Lecture 12 - MATH 264

Constrained Extrema.

1) Lagrange multipliers

x?2

, where x = x,y,z 5 _ : ?x ? y + z = 0.
In the assignment 11 (1) problem #5, we search for a maximum volume, where we conditioned the vertices to be on ellipsoid:
9x 2 + 36y 2 + 4z 2 = 36. These problems are often referred to as constrained extreme problems. So far we have been lucky and
were able to calculate one variable in terms of the others and transferred these problems into free extreme problems.
Unfortunately that is not always possible. Therefore we need an alternative approach.
Generally the constrained extreme problem involves a search of an extreme point of a objective function f x under some
constraints, such as:
g 1 x =0,...,g m x =0.
Let us first illustrate a case with m = 1 i.e. one constrained extreme problem:
In example 11.11 we looked for minimum of

Example 12.1: Find the minimum of fx =

y?1

z?3

subject to

x 2 +y 2

gx = 2x 4 + 3y 4 ? xy ? 32 = 0.
Theorem 12.2: Let f and g : R n R have (be differentiable) continuous partial derivatives. Let fA be an extreme value for
all x :gx =0. Let 4gA 0. Then there exists V:
4fA = V4gA
Proof: We are therefore searching for a point A, which satisfies the constraint, i.e.: gA =0, and for any other such
x :gx =0 we want:
fx fA (or fx fA)
Since 4gA 0 & 4gx is continuous, from the Implicit Function Theorem 6.28 it follows that we can find an open ball
C N A such that for some i the variable x i can by expressed in terms of the other ones, i.e.: x i = Gx i , where
x i = x 1 ,...,x i?1 ,x i+1 ,...,x n . Then for every:
x = x 1 ,...,x n 5 C N A & gx =0.
The composite function:
Hx i = gx 1 ,...,x i?1 ,Gx i ,x i+1 ,...,x n = 0
identically. Let us denote by Ai = a 1 ,...,a i?1 ,a i+1 ,...,a n , then for any j i we have:
/H A i
/g A
/g A /G A i
/G A i
= /x j + /x i /x j = 4g A 6 0,...,0,1,0,...,0, /x j ,0,...,0 = 0
/x j
where in K j A

0,...,0,1,0,...,0,

/G A i
/x j

,0,...,0

the 1 is in the j ? th and

/G A i
/x j

is in the i ? th position. Therefore the two

vectors: 4gA & K j A , where are orthogonal for all j i. Since obviously these vectors K j A are linearly independent, the
composite function:
Fx i = fx 1 ,...,x i?1 ,Gx i ,x i+1 ,...,x n
has an extreme at FA and therefore:
/F A = 4fA 6 K
=0
j A
/x j
This shows that the gradients 4fA and 4gA are both orthogonal to K j A for all j i. Therefore these two vectors are
collinear giving the required relation:
4fA = V4gA.

Comment 12.3: The coefficient V is called a Lagrangian multiplier and the function:
L x,V = fA ? VgA
the Lagrangian function.
This gives us the following method for calculation of the constrained extrema:

Lagrangian multiplier method 12.4: To find all critical points (candidates) A for extreme values of f : R n R subject to
constraint gx =0, we solve for x and V the system of equations:
4L x,V

4fx ?V4gx

=0

gx

1.
2.
3.
4.

Example 12.5: To determine the maximum volume of a rectangular box whose height plus girth is 200 cm we:
Denote the dimensions of thee box: width = x, length = y and height = z,
the volume V x,y,z = xyz is to be maximized, and
the girth plus height: g x,y,z = 2x + y + z ? 200 = 0 is the constraint.
Therefore we use the above method, and get
L x,V = xyz ? V 2x + y + z ? 200 ,
giving:
4L x,V

yz,xz,xy ? V 2,2,1
2x + y + z ? 200

0
0

with solutions:
a. for: V = 0 : A = 100,0,0 , B = 0,100,0
b. for: V =

10000
9

:D=

& C = 0,0,200 , and

100 , 100 , 200

3
3
3

Since obviously V = xyz 0 the only acceptable solution is the last.

