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You are on page 1of 23

Introduction

*

*

them is the global optimum.

problems with equality constraints.

have to be converted to equality constraints first.

function.

saddle point

http://www.math.okstate.edu/~yq

wang/teaching/math4553_spring

09/demo/minmax1.png

maximum

Stationary

Points

inflection

minimum

Max Z = F(X1, X2, X3, , Xn)

s.t.

g1(X1,

g2(X1,

g3(X1,

:

:

gm(X1,

X2, X3, , Xn) = b2

X2, X3, , Xn) = b3

multipliers, the objective function,

F and constraints, g1 to gm should

be continuous and differentiable.

The problem should also be

bounded, i.e., the optimal value

of Z should not be infinity or

negative infinity.

By definition, b1 to bm are

constants.

Why are these conditions

necessary?

The Lagrangian

The first step is to convert the problem from a constrained one

to an unconstrained one.

This is done by multiplying each constraint with a Lagrange

multiplier, i and subtracting the result of that from the objective

function.

The modified objective function is called the Lagrangian. For a

maximization problem:

L=F

(gi bi)

thought of as the unit penalty incurred

when that constraint is violated.

Stationary points of the Lagrangian, L can now be determined

by setting the following n + m partial derivatives to zero.

dL/dX1 = 0

dL/dX2 = 0

:

:

dL/dXn = 0

dL/d1 = 0

dL/d2 = 0

:

:

dL/dm = 0

variables that are introduced with the construction of the Lagrangian.

Solving the partial derivatives as a series of simultaneous

equations gives a set of stationary points.

Each stationary point refers to a unique combination X1,

X2, , Xn and 1, 2, , n values.

One or more of the stationary points may be infeasible, i.e.,

they are in violation of at least one constraint.

Once determined, those that are feasible are compared and

the one giving the maximum objective function value is the

global optimum.

For minimization problems, the procedure is the same

except that the Lagrangian, L is defined as:

L = F + 1(g1 b1) + 2(g2 b2) + + m(gm bm)

L=F+

(gi bi)

It is now a + instead of a .

the least (instead of the maximum) objective function value.

Does it really matter whether we define L with negatives

or positives in front of the i?

Consider the following constrained optimization problem:

MAX Z = X3 4X + Y2 + 5

s.t.

X+Y=4

X=0

To apply the method of Lagrange multipliers, modify the objective

function to the following to convert the problem from a constrained

problem to an unconstrained problem.

L = X3 4X + Y2 + 5 1 (X + Y 4) 2 X

To find the stationary points of L:

dL/dX = 3X2 4 1 - 2 = 0

(1)

dL/dY = 2Y 1 = 0

(2)

dL/d1 = X Y + 4 = 0

(3)

dL/d2 = X = 0

(4)

Substituting (4) into (3) gives:

X = 0, Y = 4

Substituting that into (2) gives:

1 = 8

And that with X and Y into (1) gives:

2 = -12

Because of the equality constraints, it so happens that this

particular problem has just one stationary point. Therefore, there

is no need for a comparison of stationary points to be done, and

the stationary point identified is the optimum.

Interpretation of Lagrange multipliers, 1 = 8 and 2 = -12

Principle 1:

When the Lagrange multiplier associated with a constraint is non-zero, it means the

constraint is binding. And when the multiplier is zero, it means the constraint is nonbinding. Both 1 and 2 are non-zero. Therefore, both constraints are binding.

Principle 2:

increase, and for a minimization problem, a decrease.

The Lagrange multiplier represents the improvement in the objective function, Z with

respect to a change in the RHS of the corresponding constraint.

1 = 8 means that if the RHS of the first constraint were to be increased by 1 unit,

the objective function value at optimum will increase (since this is a maximization

problem) by 8 units.

2 = -12 means that if the RHS of the second constraint were to be increased by a 1

unit, the objective function value at optimum will decrease by 12 units.

Interpretation of Lagrange multipliers, 1 = 8 and 2 = -12

Let us test out Principle 2 by solving and resolving the problem for different values of the RHS

of the constraints. To save time, we will use Solver in Excel.

