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Lagrangesmethod PDF

Lagrange multipliers is a method for finding the extreme values of a function subject to equality constraints. It involves forming an augmented function using a Lagrange multiplier for the constraint. Taking the partial derivatives of the augmented function with respect to the independent variables and the Lagrange multiplier yields equations that can be solved simultaneously to find critical points that satisfy both the objective function and the constraint. For a constrained optimization problem seeking to maximize a function subject to a budget constraint, the Lagrange multipliers method results in a system of three equations that can be solved to find the optimal values.

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99 views8 pages

Lagrangesmethod PDF

Lagrange multipliers is a method for finding the extreme values of a function subject to equality constraints. It involves forming an augmented function using a Lagrange multiplier for the constraint. Taking the partial derivatives of the augmented function with respect to the independent variables and the Lagrange multiplier yields equations that can be solved simultaneously to find critical points that satisfy both the objective function and the constraint. For a constrained optimization problem seeking to maximize a function subject to a budget constraint, the Lagrange multipliers method results in a system of three equations that can be solved to find the optimal values.

Uploaded by

Shraddha Malve
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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LAGRANGE’S MULTIPLIERS

METHOD
Lagrange Multipliers
 The constrained optima problem can be stated as find
ing the extreme value of
subject to .

 So Lagrange (a mathematician) formed the augmente


d function.

denotes augmented function


will behave like the function if the constraint is followed.
 Given the augmented function, the first order conditi
on for optimization (where the independent variable
s are , and λ) is as follows:
 Using the previous example:

note:
to be on the b
udget line
Lagrange Multipliers

 Solving these 3 equations simultaneously:


 Solving these 3 equations simultaneously (cont’d):
 Solving these 3 equations simultaneously (cont’d):
 If , then

 This solution yields the same answer as the substit


ution method, i.e., and .

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