# Sign of lagrange multiplier with inequality constraints

While I have read on several places that the sign of lagrange multiplier $$\lambda$$ is not that important I'm reading now on Patten recognition and machine learning by Bishop the following:

• If we wish to minimize (instead of maximize) rather than maximize the function $$f(\text{x})$$ subject to an inequality constraint $$g(\textbf{x})$$ then we minimize the lagrangian function $$L(\textbf{x},\lambda) = f(\textbf{x}) - \lambda g(\textbf{x})$$ with respect to $$\bf{x}$$ with $$\lambda \ge 0$$. It actually specifies that in this situation the sign of lagrange multiplier is crucial.

Is this sign distinction important when I consider inequality constraints, while this is not important when considering equality constraints like $$g(\textbf{x}) = 0$$?

Can anyone explain me this a little bit better? Thank you

The sign comes from the following reasoning:

• With equality constraints $$g(x) = 0$$, for a point $$x$$ to be optimal, any perturbation to $$x$$ that changes $$f$$ must also violate constraints $$g$$ become (no matter if $$g$$ becomes positive or negative, important thing is that it is no longer zero), hence the gradient of $$f$$ must be parallel to that of $$g$$. It follows that $$\nabla f(x) = \lambda \nabla g(x)$$, for some (potentially negative) $$\lambda$$.
• With inequality constraints $$g(x) \ge 0$$:
• when minimizing, for a point $$x$$ on the boundary $$g(x) = 0$$ to be optimal, the gradient $$\nabla f$$ must point in the same direction of the gradient of $$g$$; otherwise, following the antigradient of $$f$$ along the boundary would decrease $$f$$. It follows that $$\nabla f(x) = \lambda \nabla g(x)$$ for some positive $$\lambda$$, and subtracting you get $$f(x) - \lambda g(x)$$.
• when maximizing, for a point $$x$$ on the boundary $$g(x) = 0$$ to be optimal, the gradient $$\nabla f$$ must point in the opposite direction of the gradient of $$g$$; otherwise, following the gradient of $$f$$ along the boundary would increase $$f$$. It follows that $$\nabla f(x) = -\lambda \nabla g(x)$$ for some positive $$\lambda$$, and subtracting you get $$f(x) + \lambda g(x)$$.

Bishop has several illustrations about this, but I don't remember the exact page. Feel free to edit if you do.

Update (example): take $$f(x, y) = x$$ and $$g(x, y) = 1 - x^2 - y^2$$. If you want to minimize $$f$$ on the unit disk $$g(x, y) \ge 0$$ but take $$L(x, y; \lambda) = f(x, y) + \lambda g(x, y) = x + \lambda (1 - x^2 - y^2)$$ and then take the derivatives then you will get $$\frac{\partial L}{\partial x} = 1 - 2 \lambda x = 0, \frac{\partial L}{\partial y} = -2 \lambda y = 0, \frac{\partial L}{\partial \lambda} = g(x, y) = 1 - x^2 - y^2 = 0.$$ It follows that $$y = 0$$, $$x = -1$$ or $$x = 1$$, and $$\lambda = -\frac{1}{2}$$ or $$\lambda = \frac{1}{2}$$. You would then discarded $$\lambda = -\frac{1}{2}$$ and (optimal solution) $$x = -1$$ because the corresponding $$\lambda$$ is negative, and choose $$x = 1$$ which is the worst possible value (it maximizes $$f$$ instead of minimizing).

So yeah, the sign is important because you want $$\lambda \ge 0$$. Afaik, in the equality case it is not demanded, so it does not matter which sign do you use.

• Unfortunately I didn't understand so well... could you do an example please? Thank you for your answer – James Arten Nov 2 '20 at 23:03
• @JamesArten sure, I added one classical example in which choosing the wrong sign makes the algorithm incorrect. – Nikita Skybytskyi Nov 2 '20 at 23:25