
3 − 0,4 𝑥1 + 4,332 = 0
−0,4 𝑥1 + 7,332 = 0
𝑥1 = 18,33

4 − 0,2 𝑥1 − 𝜆 = 0
4 − 0,2 (18,33) − 𝜆 = 0
4 − 3,666 − 𝜆 = 0
0,334 − 𝜆 = 0
𝜆 = 0,334
Step 6: Proofing

Z = 4 x1 – 0,1 x12 + 5 x2 – 0,2 x22

= 4 (18,33) – 0,1 (18,33)2 + 5 (10,83) – 0,2 (10,83)2

= 70,4133

L = 4 x1 – 0,1 x12 + 5 x2 – 0,2 x22 – λ(x1 + 2 x2 – 40)

= 4 (18,33) – 0,1 (18,33)2 + 5 (10,83) – 0,2 (10,83)2 – 0,334(18,33 + 2 (10,83) – 40)

= 70,4133 – 0,334(0)

= 70,4133