高等数学微积分课件-6.6.4.1拉格朗日乘法1.pptVIP

Lagrange Multipliers Lagrange 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 h1(x1, x2, ..., xn) = 0 can be converted to minimize L(x, l) = f(x) - l h1(x) where L(x, v) is the Lagrangian function l is an unspecified positive or negative constant called the Lagrangian Multiplier Finding an Optimum using Lagrange Multipliers New problem is: minimize L(x, l) = f(x) - l h1(x) Suppose that we fix l = l* and the unconstrained minimum of L(x; l) occurs at x = x* and x* satisfies h1(x*) = 0, then x* minimizes f(x) subject to h1(x) = 0. Trick is to find appropriate value for Lagrangian multiplier l. This can be done by treating l as a variable, finding the unconstrained minimum of L(x, l) and adjusting l so that h1(x) = 0 is satisfied. Method Original problem is rewritten as: minimize L(x, l) = f(x) - l h1(x) Take derivatives of L(x, l) with respect to xi and set them equal to zero. 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 l) Express all xi in terms of Langrangian multiplier l Plug x in terms of l in constraint h1(x) = 0 and solve l. Calculate x by using the just found value for l. Note that the n derivatives and one constraint equation result in n+1 equations for n+1 variables! (See example 5.3) Multiple 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 h1(x1, x2, ..., xn) = 0 ...... hk(x1, x2, ..., xn) = 0 This can be converted in minimi