Example 12.6: We want to maximize the volume of the box made out of a one square meter rectangular sheet of metal board
by cutting out the square corners and bending the remaining part:

Area: x + 2z

y + 2z = 1
Figure 12.7

Volume: xyz

Here we have the function: f x,y,z = xyz subjected to the condition: g x,y,z =
Lagrangian is then:
L x,y,z,V = f x,y,z + Vg x,y,z = xyz + V
x + 2z
giving the gradient:

x + 2z
y + 2z

yz + V y + 2z
4L x,y,z,V

xz + V x + 2z
xy + V 2y + 8z + 2x
x + 2z

Therefore to find the critical point we have to solve the system:

y + 2z

?1

= 0.

y + 2z
?1

? 1 = 0. The

yz + V y + 2z

=0

xz + V x + 2z

=0

xy + V 2y + 8z + 2x

=0

x + 2z

?1=0

y + 2z

giving the following three points: A = 23 , 23 , 16 for V = ? 19 , B = ? 23 ,? 23 ,? 16 for V = 19 , C = 0,0, 12 and D = 0,0,? 12
V = 0. It is obvious then that the maximum comes from A with the volume V = f 23 , 23 , 16 = 272 u 74dm 3 i.e. 74 liters.

We can now go back to the above example 11.10 and apply the Lagrangian multiplier method:
Example 12.8: Find the minimum of fx,y =

1
x 2 +y 2

subject to gx,y = 2x 4 + 3y 4 ? 32 = 0. The Lagrangian multiplier

method gives:
=

L x,y,V

? V 2x 4 + 3y 4 ? 32

1
x 2 +y 2

?2x 4 ? 3y 4 + 32
4L x,y,V

1
x 2 +y 2
1
x 2 +y 2

x ? 8Vx 3

0
=

3
3 y ? 12Vy

This system gives the following solutions:

1. Put x = 0 : A = 0, 23 3 4 6

, B = 0,? 23 3 4 6

2. Put y = 0 : C = 2,0 , D = ?2,0 , with f C

=f B

, with f A
=f D

1
2

1
24

2 4 6 u.2259,

=.5

3. Since obviously V 0, therefore we can eliminate V from the first two equations and get: 2x 2 = 3y 2 3y 4 =
replace this into 2x 4 + 3y 4 ? 32 = 0 and solve for x we get the following four solutions:
a. E = 25 5 4 15, 152 30 4 15 ,

4 x4 .
3

If we

b. F = ? 25 5 4 15, 152 30 4 15 ,
c. G =

2
5

5 4 15,? 152 30 4 15 , and

d. H = ? 25 5 4 15,? 152 30 4 15
with fE = fF = fG = fH =

1
30

15

u.44006.

This shows that:

f min = fA = f B
& f max = fC = f D .
For more constraints:
g 1 x =0,...,g m x =0
we have:

Theorem 12.9: Let f : R n R be differentiable on some open ball C N A . Let:

A 5 S R n : x 5 S gx = g 1 x,...,g m x = 0
and let gx be continuously differentiable at A. Let the matrix:
4gA = 4g i A
be non-singular. Then there exists a vector:
V = V 1 ,...,V m 5 R m : 4fA = V.4gA.
Proof is almost identical to the theorem 11.11 with one constraint, but is based on the Generalized Implicit Function
Theorem. This leads to the following method:

This leads to the following method:

for

Lagrangian multiplier method for m constraints 12.10: To find all critical points (candidates) A for extreme values of
f : R n R subject to constraint g 1 x =0,...,g m x =0, we determine the Lagrangian:
m
L x,V 1 ,...,V m = f x ? > V i g i x
i=1

and then solve for x and V the system of equations:

m

4fx ? > V i 4g i x
i=1

4L x,V 1 ,...,V m

g 1 x

=0

...
g m x

Example 12.11: Let fx,y,z = xy + xz. We shall find the extreme values on the curve, which is the intersection of the circular
cylinder g = x 2 + y 2 ? 1 = 0 and the hyperbolic cylinder h = xz ? 1 = 0. The above method implies that the critical point
satisfies the system:
L x,y,z,V 1 ,V 2 = xy + xz ? V 1 x 2 + y 2 ? 1 ? V 2 xz ? 1

4L x,y,z,V 1 ,V 2

?x 2 ? y 2 + 1

?xz + 1

y + z ? 2V 1 x ? V 2 z =

x ? 2V 1 y

x ? V 2x

which gives the following four solutions:

1. x 1 =

2
2

2
2

2. x 2 = ?

2
2

3. x 3 =

,?

2
2

4. x 4 = ?

2
2

, 2, with: fx 1 =

,?

2
2
2
2

2
2

= f max ,

3
2

,? 2, with: fx 2 =

, 2, with: fx 3 =

1
2

,? 2, with: fx 3 =

3
2

= f max ,

= f min ,
1
2

= f min .

