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Introduction
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saddle point
http://www.math.okstate.edu/~yq
wang/teaching/math4553_spring
09/demo/minmax1.png
maximum
Stationary
Points
inflection
minimum
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:
(gi bi)
dL/dX1 = 0
dL/dX2 = 0
:
:
dL/dXn = 0
dL/d1 = 0
dL/d2 = 0
:
:
dL/dm = 0
(gi bi)
It is now a + instead of a .
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
(1)
dL/dY = 2Y 1 = 0
(2)
dL/d1 = X Y + 4 = 0
(3)
dL/d2 = X = 0
(4)
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.
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.
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
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
(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
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
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.
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
Eqn (8): X = 0
Eqn (9): Y = 10
This gives the fourth stationary point, but this
point is infeasible since it violates Eqn (7).
Y <= 1 0
4
8
X >= 0
6
3
4
Z = 20
Z = 15
Z = 8.4
1
0
-6
-4
-2
0
X
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.