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

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Lagrange multipliers in Calculus of Variations

I am trying to learn about Calculus of Variations and I am beginning to see some constrained optimization problems in the domain of functionals, by using Lagrange multipliers. It seems that things ...
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98 views

Can Lagrange multipliers be used to give a good bound on the number of critical points?

I will explain my problem by illustrating a simple case. Easy question: Let $f(x,y)$ be a "generic" polynomial in two variables, of total degree $\le D$. What's a good upper bound for how many ...
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29 views

How to use the Karush–Kuhn–Tucker conditions?

From what I read, the Karush-Kuhn-Tucker conditions are a generalization of the Lagrange Multiplier Method. For the Lagrange Multiplier Method I have been able to find a serie of steps I must do to ...
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37 views

Lagrange Multipliers Dilemma

In the problem $f(x,y) = xy$ and $g(x, y) = x^2 + 9y^2 = 18$ I get $y = 2λx$, $x = 18λy$ and $x^2 + 9y^2 = 18$ (the constraint). All is fine, but I feel like I'll get two different answers ...
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167 views

Lagrange multipliers in the context of the calculus of variations

Suppose we wanted to extremise the function (of a finite number of variables) $f$ subject to the constraint $g = 0$. The Lagrange multiplier approach is to extremise without constraint the function ...
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191 views

Calculus of variations: Isoperimetric and holonomic constraints.

A functional $$J(y)=\int_a^b F\left(x,y(x)\right)dx, \tag{1}$$ subject to an isoperimetric constraint $$\int_a^b K(x,y)dx=l, \tag{2}$$ and a holonomic constraint $$g(x,y)=0. \tag{3}$$ Most ...
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1k views

Optimization with symmetric matrix constraint

Consider the following optimization problem: ''Minimize some objective $f(A)$ over all matrices $A$ s.t. $A \mathbf{1} = \mathbf{1}$ and $A = A^T$.'' I wonder in which ways one can handle the ...
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25 views

Pattern of collision of bouncy balls in a sphere?

Suppose that you have two infinitely bouncy golf balls that exist inside a perfect sphere in weightless suspension, and both golf balls start bouncing at a random angle and are 10 or 100 times ...
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optimal derivative position through optimization

So I have the following optimization problem: min. $-E^Q[u(h(x))]$ s.t $\int h(x)q(x)dx \leq \frac{V_0}{B_0}$ Where $Q$ is the subjective probability which then gives: $E^Q[u(h(x))]=\int ...
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47 views

Distance between point and a parabola using Lagrange multiples

I am trying to find the distance between the point $(p, 4p)$ and the parabola $y^{2} = 2px$, where $p$ is a fixed positive parameter. So far, I have got ...
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55 views

Optimizing over an infinite set of variables

This may be a very basic question, but it's been a while since I did any optimization. Suppose I have a sequence $(x_i)$, $i=1,2,\ldots$ in the $\ell^2$ space and the following optimization problem: ...
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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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41 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 ...
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66 views

Lagrange multiplier over two constraints

I'm having two constraints $g_{1}$=$x+y-z+2=0$ and $g_{2}$=$z^{2}-x^{2}-y^{2}=0$ and I want to determine the point on the intersection which is closest to the origin. The question asks us to use ...
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Lagrange Multipliers for linear functionals

Say I have a Banach-space $X$ and linear (!) functionals $f,g$, and I'm trying to solve the constrained optimization problem $$\max~f(x)\quad \mbox{s.t.}~g(x)= 0,~\Vert x\Vert\le 1.$$ Suppose I can ...
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77 views

Dual Decomposition with multiple coupling constraints

This is probably a a simple question, but have been stuck on this for a while and unable to figure out my issue from the standard Boyd/Vandhenbergen decomposition references. I am interested in dual ...
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133 views

Find the critical curves for the following functional

Find the critical curves for the following functional : $$J[y(x),z(x)]=\int_{0}^{1}(y'^2+z'^2-xyz'-yz)dx$$ With the conditions : $$K[y(x),z(x)]=\int_{0}^{1}(y'^2-xy'-z'^2)dx=2$$ $$y(1)=z(1)=1$$ ...
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What is wrong with this parametrization?

