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Topic 12 - Method of Lagrange's Multiplier

The document describes the method of Lagrange multipliers, which is used to find the extreme values (maximums and minimums) of functions subject to equality constraints. It provides an example of applying substitution to solve a constrained optimization problem that does not work smoothly. The method of Lagrange multipliers involves finding values that simultaneously satisfy the gradient of the function and the gradient of the constraint, multiplied by a Lagrange multiplier. The document explains this process and provides multiple examples of applying the method to problems with single and double constraints.

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Dhruv Kumar
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111 views

Topic 12 - Method of Lagrange's Multiplier

The document describes the method of Lagrange multipliers, which is used to find the extreme values (maximums and minimums) of functions subject to equality constraints. It provides an example of applying substitution to solve a constrained optimization problem that does not work smoothly. The method of Lagrange multipliers involves finding values that simultaneously satisfy the gradient of the function and the gradient of the constraint, multiplied by a Lagrange multiplier. The document explains this process and provides multiple examples of applying the method to problems with single and double constraints.

Uploaded by

Dhruv Kumar
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Method of Lagrange’s Multiplier

Content taken from the Book “Thomas Calculus” By “George B Thomas”


Topic 14.8 of the 13th edition of book
We will explore a powerful method for finding extreme values
of constrained functions: the method of Lagrange multipliers.

Attempts to solve a constrained maximum or minimum


problem by substitution, as we did in last lecture, do not
always go smoothly.

This is one of the reasons for learning the new method of this
section.

We will first take one example to show that why the


substitution do not always go smooth (ends up with
something not desired)
Example 2 Find the points on the hyperbolic cylinder x2 – z2 – 1=0
that are closest to the origin.

Solution : The cylinder is shown in Figure


We seek the points on the cylinder
closest to the origin.
[One can visualize the closest points are
(1,0,0) and (– 1,0,0)]

These are the points whose coordinates


minimize the value of the function
f (x, y, z) = x2 + y2 + z2

subject to the constraint that x2 – z2 – 1 = 0.


If we regard x and y as independent variables in the constraint
equation, then
z2 = x2 – 1
and the values of ƒ (x, y, z) = x2 + y2 + z2 on the cylinder are given
by the function
h(x, y) = x2 + y2 + (x2 – 1) = 2x2 + y2 – 1.

The only extreme value of h occurs where


hx = 4x = 0 and hy = 2y = 0,
that is, at the point (0, 0).

But there are no points on the cylinder


where both x and y are zero.
What went wrong?
This is What went wrong here
What happened was that the First Derivative Test found (as it
should have) the point in the domain oƒ h where h has a
minimum value.

We, on the other hand, want the points on the cylinder where h
has a minimum value.

Although the domain of h is the


entire xy-plane, the domain from
which we can select the first two
coordinates of the points (x, y, z) on
the cylinder is restricted to the
“shadow” of the cylinder on the xy-
plane; it does not include the band
between the lines x = -1 and x = 1
Solution Revisited with a more powerful technique
Another way to find the points on the cylinder closest to the
origin is to imagine a small sphere centered at the origin
expanding like a soap bubble until it just touches the cylinder
At each point of contact, the cylinder and sphere have the same
tangent plane and normal line.
Therefore, if the sphere and cylinder are represented as
ƒ(x, y, z) = x2 + y2 + z2 – a2 and
g(x, y, z) = x2 – z2 – 1
then the gradients f and g will be
parallel where the surfaces touch. At
any point of contact, we should
therefore be able to find a scalar 
(“lambda”) such that
f  g
or
2 xi  2 yj  2 zk    2 x i  2 zk 

Thus, the coordinates x, y, and z of any point of tangency will have


to satisfy the three scalar equations
2 x  2 x, 2 y  0, 2 z  2 z
Since x≠0, the first equation is satisfied when λ=1 which
immediately tells us that z=0 (from third). Second gives y=0.
The points (x,0,0) on the surface x2 – z2 = 1 is satisfied when x = ±1.