Constraint 1, 1 = 8

RHS of Constraint

Change in RHS

Objective, Z

Change in Z

Z / RHS

Change in RHS

Objective, Z

Change in Z

Z / RHS

Constraint 2, 2 = -12

RHS of Constraint

Does it make sense now why it

is important how the signs in

front of the Lagrangian

multipliers in the

Lagrangian, L are defined

depending on whether the

problem is a maximization or

minimization problem?

Consider the following constrained optimization problem:

MIN Z = X3 4X + Y2 + 5

s.t.

X + Y = 4

X >= 0

Y <= 10

To apply the method of Lagrange multipliers, the constraints are first converted to equality

constraints. To do that, slack and surplus variables are added at appropriate places.

X + Y = 4

X >= 0

---> X S12 = 0

Y <= 10 ---> Y + S22 = 10

L = X3 4X + Y2 + 5 + 1(X + Y 4) + 2(X S12) + 3(Y + S22 10)

To find the stationary points of the Lagrangian:

dL / dX = 3X2 4 + 1 + 2 = 0

(5)

dL / dY = 2Y + 1 + 3 = 0

(6)

dL / d1 = X + Y 4 = 0

(7)

dL / d2 = X S12 = 0

(8)

dL / d3 = Y + S22 10 = 0

(9)

dL / dS1 = 2 2 S1 = 0

--->

2 = 0 or S1 = 0

dL / dS2 = 2 3 S2 = 0

--->

3 = 0 or S2 = 0

Possible solution 1: 2 = 0 and 3 = 0

Eqn (6): 1 = 2Y

Eqn (5): 3X2 4 2Y = 0 . (10)

Eqn (10) + 2 Eqn (7):

--->

--->

3X2 + 2X 12 = 0

X = 1.694 or X = 2.361

--->

--->

--->

--->

X = 1.694, Y = 2.306

1 = 4.612, 2 = 0, 3 = 0

S12 = 1.694, S22 = 7.694

Z = 8.403

Possible solution 2: 2 = 0 and S2 = 0

Eqn (9): Y = 10

Eqn (7): X = 6

Eqn (8): S12 = 6

This gives the second stationary point, but

this point is infeasible since S12 is negative.

Possible solution 3: S1 = 0 and 3 = 0

Eqn (8): X = 0

Eqn (7): Y = 4

This gives the third stationary point:

--->

X = 0, Y = 4

--->

1 = 8, 2 = 12, 3 = 0

--->

S12 = 0, S22 = 6

--->

Z = 21

Possible solution 4: S1 = 0 and S2 = 0

Eqn (8): X = 0

Eqn (9): Y = 10

This gives the fourth stationary point, but this

point is infeasible since it violates Eqn (7).

10

Y <= 1 0

stationary points.

Before going further,

let us have a graphical

look at where those

stationary points lie.

What pattern do you

observe?

4

8

X >= 0

6

3

4

Z = 20

Z = 15

Z = 8.4

1

0

-6

-4

-2

0

X

stationary points,

which is the optimum?

Which constraints are

binding or nonbinding? Graphically?

From the Lagrange

multipliers? From the

slack and surplus

variables?

Interpretation of Lagrange multipliers, 1 = 4.612, 2 = 0, 3 = 0

As before, let us test the Lagrange multipliers by solving the problem multiple times for

different values of the RHS of the constraints.

RHS of Constraint

Change in RHS

Constraint 1, 1 = 4.612

Constraint 2, 2 = 0

Constraint 3, 3 = 0

Objective, Z

Change in Z

Z / RHS

In-Class Exercise

There are two polluters, the first discharging R1 kg of

waste into the atmosphere everyday and the second R2 kg

of waste. The profits of the polluters increase with R1

and R2:

Profit of polluter 1 (million $) = 10 R12

Profit of polluter 2 (million $) = 5 R22

Use the method of Lagrange multipliers to find the

values of R1 and R2 that give the maximum total profit.

Note that regulations restrict the sum of R1 and R2 to be

no greater than 5 kg.

Based on your results, estimate the increase in profit

you would expect if the restriction on the sum of R1 and

R2 were to be made less strict and increased by 0.1 kg.

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