Constrained

Optimization
Lagrange Multiplier
M S Prasad

This lecture note is based on Text book and open literature suitable course Engineering system design
Optimization .It should be read in Conjunction with class room discussions.

Constrained Optimization : Lagrange

Multiplier : LN - 5
Simple approach
This is an example of the generic constrained optimization problem:
Maximize f(x), subject to g(x) = b .
Here f is to be maximized subject to constraints that are of two types. The constraint x X is a
regional constraint. For example, it might be x 0. The constraint g(x) = b is a functional
constraint. Sometimes the functional constraint is an inequality constraint, like g(x) b.
we can always add a slack variable, S and re-write it as the equality constraint g(x) + z = b, redefining the regional constraint as x X and z 0.
The Lagrangian method for Equality constraints
Case I The solution of a constrained optimization problem can often be found for the above
function by using the so-called Lagrangian method. We define the Lagrangian as
L(x, ) = f(x) + (b g(x)) .
Note
Assume x * = (x1*, X2*,.Xn*) maximizes or minimizes f(x) subject to the constraints gi(x) = bi,
for i = 1; 2; : : :;m.
Then either
(i) the vectors g1(x); g2(x_); .; gm(x_) are linearly dependent,
or
(ii) there exists a vector * = ( 1* , 2* .. m* ) such that L(x* , *) = 0.
That is

=0

and

=0

Case II Equality and Inequality Constraints

Problem definition : Maximize f(x) Subject to g1(x) = b1 ,... ,gm(x) = bm and

h1(x) d1 ... hp(x) dp. We have both equality and Inequality constraints .
we know that we can always transform an Inequality constraints as an Equality constraints by
introducing a slack variable (a non negative parameter ) i.e gi ( x) 0 is equivalent to
gi (X) + si (0) where S 0. By this process we have introduced one more variable and one
more constraint S 0. To solve this problem we use S2i i.e gi + S2i = 0
The S are calculated by making sure that j* 0 for J = 1 .m. also partial derivative of S is
equated to zero.
We form a Lagrangian as under

( , , ) = () + () + ( () + 2 )
1

We calculate

= 2 ..
1

=0

=0

it means { g ( x*) + S 2} = 0

Check if Sj2 0 equivalent to saying that gj 0

And
= 0 => 2 i* Sj = 0 known as Complimentary condition .

and
check i* 0 that is non negativity test.
These condition are known as KKT i.e. Karush Kuhn Tucker( KKT) necessary and sufficiency
condition .
In general, the Lagrangian is the sum of the original objective function and a term that involves
the functional constraint and a Lagrange multiplier . Geometric meaning of Lagrange
Function is that at minimum point ,gradient of cost function and constraint functions are
along the same line and they are proportional to each other by .
Since L(x* , *) = 0.
Hence f(x* ) + h(x* = 0.
Think of as knob that we can turn to adjust the value of x.
Imagine turning this knob until we find a value of , say = , such that the functional
constraint is satisfied, i.e., g(x()) = b. Let x = x(). Our claim is that x solves P. This is the socalled Lagrangian Sufficiency Theorem.
Lagrange multiplier for Quadratic constraints
The most general form of constraint optimization problem is formulated as under :-

where x has dimensions , nx1 , f(x) is the objective function to be minimized, g( x) are a set of
inequality constraints, and h(x) are a set of equality constraints. Inequality constraints of the form
can be rewritten as g(x) 0 To solve numerically the following standard forms are chosen

f(x) = xT A X + bTX +c
g(x) = Dx e
h(x) = Cx d

where A is an n x n matrix, b is an n1 vector, c is a scalar, D is a pn matrix, e is a px1 vector, C

is an m x n matrix, and d is an m1 vector. This general rep is generally used for Quadratic
minimization problems .

. We can form a Lagrange function as

1
(, ) = + + + ( )
2

= + + = 0

= = 0

This can be written in matrix form as below solved easily

{

} { } = [ ]

Penalty Function Method

The penalty function method can solve optimization problems with both equality and inequality
constraints:
minimize f(x)
subject to
gj (x) 0 I = 1.p
hi,(x) =0 j =1 m
The penalty function method applies an unconstrained optimization algorithm to a penalty function
formulation of a constrained problem. . The penalty function method is follows:

minimize P (x)

Where the Penalty parameters are : -

Now the problem is formulated as unconstrained optimization. However, we cannot solve directly
because large values of can cause instability and inefficiency when deriving a solution with high
accuracy. We can use the sequential unconstrained minimization technique (SUMT) to incrementally
increase the penalty parameter as we derive the solution incrementally.
1. Choose tolerances 1 , 2 very small such as 10 -5, starting point x0 =0, initial penalty
parameter 0=1
2.

Perform unconstrained optimization ( we can use fminsearch in matlab) as the penaly

function P ( x0 ,k) to get x*.

3. Fix a convergence criteria if

stop.

1 and

4. Else k+1= 10 k and X0 = X* k return to step 2.

Summary

2 then

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