Lagrange-Multipliers拉格朗日乘子.pdfVIP

Lagrange Multipliers Optimization with Constraints In many applications, we must Önd the extrema of a function f (x; y) subject to a constraint g (x; y) = k: Such problems are called constrained optimization problems. For example, suppose that the constraint g (x; y) = k is a smooth closed curve parameterized by r (t) = hx (t) ; y (t)i on [a; b] ; and suppose that f (x; y) is di§erentiable at each point on the constraint. Then Önding the extrema of f (x; y) subject to g (x; y) = k is equivalent to Önding the absolute extrema of the function z (t) = f (x (t) ; y (t)) for t in [a; b] : In a Örst calculus course, we learn that the extrema of z (t) over [a; b] must exist and occur either at the critical points or the endpoints of [a; b]. Since the curve is closed, we only need consider the critical points of z (t) in [a; b], which are solutions to dz = rf v = 0 dt where v is the velocity of r (t) : That is, the critical points of z (t) occur when rf ? v: Since also rg ? v, it follows that the extrema of f (x; y) subject to g (x; y) = k occur when rf is parallel to rg: If rf is parallel to rg; then there is a number for which rf = rg Thus, the extrema of f (x; y) subject to g (x; y) = k must occur at the points which are the solution to the system of equations hf ; f i = hg ; g i ; g (x; y) = k (1) x y x y 1 We call (1) a Lagrange multiplier problem and we call a Lagrange Multiplier. A good approach to solving a Lagrange multiplier problem is to Örst elimi- nate the Lagrange multiplier using the two equations fx = gx