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?.

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Solution:
Augmented Function:

Note:

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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 .

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2nd

order partials:

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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

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What about the 2nd order conditions?

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Find

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Expand by 1st row:

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represents a real maxima

THANK YOU