Lagrange multiplier

Lagrange multiplier
In mathematical optimization, the method of
Lagrange multipliers (named after Joseph
Louis Lagrange) provides a strategy for
finding the maxima and minima of a
function subject to constraints.
For instance (see Figure 1), consider the
optimization problem
maximize
subject to
We introduce a new variable (

) called a

Lagrange multiplier and study the Lagrange

function defined by

Figure 1: Find x and y to maximize

red)

where the

subject to a constraint (shown in

.

term may be either added or

subtracted. If

is a maximum for

the original constrained problem, then there

exists such that
is a stationary
point for the Lagrange function (stationary
points are those points where the partial
derivatives of are zero). However, not all
stationary points yield a solution of the
original problem. Thus, the method of
Lagrange multipliers yields a necessary
condition for optimality in constrained
problems.[1][2][3][4][5]

Introduction
Figure 2: Contour map of Figure 1. The red line shows the constraint

One of the most common problems in

. The blue lines are contours of
. The point where the
calculus is that of finding maxima or
red line tangentially touches a blue contour is our solution.
minima (in general, "extrema") of a
function, but it is often difficult to find a
closed form for the function being extremized. Such difficulties often arise when one wishes to maximize or
minimize a function subject to fixed outside conditions or constraints. The method of Lagrange multipliers is a
powerful tool for solving this class of problems without the need to explicitly solve the conditions and use them to
eliminate extra variables.
Consider the two-dimensional problem introduced above:
maximize
subject to
We can visualize contours of f given by

for various values of

, and the contour of

given by

Lagrange multiplier

Suppose we walk along the contour line with

following the contour line for

. In general the contour lines of

one could intersect with or cross the contour lines of

saying that while moving along the contour line for

meets contour lines of

and

the value of

may be distinct, so
. This is equivalent to

can vary. Only when the contour line for

tangentially, do we not increase or decrease the value of

that is, when the

contour lines touch but do not cross.

The contour lines of f and g touch when the tangent vectors of the contour lines are parallel. Since the gradient of a
function is perpendicular to the contour lines, this is the same as saying that the gradients of f and g are parallel. Thus
we want points
where
and
,
where

and

are the respective gradients. The constant

is required because although the two gradient vectors are parallel, the

magnitudes of the gradient vectors are generally not equal.

To incorporate these conditions into one equation, we introduce an auxiliary function

and solve

This is the method of Lagrange multipliers. Note that

implies

Not necessarily extrema

The constrained extrema of

are critical points of the Lagrangian

, but they are not local extrema of

(see

Example 2 below).
One may reformulate the Lagrangian as a Hamiltonian, in which case the solutions are local minima for the
Hamiltonian. This is done in optimal control theory, in the form of Pontryagin's minimum principle.
The fact that solutions of the Lagrangian are not necessarily extrema also poses difficulties for numerical
optimization. This can be addressed by computing the magnitude of the gradient, as the zeros of the magnitude are
necessarily local minima, as illustrated in the numerical optimization example.

Lagrange multiplier

Handling multiple constraints

The method of Lagrange multipliers can
also accommodate multiple constraints. To
see how this is done, we need to reexamine
the problem in a slightly different manner
because the concept of crossing discussed
above becomes rapidly unclear when we
consider the types of constraints that are
created when we have more than one
constraint acting together.
As an example, consider a paraboloid with a
constraint that is a single point (as might be
created if we had 2 line constraints that
intersect). The level set (i.e., contour line)
clearly appears to cross that point and its
gradient is clearly not parallel to the
gradients of either of the two line
constraints. Yet, it is obviously a maximum
and a minimum because there is only one
point on the paraboloid that meets the
constraint.

A paraboloid, some of its level sets (aka contour lines) and 2 line constraints.

While this example seems a bit odd, it is

easy to understand and is representative of
the sort of effective constraint that appears
quite often when we deal with multiple
constraints intersecting. Thus, we take a
slightly different approach below to explain
and derive the Lagrange Multipliers method
with any number of constraints.
Throughout this section, the independent
variables
will
be
denoted
by
and, as a group, we will
denote them as

Also, the function being analyzed will be

denoted by
and the constraints will
be

represented

by

the

equations

Zooming in on the levels sets and constraints, we see that the two constraint lines
intersect to form a "joint" constraint that is a point. Since there is only one point to
analyze, the corresponding point on the paraboloid is automatically a minimum and
maximum. Yet the simplified reasoning presented in sections above seems to fail
because the level set definitely appears to "cross" the point and at the same time its
gradient is not parallel to the gradients of either constraint. This shows we must
refine our explanation of the method to handle the kinds of constraints that are
formed when we have more than one constraint acting at once.

.
The basic idea remains essentially the same: if we consider only the points that satisfy the constraints (i.e. are in the
constraints), then a point
is a stationary point (i.e. a point in a flat region) of f if and only if the
constraints at that point do not allow movement in a direction where f changes value.
Once we have located the stationary points, we need to do further tests to see if we have found a minimum, a
maximum or just a stationary point that is neither.

