For questions on Lagrange multipliers, a strategy to solve constrained optimisation problems.

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1answer
16 views

Local extrema in special directions

I am looking for the extrema of a function $G(y_1,y_2,y_3,y_4)$ subject to the constraint $y_1 = y_4 + y_2y_3.$ We know that $G$ is defined if $(y_2,y_3,y_4)$ is in the cylinder $\mathbb{D} \times ...
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1answer
17 views

Lagrange multiplier derivative condition

For the Lagrangian $\mathcal{L}(\mathbf{x}, \lambda) = f(\mathbf{x}) + \lambda g(\mathbf{x})$, I read that $\partial\mathcal{L}/\partial\lambda$ must equal $0$. Could someone please explain why?
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4answers
86 views

Minimization on compact region

I need to solve the minimization problem $$\begin{matrix} \min & x^2 + 2y^2 + 3z^2 \\ subject\;to & x^2 + y^2 + z^2 =1\\ \; & x+y+z=0 \end{matrix}$$ I was trying to verify the first ...
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0answers
43 views

Confusion over Lagrangian function

When forming the Lagrangian of an optimization problem, why don't we include all constraints in the Lagrangian? For example, the optimization problem $$ \begin{align} \max_{x}&\quad f(x)\\ ...
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1answer
39 views

Minimization involving equality constraints

I am trying to find closed form solution to following problem \begin{equation} \begin{array}{c} \underset{\mathbf{x},\mathbf{y}}{\text{minimize}} \hspace{4mm} \big(\left( \mathbf{y}^T ...
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2answers
56 views

Calculus,Lagrange Multipliers

Can anybody help me with the following question, Use the method of Lagrange multipliers to find $\max$ and $\min$ values for $f(x,y,z)=x^2+y^2+z^2$ subject to the constraint $4x^2 + y^2 + 9z^2=36$. ...
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0answers
23 views

Lagrange multipliers, once I use the constraint equation, do I have to worry about it again later?

I am solving $ grad [f(x,y,z)]$ = $\lambda$grad[g(x,y,z)] I have then three equations, one involving x's and lambdas, another involving y's and lambdas and a third involving z's and lambdas. I then ...
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1answer
22 views

For given mean $\mu$ of random variable X in [0,1], what is the probability distribution function $p(X)$ that makes $VAR(X)$ maximum?

Given the conditions $\int_{0}^{1} p(x)dx=1$, $\int_{0}^{1} xp(x)dx=\mu$ and $p(x)\ge0$ for $\forall x \in [0,1]$, What probability distribution function $p(x)$ makes $Var(X)$=$\int_{0}^{1} ...
2
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2answers
61 views

Optimal String Shape Problem

So here is the problem I am working on, Given a curve of length L connecting the points (0,1) and (1,0) find an expression for the equation of the curve that minimizes the area underneath it. In ...
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1answer
76 views

Optimization: KKT conditions statement

I'm currently following this material Optimization Theory: Chapter 2 Theory of Constrained Optimization And I can't understand why the following statement is true, between the equations (2.9) and ...
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1answer
58 views

To find the Maximum and minimum value of f over square

Given function $f = (x+y)^2 - (x+y) +1$ .I have to find maximum and value of $f$ over square with unit side in first octant in xy-plane. I calculated $f_x $ and $f_y $ both came out to be ...
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2answers
25 views

Optimization problem: smallest euclidean distance with positive entries constraints

Suppose there is the simple function: \begin{align} f(x,y,z) &= (x-a)^2 + (y-b)^2 + (z-c)^2 + (x+y-S-z - d)^2 \end{align} where $a,b,c,d$ are nonnegative constants, and $S$ is an integer. I ...
2
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0answers
21 views

How to use find the Lagrange Multipliers in multidimensional Calculus of Variations

Suppose I wish to minimise the integral $$I = \int_{s_0}^{s_1}\int_{t_0}^{t_1}F\, dt ds$$ Where $F$ is a function of the six variables $x(s,t)$, $y(s,t)$, and their four partial derivatives, ie $$F ...
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1answer
43 views

Lagrange multipliers problem with two constraints

Hi guys I am working with the following polynomial and I am trying to find the $\lambda , \mu$. I have a polynomial and I am trying to do Lagrange multipliers. Here is what I have. $f(x,y,z)= a ...
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2answers
65 views

Lagrange multipliers problem

I have a two variables function: $f(x,y)=3x+y$ and I wish to find its minimum and maximum values with the constraint $\sqrt{x} +\sqrt{y} =4$. According to the answer, there is a minimum and a maximum. ...
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4answers
34 views

Closest point to $(2,0)$ on with a hyperbola as a constraint

I'm looking to find a point on the hyperbola $y^{2}-x^{2}=4$ which is closest to $(2,0)$. As far as I know I need to find the distance formula and use lagrange multipliers.
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1answer
37 views

Finding min and max under constraints

I have a two variable function: $f(x,y)=4x^2-y^2-xy-2x+6y$. I need to find its absolute minimum and maximum under the constraints: $y=4-2x$, $x \geq 0$, and $y \geq-2$. I am not sure how to do it, ...
0
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1answer
41 views

