Named after Joseph Louis Lagrange.

Lagrange multipliers provides a strategy for finding

the maxima and minima of a function subject to constraints. This method gives a set of necessary conditions to identify optimal points of equality constrained optimization problems. Done by converting a constrained problem to an equivalent unconstrained problem with the help of certain unspecified parameters known as Lagrange multipliers.

 One of the most common problems in calculus is that

of finding maxima or minima of a function. Difficulties often arise when one wishes to maximize or minimize a function subject to fixed outside conditions or constraints. The method of Lagrange multipliers is a powerful tool for solving this class of problems.

 Original problem is rewritten as: minimize L(x, ) =

f(x) - h1(x) . Take derivatives of L(x, ) with respect to xi and set them equal to zero. (If there are n variables (i.e., x 1, ..., xn) then you will get n equations with n + 1 unknowns (i.e., n variables xi and one Lagrangian multiplier ) Express all xi in terms of Langrangian multiplier Plug x in terms of in constraint h1(x) = 0 and solve . Calculate x by using the just found value for . The constant, , is called the Lagrange Multiplier.

 Here,

f(x, y) = 5x 3y constraint g(x, y) = x + y-136 Thus, f(x, y)/x = 5 f(x, y)/y = -3 g(x, y)/x = 2 x g(x, y)/y = 2 y

Now, applying f(x, y)/x = g(x, y)/x f(x, y)/y = g(x, y)/y We get following set of equations .. 5 = 2 x -3 = 2 y x + y=136 (constraint) Solving these equations x = 5/2 y = -3/2 Plugging these into the constraint we get = If = then, x=10 and y=-6 if =-1/4 then, x=-10 and y= 6 To determine if we have maximums or minimums we just need to plug these into the function. Here are the minimum and maximum values of the function. f(-10,6) = -68 Minimum at(-10,6) f(10,-6) = 68 Maximum at(10,-6)

 Here,

f(x, y, z) = xyz constraint 2(x y + y z + z x) = 64 i.e. x y + y z + z x = 32 g(x ,y ,z) = x y + y z + z x-32 Thus, we get.. f(x, y, z)/x = y z f(x, y, z)/y = x z f(x, y, z)/z = y x g(x, y, z)/x = (y + z) g(x, y, z)/y = (x + z) g(x, y, z)/z = (y + x)

(volume of the box) (total surface area)

 Now, applying

f(x, y, z)/x = g(x, y, z)/x f(x, y, z)/y = g(x, y, z)/y f(x, y, z)/z = g(x, y, z)/z We get following set of equations .. y z = (y + z) x z = (x + z) y x = (y + x) x y + y z + z x = 32 (constraint) Applying either elimination or substitution method we now solve the set of equations thus obtained.. Thus, x = y = z = 3.266 We can say that we will get a maximum volume if the dimensions are x = y = z = 3.266

 Find the maximum and minimum values of

f(x, y, z) = x y z subject to the constraint x + y + z = 1. Assume that x, y, z 0. Find the maximum and minimum values of f(x, y) = 4x + 10y on the disk while x + y 4.
Consider the following. Find the maximum and minimum of f(x, y, z) = 4y 2z subject to constraints 2x y z = 2 and x + y = 1.

 If g1=0, g2=0, g3=0, , g n=0 are n number of constraints

then.. Solve the following system of equations. f(P) = 1 g1(P) + 2 g2(P) + + n g n(P) g1(P) = k1 g2(P) = k2 . . . g n(P) = k n Plug in all solutions, (x, y, z), from the first step into f(x, y, z) and identify the minimum and maximum values, provided they exist.
The constants, 1 , 2, .., n is called the Lagrange Multiplier.

