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Lagrange Multipliers
Multipliers
Lagrange
Lagrange Multipliers
Multipliers
The method of Lagrange multipliers gives a set of necessary conditions to identify
optimal points of equality constrained optimization problems.
This is done by converting a constrained problem to an equivalent unconstrained
problem with the help of certain unspecified parameters known as Lagrange
multipliers.
The classical problem formulation
minimize
f(x1, x2, ..., xn)
Subject to
can be converted to
minimize
L(x, ) = f(x) - h1(x)
where
L(x, v) is the Lagrangian function
is an unspecified positive or negative constant called the Lagrangian Multiplier
Optimization in Engineering Design
Finding
Findingan
an Optimum
Optimum using
usingLagrange
Lagrange
Multipliers
Multipliers
New problem is:
Method
Method
minimize L(x, ) = f(x) - h1(x)
1.
2.
If there are n variables (i.e., x1, ..., xn) then you will get n equations with n + 1
unknowns (i.e., n variables xi and one Lagrangian multiplier )
3.
4.
5.
Note that the n derivatives and one constraint equation result in n+1
equations for n+1 variables!
Multiple
Multipleconstraints
constraints
The Lagrangian multiplier method can be used for any
number of equality constraints.
Suppose we have a classical problem formulation with k equality constraints
minimize
f(x1, x2, ..., xn)
Subject to
In
Inclosing
closing
Lagrangian multipliers are very useful in sensitivity
analyses (see Section 5.3)
Setting the derivatives of L to zero may result in finding
a saddle point. Additional checks are always useful.
Lagrangian multipliers require equalities. So a
conversion of inequalities is necessary.
Kuhn and Tucker extended the Lagrangian theory to
include the general classical single-objective nonlinear
programming problem:
minimize
Subject to
f(x)
gj(x) 0 for j = 1, 2, ..., J
hk(x) = 0 for k = 1, 2, ..., K
x = (x1, x2, ..., xN)