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The Lagrange Multiplier M ethod

The Lagrange Multiplier M ethod. Consider an optimization problem involving two variables and single equality constraint. (1) Subject to ( is a constant) (1a)

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The Lagrange Multiplier M ethod

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  1. The Lagrange Multiplier Method Consider an optimization problem involving two variables and single equality constraint. (1) Subject to ( is a constant) (1a) i.e., subject to (1b) At the constrained optimum, two necessary conditions must hold simultaneously (2) (3)

  2. and are differential perturbations or variations from the optimum point and i.e., two equations in two unknown variables: (4a) (4b) Because the right-hand side of both equations are 0, either a trivial solutions () or a nontrivial (nonunique) solution can be chosen. or (5) Therefore, in general , (6) where is a Lagrange multiplier. An augmented objective function, called Lagrangian is defined as (note )

  3. So can be optimal as an equivalent unconstrained problem. Eqn. (6) can be written in the following way (for two variables and ): In addition to the above necessary conditions, the following equation must hold: Also a sensitivity relationship is (change in constraint)

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