Gradient of a Lagrange dual function

Consider: $$\min_{x \in \mathbb{R}^n} f(x)$$ $$\ \ \ \ \ \ \ \text{s.t. }\ h(x) \leq 0$$ Lagrangian:$\ \ \ L(x,\lambda) = f(x) + \lambda h(x)$ Suppose $x^* = \arg\min_{x} L(x,\lambda)$ ...
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0answers
19 views

Taking the partial derivative of a Lagrangian with square roots

I have a nasty function that is simplified from an even nastier function: $F(x,y,z,\lambda) = \frac{-0.0129x-0.0051y-0.0066z}{\sqrt{.44^2x^2 + .15^2y^2 + .44^2z^2 + 0.05808xy + .139392xz - ...
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0answers
15 views

Lagrangian multiplier vectorial form

When i have this problem: $min f(x)$ $h{_i}(x)=0, i=1,\dots,m$ $g{_j}(x)<=0, j=1,\dots,p$ I can use the Lagrangian multiplier to write function in: $L(x,\lambda,\mu)=f(x)+\sum_{i=1}^{m} ...
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2answers
64 views

Lagrange multiplier optimizing a 3-D ellipse with respect to the origin

I cannot solve this question: The plane $x+y+2z=2$ intersects the paraboloid $z=x^2+y^2$ in an ellipse. Find the points on this ellipse that are nearest to and farthest from the origin. My ...
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0answers
19 views

How to obtain the optimal lagrange multiplier vectors if the globally optimal solution for a nonconvex QCQP is found.?

I am using a blackbox solver to solve the following nonconvex QCQP to global optimality. $$ \min_x x^TQ_0x + c^T x \\ s.t. \quad x^TQ_1x+c_1^Tx=b_1 \\ Ax=b \\ l\leq x\leq u $$ where $Q_0$ is ...
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4answers
22 views

extrema with constraints (lagrange?)

I'd like to find the point of $E: 2x+3y+z = 14$ which has the smallest distance to the point of origin (0,0,0). I think I have $ d(x,y,z) = \sqrt{x^2+y^2+z^2}$ with constraint $2x+3y+z = 14$. What ...
2
votes
1answer
17 views

Lagrange Multiplier - equation system

I'm trying to get the extrema of a function $x + y²$ with a constraint $2x² + y² = 1$ using Lagrange multipliers. The Lagrange function is $x + y² + \lambda (2x² + y² - 1)$. I have three partial ...
3
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3answers
57 views

find extreme values of $\cos(x)+\cos(y)+\cos(z)$ when $x+y+z=\pi$

How can I find the maximum and minimum of $\cos(x)+\cos(y)+\cos(z)$ if $x,y,z\geq0$ such that they are vertices of a triangle with $x+y+z=\pi$. I don't know how to start, but I feel like the Lagrange ...
2
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0answers
19 views

Solving a nonlinear constrained optimization involving CDF and expectation of normal distribution

I would like to know if it is possible to solve the following nonlinear constrained optimization problem and find how the optimal solution varies with $C$ and $\beta$: $\max_{x,y}\beta ...
2
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3answers
409 views

How to determine whether critical points (of the lagrangian function) are minima or maxima? [duplicate]

$f(x,y) = 2x+y$ subject to $g(x,y)=x^2+y^2-1=0$. The Lagrangian function is given by $$ \mathcal{L}(x,y,\lambda)=2x+y+\lambda(x^2+y^2-1), $$ with corresponding $$ \nabla \mathcal{L}(x,y,\lambda)= ...
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0answers
28 views

Find the extremas of the fuction $f$

I have to find the extremas of $f(x, y)=3x+2y$ subject to $2x^2+3y^2 \leq 3$. Since the region $2x^2+3y^2 \leq 3$ is closed, $f$ has a maximum and a minimum, which is either at the boundary or at ...
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2answers
35 views

Find the maximum and minimum of the function $f$

Find the maximum and minimum of $f(x, y)=xy-y+x-1$ at the set $x^2+y^2\leq 2$. I have done the following: Since the region $x^2+y^2\leq 2$ is closed, $f$ has a maximum and a minimum, which is ...
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1answer
45 views

Theorem of Lagrange multipliers - Extremas of $f$

I have to find the extremas of $f(x, y, z)=x+y+z$ subject to $x^2-y^2=1$, $2x+z=1$. I have done the following: We will use the theorem of Lagrange multipliers. The constraints are ...
0
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1answer
12 views

Minimizing constrained functions on $l^p$

Suppose we have some functionals $H,G:l^p(\mathbb{N}^+)\to\mathbb{R}$, and we want to find some $p \in l^p(\mathbb{N^+})$ which minimize $H$, subject to the constraint that $G(p)=0$ is constant. As ...
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0answers
86 views

