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

■ 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.

Introduction to Management Science Sixth Edition

page 393
Bernard W. Taylor III
Prentice Hall (Upper Saddle River, New Jersey)
 Example
Maximize Z = 4 x1 – 0,1 x12 + 5 x2 – 0,2 x22

Subject to

x1 + 2 x2 = 40

Step 1: Step 3:

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

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

Hessian Matrix
0 −1 −2
H = ൥−1 −0,2 0 ൩
−2 0 −0,4
∆𝑀1 = 0
∆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