I need to find the $N$-by-$1$ vector $\mathbf{x}$ that minimizes the following expression: $L=\alpha |\hat{\mathbf{H}}_{1}\mathbf{x}|^2 +(1-\alpha)|\mathbf{H}_{2}\mathbf{x}-\hat{\mathbf{Y}}_{2}|^2$, ...
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77 views

Non-differentiable variational calculus (Dido's problem)

I wonder what is the alternative to Euler-Lagrange equations when we have non-differentiability issues. I'll give an example: Dido's problem can be stated as: Find the figure bounded by a line ...
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139 views

Maximize and minimize a function using Lagrange multipliers.

I want to maximize and minimize $$h(a,b) = a + b$$ given the constraint $$g(a,b) = a^{\frac{1}{3}}b^{\frac{2}{3}} = l$$ I'm trying to use Lagrange multipliers. Here's what I did: \begin{align} ...
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46 views

Inequality constraints in Lagrangian

I was reading Lagrangian multipliers . In the above text I can't understand why $\lambda \ge 0 $ for $g(x)\ge0$ and vice versa . Can anyone give me the explanation to this ?
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Question about Lagrange multipliers and a basic example

I am trying to understand the Lagrange multipliers from reading the Wikipedia page. Then I tried to apply this to the problem of finding a discrete probability distribution which is the solution of ...
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53 views

Regularized least squares

In Image Restoration, a true image $f$ (in vector form) can be related to degraded data $y$ through a linear model of the form $$y = Hf + n$$ where $H$ is a 2D blurring matrix and $n$ is a noise ...
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168 views

Maximize a function subject to the constraint $x^2+y^2=R^2$

Please help me how to deal with maximization of function $$f(x,y)=1-e^{-\pi x}+e^{\pi x}\left[1-\cos(\pi y)+\sin(\pi y)\right]$$ subject to the constraint $x^2+y^2=R^2$. Using Lagrange ...
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43 views

Position-dependent Lagrange multipliers for functionals

I'm trying to extremise the functional $$ S = \int L(Q_i) \, dx\,dy $$ Where the $Q_i$ are functions of $x$ and $y$, subject to the constraint $$ \vec{\nabla} \cdot \vec{Q} = A(x,y) \,.$$ My ...
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171 views

Lagrange multipliers for matrix calculus problem

I have what is probably an elementary matrix calculus question. Let $P$ be a linear operator and $||\cdot||$ be the ordinary unsquared vector norm. Suppose one wants to minimize $||Px||$ subject to ...
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On a max-min problem from an exam.

I have asked a different question on the same exercise (from an exam) a couple weeks ago, I hope it is acceptable to have a different question on the same exercise, I searched the Meta and it seems ...
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22 views

Find the minimum of $f(x,y,z)=3x+2y+z+5$ subject to the constraint $g(x,y,z)=9x^2+4y-z=0$

Let $ \displaystyle L(x,y,z,\lambda) =(3x+2y+z+5)+\lambda(9x^2+4y-z)$ By using Lagrange Multiplier $L_x=3+18\lambda x=0$ $L_y=2+4\lambda=0$ $L_z=1-\lambda=0$ It implies that $\lambda=1=-2$? How ...
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Minimizing mutual information using Lagrange multipliers

Im trying to follow a minimization of mutual information using Lagrange multipliers in a highly cited paper called The Information Bottleneck Method (1999), page 4: $$R(D) = \min_{p(\tilde{x}|x): ...
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maximum entropy principle: CDF of its PDF

In goodness-of-fit (gof) tests (COD, R2, X2) to discriminate PDFs, we need their CDFs. With wind speed, another PDF is by Maximum Entropy Principle or Method, of the form: $$f(v)=\exp\left\{-a_0 - ...
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Lagrange/KKT multipliers and additional constraints

Any ideas on the following would be much appreciated. I’m interested in how the shadow price of non-renewable resource changes when new constraints are introduced to the problem. So, assume that there ...
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19 views

Lagrange multipliers to find maximum and minimum

Use the method of Lagrange multipliers to find the maximum and minimum values of the function $f(x, y, z) = x - y +z$ on the sphere $x^2 + y^2 +z^2$. Since gradient vectors have have $x$ to the ...
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28 views

Is this correct use of Lagrange multipliers?