Change of Lagrange Multipliers in terms of constraint

I have the following issue in solving an economics problem. Obviously I am aware that the question could be completely idiotic or on the other hand completely obvious. But I am having a brain block. ...
1
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1answer
21 views

Help with Lagrange multipliers on an intresting function

Hi guys I am trying to do Lagrange multipliers to figure out $\lambda$ $$F=a \log(x^2-y)+b\log(x^3-z)-\lambda (x^2-y+x^3-z -1)$$ Where a and b are constants and we have the constraint $x^2-y+x^3-z ...
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2answers
32 views

Lagrange Multiplier Method On Linear Equation Set

I am trying to perform a Lagrange constraint problem for a simple set of linear equations (I realize this can be solved by substitution) but I'm curious why/how the Lagrange method is failing and I'm ...
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1answer
89 views

How to minimize the expectation?

Given random variables $X_0, X_1, \ldots, X_n$ with finite expectations $m_0, m_1, \ldots, m_n$ I want to prove that the numbers $a_i = \frac{\det \Lambda_{i0}}{{\det \Lambda_{00}}}$ minimise the ...
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1answer
120 views

are elementary symmetric polynomials concave on probability distributions?

Let $S_{n,k}=\sum_{S\subset[n],|S|=k}\prod_{i\in S} x_i$ be the elementary symmetric polynomial of degree $k$ on $n$ variables. Consider this polynomial as a function, in particular a function on ...
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1answer
76 views

Is there any way to make the following function convex?

I need to find optimal lagrangian multiplier vectors for a quadratic programming problem subject to three quadratic equality constraints and several other linear inequality constraints. I would like ...
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1answer
42 views

How can we continue to get the critical points?

A service requires the dimensions of a rectangle box are such that the length plus twice the width plus twice the height do not exceed $274cm$ ($l+2w+2h \leq 274$). What is the maximum volume of the ...
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4answers
49 views

Which function do we want to minimize?

A ray of light travels from the point $A$ to the point $B$ across the border between two materials. At the first material the speed is $v_1$ and at the second it is $v_2$. Show that the journey is ...
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2answers
41 views

prove using Lagrange multipliers that for $x,y>0,\space n\in \mathbb N,\space (\frac{x+y}2)^n \leq \frac{x^n+y^n}2 $

I have been asked to prove using Lagrange multipliers that for \begin{equation*} \space (\frac{x+y}2)^n \leq \frac{x^n+y^n}2,~x,y>0,~n\in \mathbb {N} \end{equation*} I am familiar with the ...
2
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1answer
34 views

Lagrange multipliers method - absolute maximum and minimum

Using the Lagrange multipliers method I have to find the absolute maximum and minimum value of $f(x, y)=x^2+y^2-x-y+1$ in the unit disc. So, I have to find the extremas of $f(x, y)=x^2+y^2-x-y+1$ ...
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1answer
38 views

Do we have to use the Lagrange multipliers method? [closed]

Draw a cylindrical container (with a lid), so as to contain $1$ liter of water, using a minimal amount of metal. Could you give me some hints how we could do that?? Do we have to use the Lagrange ...
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1answer
24 views

Applying the theorem of Lagrange multipliers

I have to fund the extremas of $f$ subject to the contraints, that are given: $$fx, y)=x-y, x^2-y^2=2$$ I have done the following: We use the theorem of Lagrange multipliers. The constraint is ...
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3answers
62 views

ADMM formalization

I found lots of examples of ADMM formalization of equality constraint problems (all with single constraint). I am wondering how to generalize it for multiple constraints with mix of equality and ...
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1answer
33 views

Potential energy of a hanging string of a prescribed length

Consider a homogeneous, flexible string of a prescribed length hanging in a vertical plane where its ends are fixed at two points P and Q. Determine the equilibrium configuration of the string by ...
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vote
1answer
35 views

How can I go about solving this group of equations in as simple a way as possible?

They arise from partial derivatives of the Lagrange multiplier function. Here below is the original problem: Goal function: $$f(x,y,z)=\frac{x^2}{a^2}+\frac{y^2}{b^2}+\frac{z^2}{c^2} $$ with ...
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2answers
28 views

optimization on two “max” function

Anyone knows how to use lagrange multiplier (or KKT conditions) to minimize an objective function such as $L(\beta,\beta_0)=\sum_{i=1}^n[a_i(1-y_if(x_i))_++b_i(1+y_if(x_i))_+$] where $a_i$, $b_i$ ...
0
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0answers
26 views

Lagrange Multipliers-higher dimensional

I'm studying for an exam and am trying to work out this example. Use Lagrange Multipliers to find the maximum value of $(xv-yu)^2$ subject to the constraints $x^2+y^2=a^2$ and $u^2+v^2=b^2$. My ...
0
votes
0answers
43 views

Karush-Kuhn-Tucker conditions for non-linear optimalization

I have the following problem: solve the local conditions (KKT) and find ALL optimal solutions: $$\min f(x,y)$$ subject to $$g(x,y)\le 0$$ $$x\geq0, y\in\mathbb{R}$$ I have some questions to this ...