The points on the cylinder closest to the origin are the


points (±1, 0, 0).
The Method of Lagrange Multipliers
Suppose that ƒ(x, y, z) and g(x, y, z) are differentiable and
g  0 when g(x, y, z) = 0. To find the local maximum and

minimum values of ƒ subject to the constraint g(x, y, z) = 0


(if these exist), find the values of x, y, z, and λ that
simultaneously satisfy the equations
f  g and g  x, y , z   0

Note: Some care must be used in applying this method. An


extreme value may not actually exist
Example: Find the greatest and smallest values that the function
ƒ (x, y) = xy
takes on the ellipse
x2 y 2
 1
8 2
Solution: We want to find the extreme
values of ƒ(x, y) = xy subject to the
constraint
x2 y 2
g  x, y     1  0
8 2
We will first find values of x, y, and λ for which
f  g and g  x, y   0
That is
x  x2 y 2
yi  xj    i  yj  ,  1  0
4  8 2
This gives
1 x2 y 2
y   x, x   y,  1  0
4 8 2
so that y = 0 or λ = ±2 (from the first two equations).
Case 1: If y = 0, then x = y = 0. But (0, 0) is not on the ellipse.
Hence, y ≠ 0.

Case 2: If y ≠ 0, then λ = ±2 and x = ±2y. Substituting this in the


equation g(x, y) = 0 gives y = ±1.

The function ƒ(x, y) = xy


therefore takes on its extreme
values on the ellipse at the
four points (±2, 1), (±2, –1).
The extreme values are xy = 2
and xy = –2
Lagrange Multipliers with Two Constraints
Many problems require us to find the extreme values of a
differentiable function ƒ (x, y, z) whose variables are subject to two
constraints. If the constraints are
g1  x, y, z   0 and g 2  x, y , z   0
and g1 and g2 are differentiable, with g1 not parallel to g 2 , we
find the constrained local maxima and minima of ƒ by introducing
two Lagrange multipliers λ and µ (mu, pronounced “mew”).
That is, we locate the points P(x, y, z) where ƒ takes on its
constrained extreme values by finding the values of x, y, z, λ and µ
that simultaneously satisfy the three equations
Example 5: The plane x + y + z = 1 cuts the cylinder x2 + y2 = 1 in an
ellipse (Figure 14.59). Find the points on the ellipse that lie closest
to and farthest from the origin.

Solution: We find the extreme values of


ƒ (x, y, z) = x2 + y2 + z2 (the square of the distance from
(x, y, z) to the origin)
subject to the constraints
g1(x, y, z) = x2 + y2 – 1 = 0
g2(x, y, z) = x + y + z – 1 = 0
The gradient equation is written as
f  g1  g 2
 2 xi  2 yj  2 zk    2 xi  2 yj    i  j  k 
 2 xi  2 yj  2 zk   2 x    i   2 y    j  k
or 2 x  2 x   , 2 y  2 y   , 2z  

Thus, 1    x  z, 1    y  z
Now, are satisfied simultaneously if either
z
  1, z  0 or   1, x  y 
1   
If z = 0, then solving constraint
equations simultaneously to find
the corresponding points on the
ellipse gives the two points (1, 0, 0)
and (0, 1, 0). This makes sense
when you look at Figure.
If x = y, then constraint conditions become

x2 + x2 - 1 = 0, x+x+z-1=0
implying
2x2 - 1 = 0, 2x + z - 1 = 0
thus
2
x , z  1 2
2
The corresponding points on the ellipse are
 2 2   2 2 
P1   , ,1  2  , P2    , ,1  2 
 2 2   2 2 
The points on the ellipse closest to the origin are (1, 0, 0)
and (0, 1, 0).
The point on the ellipse farthest from the origin is P2
Next Lecture
Convergence of a Sequence

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