Given the standard isoperimetric problem: Minimize the functional $$ A[y]=\int_a^bF(y,y',x)dx $$ subject to the functional-constraint $$ B[y]=\int_a^bG(y,y',x)dx = c=\text{constant}$$ (where $ ...
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46 views

how to define the lagrange problem on the boundaries

Im reading a paper where they solve a problem of the form: minimize $$f(a,b,c) = \sum_{i=1}^n(a+by_i+cy_i^2-u_i)^2$$ Where $y_i,n$ and $u_i$ are given over the compact domain $K$ $$ ...
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Lagrange Multiplier FEM for Navier-Stokes

I'm trying to derive the weak formulation for the Navier-Stokes equations with boundaries imposed via Lagrange Multipliers. This technique is used by Urquiza 2014 for the Stokes equations. It's done ...
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65 views

Minimize $5\sqrt{36+x^2}+4(20-x)$ using Lagrange Multipliers

I am not familiar with Lagrange multipliers. I am trying to minimize the following equation $$\text{minimize}~ 5\sqrt{36+x^2}+4(20-x)$$ $$\text{subject to}~ 0 \leq x \leq 20$$ Can I use the Lagrange ...
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If I am asked to minimize f, subject to several constraints g_i, and I find only one critical point, must this point be where f attains a minimum?

I am guessing that it must be, but I feel that I have only found a unique critical point, so that this point could be either a unique absolute max or a unique absolute min -- I say uniqueness because ...
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33 views

Multiple equations Lagrange multipliers.

I understand Lagrange multiplier for one equation constraint task. But what about several equations formal proof of Lagrange multipliers method? My own non-formal proof for $R3$ case: Suppose we ...
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38 views

Solving linear constrained optimization problem

So I have the following constrained optimization problem to optimize a circuit (electrical engineering) that I am working on: Minimize the following expression (power dissipation): $$I_{B1}(V - C_1) ...
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May be a trivial question regarding constrained optimization

Optimization problem is to find $x$>0 which $min \ \ L=\frac{A\left ( B(\frac{C}{Cx-B}+\frac{1}{x})+2C\log(\frac{B}{x}-C) \right )}{B^3}$ $s.t \ \ x\leq K $ Rewriting the objective ...
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How do I solve a under-determined quadratic multi-variate system?

I have the following equation: $$ Y = \beta_0 + \beta_1 X_1 + \beta_2 X_2 + \beta_3 X_3 + \beta_{11} X_{1}^2 + \beta_{22} X_{2}^2 + \beta_{33} X_{3}^2 + \beta_{12} X_{1} X_{2} + \beta_{23} X_{2} ...
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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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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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29 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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connection among big-M, Lagrangian, Pentalty Method, and Augmented Lagrangian

In the context of solving linear programs, the big-M method refers to adding additional variables to the problem such that there is, as far as I understand it, a trivial basic feasible solution. In ...
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In the envelope theorem, why can I write my inputs $x$ and $y$ as a function of $\xi$?

This is a question about the envelope theorem. Suppose I have a maximization problem $$\max_{x,y} f(x,y,\xi)$$ such that $$g(x,y,\xi) \leq c$$ where $x$ and $y$ are control variables and $\xi$ is a ...
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Lagrange Multipliers with Calculus of Variations

We wish to extremize $$S = \int \mathcal{L}(\mathbf{y}, \mathbf{y}', t) dt $$ subject to the constraint $$g(\mathbf{y}, t) = 0 \;.$$ We move away from the solution by $$y_i(t) = y_{i,0}(t) + \alpha ...
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Minimize $f(X)=trace\left(X^{T}\begin{bmatrix} 1&0\\0&16\\ \end{bmatrix}\right)$

Minimize $$f(X)=trace{\left(X^{T}\begin{bmatrix} 1&0\\0&16\\ \end{bmatrix}X\right)}$$ subject to the condition $g(X)=det(X)=1$. Then for taking $X=\begin{bmatrix} ...
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60 views

How do Lagrange multipliers work with functions of 3 variables?

I've been trying to imagine the workings of Lagrange multipliers for functions $\mathbb{R^3}\rightarrow \mathbb{R}$. So, say we have a function $f(x,y,z)$. If we had one constraint (one level ...
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38 views

Change of variables for functions with constraints

I want to find critical points of say F = (x1-x2) + (y1^2-y2^3) + (z1^2-z2^3) with constraints x1^1 + y1^2 + z1^2 -1 = 0 and x2^1 + y2^2 + z2^2 -1 = 0 I can do this by finding critical points of ...