Chapter 3: Partial derivatives
Lecture 4
Lagrange Multipliers
Lagrange Multipliers: Problem
Q: Find extreme values of a function f(x,y,z) subject to the constraint
g(x,y,z)=k
Recall
Gradient vector is perpendicular to the tangent plane to the
surface 𝑆: 𝐹 𝑥, 𝑦, 𝑧 = 𝑘
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Lagrange Multipliers: Derivation
Maximize (or minimize) f(x,y) subject to the constraint g(x,y)=k
Find largest value c such that level
curve f(x,y)=c intersects g(x,y)=k.
These curves touch each other and so
they have a common tangent line.
Thus, they have the same normal line at this point: ∇f(a,b)= ∇g(a,b)
For functions of three variables, the two level surfaces have the
same normal vector: ∇f(a,b,c)= ∇g(a,b,c)
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𝑆: 𝑔 𝑥, 𝑦, 𝑧 = 𝑘
𝑓 ℎ𝑎𝑠 𝑎𝑛 𝑒𝑥𝑡𝑟𝑒𝑚𝑒 𝑣𝑎𝑙𝑢𝑒 𝑎𝑡 𝑃(𝑎, 𝑏, 𝑐)
𝐶: 𝑟 𝑡 =< 𝑥 𝑡 , 𝑦 𝑡 , 𝑧 𝑡 > 𝑙𝑖𝑒𝑠 𝑜𝑛 𝑆 𝑎𝑛𝑑 𝑝𝑎𝑠𝑠𝑒𝑠 𝑡ℎ𝑟𝑜𝑢𝑔ℎ 𝑃
𝑟 𝑡0 =< 𝑎, 𝑏, 𝑐 >
ℎ 𝑡 = 𝑓(𝑥 𝑡 , 𝑦 𝑡 , 𝑧 𝑡 )
𝑓 ℎ𝑎𝑠 𝑎𝑛 𝑒𝑥𝑡𝑟𝑒𝑚𝑒 𝑣𝑎𝑙𝑢𝑒 𝑎𝑡 (𝑎, 𝑏, 𝑐)
0 = ℎ′ 𝑡0 = ∇𝑓 𝑎, 𝑏, 𝑐 . 𝑟′ 𝑡0
∇𝑓 𝑎, 𝑏, 𝑐 ⊥ 𝑟′ 𝑡0
∇𝑔 𝑎, 𝑏, 𝑐 ⊥ 𝑟′ 𝑡0 , for any C
∇f(a,b,c)= ∇g(a,b,c)
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Method of Lagrange Multipliers for
Constraint Optimization Problems
Problem: Find the maximum and minimum values of f(x,y,z)
subject to the constraint g(x,y,z) = k, where k is a constant
(a) Find all values of x, y, z, and such that
f(x,y,z) = g(x,y,z)
and
g(x,y,z) = k
(b) Evaluate f at all points found in step (a):
the largest value is maximum, the smallest is minimum
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Remarks
If we write the vector equation
∇f(x,y,z)= ∇g(x,y,z)
in terms of its components, then the equations in step (a)
become
f x ( x, y, z ) = g x ( x, y, z ), f y ( x, y , z ) = g y ( x, y , z )
f z ( x, y, z ) = g z ( x, y, z ), g ( x, y , z ) = k
This is a system of four equations in the four
unknowns x, y, z, and , but it is not necessary
to find explicit values for .
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Functions of two variables
The method of Lagrange multipliers is
similar to the method just described.
To find the maximum and minimum values
of f(x,y) subject to the constraint g(x,y)=k we
look for values of x, y and such that
∇f(x,y)= ∇g(x,y) and g(x,y)=k
This gives three equations in three unknowns:
f x ( x, y) = g x ( x, y), f y ( x, y) = g y ( x, y), g ( x, y) = k
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Example
The profit from the sale of x units of radiators
for automobiles and y units of radiators for
generators is given by
f(x,y)= -x2 – y2 + 4x + 8y
Find values of x and y that lead to a maximum
profit if the firm must produce a total of 6 units
of radiators.
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Solution
f(x,y)= -x2 – y2 + 4x + 8y
Set g(x,y)=x+y=6
Method of Lagrange multipliers yields:
f x ( x, y ) = −2 x + 4 = g x ( x, y ) =
f y ( x, y ) = −2 y + 8 = g y ( x, y ) = So,this must be
the maximum
2( x − y ) + 4 = 0 x − y = −2 value
g ( x, y ) = x + y = 6
Verify: 𝑓 2,4 = 20 > 𝑓 3,3 = 12
x = 2, y = 4
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Method of Lagrange Multipliers:
Problems with Two Constraints
Problem: Find the maximum and minimum values of f(x,y,z)
subject to two constraints: g(x,y,z) = k and h(x,y,z) = c
(a) Find all values of x, y, z, and such that
f(x,y,z) = g(x,y,z) + h(x,y,z)
and
g(x,y,z) = k, h(x,y,z) = c
(b) Evaluate f at all points found in step (a):
the largest value is maximum, the smallest is minimum
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Example:
Find extreme values of
f(x,y,z) = x+2y,
subject to constraints
g(x,y,z)=x+y+z = 1
h(x,y,z)= y2 + z2 = 4
(Figure shows the two
constraints)
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f ( x, y, z ) = x + 2 y f ( x, y, z ) = 1, 2, 0
g ( x, y, z ) = x + y + z g ( x, y, z ) = 1,1,1
h( x, y, z ) = y 2 + z 2 h( x, y, z ) = 0, 2 y, 2 z
f = g + h
1, 2, 0 = 1,1,1 + 0, 2 y, 2 z = , + 2 y, + 2 z
1 = , 2 = + 2 y, 0 = + 2 z
1 = 2 y , − 1 = 2 z −1 = y / z z = − y
g ( x, y, z ) = x + y + z = 1, h ( x, y , z ) = y 2 + z 2 = 4
x = 1, 2 y 2 = 4, y = 2 = − z
f (1, 2, − 2) = 1 + 2 2, f (1, − 2, 2) = 1 − 2 2
max g =1,h = 4 f = f (1, 2, − 2) = 1 + 2 2
12 min g =1,h = 4 f = f (1, − 2, 2) = 1 − 2 2
Remark
Sometimes, the unconstraint and constraint optimization
problems come together
Example: Find the extreme values of f ( x, y) = e− xy
on the region D described by the inequality D : x 2 + 4 y 2 1
Solution:
1. Evaluate values of f at critical points inside D : x + 4y 1
2 2
2. Find max, min f subject to constraint
x2 + 4 y 2 = 1
3. Compare values of f from 1) & 2) D
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Exercises
1. Let f ( x, y ) = (2 x − y )(1 − 2 xy )
a) Find the local maximum and local minimum
values and saddle point(s) of f
b) Find absolute maximum and minimum values of f
on the triangular region with the vertices (0,4),
(-8,0) and (4,0).
2. Using Lagrange Multipliers method, find the
maximum volume of a rectangular box whose
surface area is 1800cm2 and whose total edge
length is 240cm.
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