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Lagrange Multiplier Complete

This document discusses the method of Lagrange multipliers for solving constrained optimization problems. It begins by defining the constrained optimization problem and introducing the augmented function used in the Lagrange method. The document then provides an example problem and shows the steps to solve it using Lagrange multipliers. These steps include taking the partial derivatives of the augmented function and solving the simultaneous equations to find the critical points. Finally, the document discusses applying the second order conditions to determine if the critical points represent maxima, minima or saddle points.

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Deepak Sharma
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406 views22 pages

Lagrange Multiplier Complete

This document discusses the method of Lagrange multipliers for solving constrained optimization problems. It begins by defining the constrained optimization problem and introducing the augmented function used in the Lagrange method. The document then provides an example problem and shows the steps to solve it using Lagrange multipliers. These steps include taking the partial derivatives of the augmented function and solving the simultaneous equations to find the critical points. Finally, the document discusses applying the second order conditions to determine if the critical points represent maxima, minima or saddle points.

Uploaded by

Deepak Sharma
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
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Malaviya National Institute of Technology Jaipur

Lagrange Multipliers
Submitted to:

Submitted by:

Dr. Rajeev Kumar Dohare


(Assistant Professor)
Chemical Engineering Dept.

Sunil Kumar
2014UCH1530
Vakul Agarwal
2014UCH1525
Sanjay S Bhati 2014UCH1499
Abhishek Ranjan
2014UCH1498
Maloth Naveen 2014UCH1494

Lagrange Multipliers
In Mathematical Optimization, the
method of Lagrange Multipliers is a
Strategy for finding Local maxima and
minima of a function subject to
equality constraints.

Lagrange Multipliers
The constrained optima problem can be stated as finding the
extreme value of
subject to
.
So Lagrange (a mathematician) formed the augmented function.

denotes augmented function


will behave like the function if the constraint is followed.

Lagrange Multipliers
Given the augmented function, the first order condition for
optimization (where the independent variables are
,
and )
is as follows:

Lagrange Multipliers
For Example on Lagrange Method:
Let Function:

Subject:

Find a Optimum solution of this function?.

Lagrange Multipliers
Solution:
Augmented Function:

Note:

Lagrange Multipliers

By Solving Three equations Simultaneously

Lagrange Multipliers

By Solving Three equations Simultaneously (Contd)

Lagrange Multipliers

By Solving Three equations Simultaneously

Lagrange Multipliers
If

, then

This solution yields the same answer as the substitution


method, i.e.,
and
.

Lagrange Multipliers

Economists prefer using the Lagrange technique over the


substitution method, because:
(i) easier to handle for most cases and
(ii) provides additional information.

Namely

for (ii), the value of has an economic interpretation.


(There is no counterpart to this variable in the
substitution method).

Lagrange Multipliers

2nd

order conditions

Given
1st

order conditions for extremum:

Lagrange Multipliers

2nd order conditions involve second order partial


derivatives expressed in the form of a determinant.

In the constraint case, we will utilize the bordered


Hessian which is the Hessian of the free optima case
surrounded by the partial derivatives with respect to the
Lagrange multiplier .

Lagrange Multipliers
2nd

order partials:

Lagrange Multipliers
2nd

order partials:

Lagrange Multipliers

Note: partials with respect to Lagrange


mform the borderultiplier ()
2

explanatory variables and 1 constraint is the largest size bordered


Hessian we will consider for this class.

Lagrange Multipliers

So

the 2nd order condition is:

Lets

now return to our previous example:

Recall the critical values of


and

Lagrange Multipliers

What about the 2nd order conditions?

Lagrange Multipliers

Find

Lagrange Multipliers

Expand by 1st row:

Lagrange Multipliers

represents a real maxima

THANK YOU

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