Assignment 12

1. (Page 976;#4) Use Lagrangian multipliers to calculate the maximum and minimum values of f x,y = 4x + 6y, subject to
g x,y = x 2 + y 2 = 13.
2. (Page 976;#10) Use Lagrangian multipliers to calculate the maximum and minimum values of f x,y,z = x 2 y 2 z 2 , subject to
g x,y,z = x 2 + y 2 + z 2 = 1.
3. (Page 976;#16) Use Lagrangian multipliers to calculate the maximum and minimum values of f x,y,z = 3x ? y ? 3z, subject
to g 1 x,y,z = x + y ? z = 0 & g 2 x,y,z = y 2 + 2z 2 = 1.
4. (Page 977;#26) Use Lagrangian multipliers to prove that the triangle with maximum area that has a given parameter p is
equilateral. (Hint: use the Herons formula: A = s s ? x s ? y s ? z , where s = p2 and x,y,z are the lengths of the sides.
5. (Page 977;#28) Use Lagrangian multipliers to determine the point on the plane x ? y + z that is closest to the point
A 1,2,3 .
6. (Page 977;#34) Use Lagrangian multipliers to determine the dimensions of the box with volume 1000cm 3 that has minimum
surface area.
7. (Page 977;#40) Use Lagrangian multipliers to determine the maximum and minimum volumes of a rectangular box with
surface area 1500cm 2 and total edge length 200cm.
8. (Page 977;#42) The plane 4x ? 3y + 8z = 2 intersects the cone z 2 = x 2 + y 2 in an ellipse. Use Lagrangian multipliers to
determine the highest and lowest point on this ellipse.

9. (Page 977;#44) Use Lagrangian multipliers to determine maximum of f x,y,z = x + y + z subject to:
x 2 ? y 2 = z,x 2 + z 2 = 4.

2) Sufficient conditions for constraint extrema

For classification of the critical points we need the sufficient condition , as we needed them in case of the free extrema. This
is (theoretically) quite a complex issue. However, practically it is not that complicated.
We shall assume that we already found the critical points and (all) the involved functions have all the partial derivatives we
need them to have in some open set. This is stated in the following theorem (without a proof):

Theorem 12.12: Let f : R n R be twice continuously differentiable on some open ball C N A . Let A be a critical point of
the Lagriangian for a specific value of V A = V A,1 ,...,V A,m , i.e.
4L A,V A = 4fA ? V A 64gA
and:
A 5 S R n : x 5 S gx = g 1 x,...,g m x = 0
and let gx be continuously twice differentiable at C N A . The second differential form:
d 2 L x,V A

= >>

= H dx 1 ,...,dx n

i=1 j=1

Then we solve the system (of linear) equations:

>

/g k A

? > V A,k

/x i /x j

k=1

/2gk A
/x i /x k

dx i dx j .

dx i = 0, for: k = 1,...,m

/x i

i=1

/2f A

i.e. we express the diferentials: dx l = h l dx m+1 ,...,d n for l = 1,...,m. After that we replace these into the second differential
form: H dx 1 ,...,dx n and we get a reduced quadratic form in dx m+1 ,...,dx n , i.e. dx m+1 ,...,d n H A
dx m+1 ,...,d n t and if
the Hessian H A is:
1. positively definite, A is a local minimum;
2. negatively definite, A is a local maximum;
3. indefinite, A is a saddle point.
V A,1

Example 12.13: We shall finish the examples 12.50 at the already found critical point A =
= 12 ,V A,2 = 1. Then the Lagrangian is:
L x,y,z,V 1 ,V 2 = xy + xz ? V 1 x 2 + y 2 ? 1 ? V 2 xz ? 1
= xy ? 12 x 2 ? 12 y 2 +

L x,y,z, 12 ,1
1 ,1 :
2

with the second differential at A and V A =

?1
d2L

2
2

2
2

, 2, 12 ,1

dx,dy,dz

3
2

1 0

dx

1 ?1 0

dy

dz

0 0

Since at A:
dg A

= 2dx + 2dy = 0

dh A

= 2dx +

2
2

dz = 0

we get:
dx = ? 12 dz,dy =

1 dz.
2

After we replace, the second differential reduces to:

?1
? 12 dz, 12 dz,dz

1 0

? 12 dz

1 ?1 0

1 dz
2

dz

0 0

giving the principle minor: M 1 = ?1 < 0, i.e. a local maximum point.

