Constrained Optimization Using Lagrange （约束优化使用拉格朗日）.pdf

Constrained Optimization Using Lagrange Multipliers CEE 201L. Uncertainty, Design, and Optimization Department of Civil and Environmental Engineering Duke University Henri P. Gavin and Jeffrey T. Scruggs Spring, 2016 In optimal design problems, values for a set of n design variables, (x , x , · · · x ), are 1 2 n to be found that minimize a scalar-valued objective function of the design variables, such that a set of m inequality constraints, are satisfied. Constrained optimization problems are generally expressed as g (x , x , · · · , x ) ≤ 0 1 1 2 n g (x , x , · · · , x ) ≤ 0 2 1 2 n min J = f (x , x , · · · , x ) such that . (1) 1 2 n x1 ,x2 ,··· ,xn . . g (x , x , · · · , x ) ≤ 0 m 1 2 n If the objective function is quadratic in the design variables and the constraint equations are linear in the design variables, the optimization probl