Here, f(x1,x2,x3,x4,x5)= x12+x22+x32+x42+x52 Constraints g1(x1,x2,x3,x4,x5)=x1+2x2+x3-1 g2(x1,x2,x3,x4,x5)=x3-2x4+x5-6 Thus, f(x1,x2,x3,x4,x5)/x1 =2x1 f(x1,x2,x3,x4,x5)/x2 =2x2 f(x1,x2,x3,x4,x5)/x3 =2x3 f(x1,x2,x3,x4,x5)/x4 =2x4 f(x1,x2,x3,x4,x5)/x5 =2x5

g1(x1,x2,x3,x4,x5)/ x1 =1 g1 (x1,x2,x3,x4,x5)/x2 =2 g1 (x1,x2,x3,x4,x5)/x3 =1 g1 (x1,x2,x3,x4,x5)/x4 =0 g1 (x1,x2,x3,x4,x5)/x5 =0 g2(x1,x2,x3,x4,x5)/ x1 =0 g2 (x1,x2,x3,x4,x5)/x2 =0 g2 (x1,x2,x3,x4,x5)/x3 =1 g2 (x1,x2,x3,x4,x5)/x4 =-2 g2 (x1,x2,x3,x4,x5)/x5 =1 On applying, f(x1,x2,x3,x4,x5)/x1 = g1(x1,x2,x3,x4,x5)/ x1 + g2(x1,x2,x3,x4,x5)/ x1

f(x1,x2,x3,x4,x5)/x2= g1 (x1,x2,x3,x4,x5)/x2 + (x1,x2,x3,x4,x5)/x2 f(x1,x2,x3,x4,x5)/x3= g1(x1,x2,x3,x4,x5)/ x3 + g2(x1,x2,x3,x4,x5)/ x3 f(x1,x2,x3,x4,x5)/x4= g1(x1,x2,x3,x4,x5)/ x4 + g2(x1,x2,x3,x4,x5)/ x4 f(x1,x2,x3,x4,x5)/x5= g1(x1,x2,x3,x4,x5)/ x5 + g2(x1,x2,x3,x4,x5)/ x5 We get following set of equations .. 2x1 + =0 , 2x2 +2 =0 , 2x3 + + =0 , 2x4 -2 =0 , 2x5 + =0 x1+2x2+x3=1 , x3-2x4+x5=6 (constraint)

g2

On Solving these equations =-2, =0 Plugging these into the equations we get x1=x2=0, x3=x5=1 and x4=-2 To determine minimums we just need to plug these into the function. Here ,the minimum values of the function. f(0,0,1,-2,1)=6.

Here, f(x , y , z)=4y-2z Constraint, g1(x ,y ,z)=2x-y-z-2 g2(x ,y ,z)= x + y -1

Thus, f(x ,y ,z)/x =0 f(x ,y ,z)/y =4 f(x ,y ,z)/z =-2 g1(x ,y ,z)/x =2 g1(x ,y ,z)/y =-1

g1(x ,y ,z)/z =-1 g2(x ,y ,z)/x=2x g2(x ,y ,z)/y =2y g2(x ,y ,z)/z=0 On applying,

f(x ,y ,z)/x= g1 (x ,y ,z)/x + g2 (x ,y ,z)/x f(x ,y ,z)/y= g1 (x ,y ,z)/y+ g2 (x ,y ,z)/y f(x ,y ,z)/z= g1 (x ,y ,z)/z + g2 (x ,y ,z)/z We get following set of equations .. 2 +2x =0, - +2y =4, - =-2,

2x y z = 2, (constraint) x + y = 1 (constraint)

On Solving these equations =2, =+5,-5 Plugging these into the equations we get If =+5 ,then x=0.8,y=-0.6,z=0.2 and If =-5 ,then x=-0.8,y=0.6,z=-4.2 To determine if we have maximums or minimums we just need to plug these into the function. Here are the minimum and maximum values of the function. f(0.8,-0.6,0.2)=-2.8 minimum at(0.8,-0.6,0.2) f(-0.8,0.6,-4.2)=10.8 maximum at(-0.8,0.6,-4.2)

 Lagrangian multipliers are very useful in sensitivity

analyses. 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:

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