= ?dz 2

2
2

2
2

, 2, with

Example 12.14: In example 12.40 we looked for the closest point in the _ : ?x ? y + z = 0 to A = 2,1,3 . There we
solved it as a free extreme problem where the function to minimize was the square of the distance
f x,y,z = x ? 2 2 + y ? 1 2 + z ? 3 2 and we calculated one of the coordinates, e.g. z, from the plane equation. Now we
use the Lagrangian:
L x,y,z,V = x ? 2 2 + y ? 1 2 + z ? 3 2 ? V ?x ? y + z
to find the critical points:
x+y?z
4L x,y,z,V

2x ? 4 + V

2y ? 2 + V

0
0

2z ? 6 ? V

and get the critical point: B = 2,1,3 = A with V = 0. It is logical, as it often is, that this must me the closest point. However,
here we want to exercise the sufficient conditions using the second differential:
d 2 L 2,1,3,0

dx,dy,dz

2 0 0

dx

0 2 0

dy

0 0 2

dz

From the constraint:

?x ? y + z = 0 ?dx ? dy + dz = 0 dz = dx + dy
and therefore the above second differential reduces to:
2 0 0

dx

0 2 0

dy

0 0 2

dx + dy

dx,dy,dx + dy

dx,dy

Since the principal minors: M 1 = 4 > 0, M 2 = det

4 2

4 2

dx

2 4

dy

= 12 > 0, a positively definite and therefore giving a local (in this

2 4
case also absolute) minimum point.

Exercise 12.15: Identify all critical points of f x,y,z = xyz subject to: g x,y,z = x + y + z = 5 &
h x,y,z = xy + xz + yz = 8.
1. We create the Lagrangian:
L x,y,z,V,W = xyz ? V x + y + z ? 5 ? W xy + xz + yz ? 8 .
2. Then we use the necessary conditions:

4L x,y,z,V,W

?xy ? xz ? yz + 8

yz ? V ? W y + z =

xz ? V ? W x + z

xy ? V ? W x + y

?x ? y ? z + 5

3. Then we find all solutions:

a. For: V = ? 169 ,W = 43 : A =

7, 4, 4
3 3 3

,B =

and C =

4, 4, 7
3 3 3

4, 7, 4
3 3 3

with second differential form:

0 z?
2

d L x,y,z,?

16 , 4
9 3

dx,dy,dz

4
3

? 43 + y

dx

4
3

x?

4
3

dy

? 43 + y x ?

4
3

dz

z?

b. For: V = ?4,W = 2 : D = 1,2,2 , E = 2,1,2

and F = 2,2,1 .

with second differential form:

0 z ? 2 ?2 + y
d 2 L x,y,z,? 169 , 43

dx,dy,dz

z?2

dx

x?2

dy

?2 + y x ? 2

dz

4. From the constrants g x,y,z = 5, h x,y,z = 8 we get at:

a. For:V = ? 169 ,W = 43 we get at:
i. A =

7, 4, 4
3 3 3

dx + dy + dz = 0

8 dx
3

therefore: 0,?dz,dz

ii. B =

4, 4, 7
3 3 3

11 dy
3

11 dz
3

dx = 0,dy = ?dz, and

=0

0 0 0

0 0 1

?dz

0 1 0

dz
0 1 0

dx + dy + dz = 0

11 dx
3

11 dy
3

= ?2dz 2

dz = 0,dy = ?dx, and therefore: ?dy,dy,0

+ 83 dz = 0

1 0 0
0 0 0

?dy
dy

= ?2dy 2

0
iii. C =

4, 7, 4
3 3 3

dx + dy + dz = 0

11 dx
3

therefore: ?dz,0,dz

+ 83 dy +

11 dz
3

=0

0 0 1

?dz

0 0 0

1 0 0

dz

dy = 0,dx = ?dz, and

= ?2dz 2

i.e. at these points we get the local maxima with common value: f max =

112 .
27

b. For:V = ?4,W = 2 we get at:

i. D = 1,2,2 :

dx + dy + dz = 0
4dx + 3dy + 3dz = 0

dx = 0,dy = ?dz, and therefore: 0,?dz,dz

0 ?1

0 ?1

0
?dz

= 2dz 2

dz

ii. E = 2,1,2 :

dx + dy + dz = 0
3dx + 4dy + 3dz = 0

?dz
0
dz

= 2dz 2

0 0 ?1
dy = 0,dx = ?dz, and therefore: ?dz,0,dz

0 0

?1 0

iii. F = 2,2,1 :

dx + dy + dz = 0
3dx + 3dy + 4dz = 0

0 ?1 0
dz = 0,dy = ?dx, and therefore: dx,?dx,0

dx
?dx

= 2dx 2

0
i.e. at these points we get the local minima with common value: f min = 4.

?1

0 0

0 0