Lagrange multiplier

We start by considering the level set of f at

. The set of vectors

containing the directions in which

we can move and still remain in the same level set are the directions where the value of f does not change (i.e. the
change equals zero). Thus, for every vector v in
, the following relation must hold:

where the notation

above means the

-component of the vector v. The equation above can be rewritten in a

more compact geometric form that helps our intuition:

This makes it clear that if we are at p, then all directions from this point that do not change the value of f must be
perpendicular to
(the gradient of f at p).
Now let us consider the effect of the constraints. Each constraint limits the directions that we can move from a
particular point and still satisfy the constraint. We can use the same procedure, to look for the set of vectors
containing the directions in which we can move and still satisfy the constraint. As above, for every vector v in
, the following relation must hold:

From this, we see that at point p, all directions from this point that will still satisfy this constraint must be
perpendicular to
.
Now we are ready to refine our idea further and complete the method: a point on f is a constrained stationary point if
and only if the direction that changes f violates at least one of the constraints. (We can see that this is true because if
a direction that changes f did not violate any constraints, then there would a legal point nearby with a higher or
lower value for f and the current point would then not be a stationary point.)

Single constraint revisited

For a single constraint, we use the statement above to say that at stationary points the direction that changes f is in
the same direction that violates the constraint. To determine if two vectors are in the same direction, we note that if
two vectors start from the same point and are in the same direction, then one vector can always reach the other by
changing its length and/or flipping to point the opposite way along the same direction line. In this way, we can
succinctly state that two vectors point in the same direction if and only if one of them can be multiplied by some real
number such that they become equal to the other. So, for our purposes, we require that:

If we now add another simultaneous equation to guarantee that we only perform this test when we are at a point that
satisfies the constraint, we end up with 2 simultaneous equations that when solved, identify all constrained stationary
points:

Note that the above is a succinct way of writing the equations. Fully expanded, there are
equations that need to be solved for the

variables which are

and

simultaneous

Lagrange multiplier

Multiple constraints
For more than one constraint, the same reasoning applies. If there is more than one constraint active together, each
constraint contributes a direction that will violate it. Together, these violation directions form a violation space,
where infinitesimal movement in any direction within the space will violate one or more constraints. Thus, to satisfy
multiple constraints we can state (using this new terminology) that at the stationary points, the direction that changes
f is in the violation space created by the constraints acting jointly.
The violation space created by the constraints consists of all points that can be reached by adding any combination of
scaled and/or flipped versions of the individual violation direction vectors. In other words, all the points that are
reachable when we use the individual violation directions as the basis of the space. Thus, we can succinctly state
that v is in the space defined by
if and only if there exists a set of multipliers
such that:

which for our purposes, translates to stating that the direction that changes f at p is in the violation space defined by
the constraints
if and only if:

As before, we now add simultaneous equation to guarantee that we only perform this test when we are at a point that
satisfies every constraint, we end up with simultaneous equations that when solved, identify all constrained
stationary points:

The method is complete now (from the standpoint of solving the problem of finding stationary points) but as
mathematicians delight in doing, these equations can be further condensed into an even more elegant and succinct
form. Lagrange must have cleverly noticed that the equations above look like partial derivatives of some larger
scalar function L that takes all the
and all the
as inputs. Next, he might then
have noticed that setting every equation equal to zero is exactly what one would have to do to solve for the
unconstrained stationary points of that larger function. Finally, he showed that a larger function L with partial
derivatives that are exactly the ones we require can be constructed very simply as below:

Lagrange multiplier

Solving the equation above for its unconstrained stationary points generates exactly the same stationary points as
solving for the constrained stationary points of f under the constraints
.
In Lagranges honor, the function above is called a Lagrangian, the scalars

are called Lagrange

Multipliers and this optimization method itself is called The Method of Lagrange Multipliers.
The method of Lagrange multipliers is generalized by the KarushKuhnTucker conditions, which can also take into
account inequality constraints of the form h(x)c.

Interpretation of the Lagrange multipliers

Often the Lagrange multipliers have an interpretation as some quantity of interest. To see why this might be the case,
observe that:

So, k is the rate of change of the quantity being optimized as a function of the constraint variable. As examples, in
Lagrangian mechanics the equations of motion are derived by finding stationary points of the action, the time
integral of the difference between kinetic and potential energy. Thus, the force on a particle due to a scalar potential,
, can be interpreted as a Lagrange multiplier determining the change in action (transfer of potential to
kinetic energy) following a variation in the particle's constrained trajectory. In economics, the optimal profit to a
player is calculated subject to a constrained space of actions, where a Lagrange multiplier is the increase in the value
of the objective function due to the relaxation of a given constraint (e.g. through an increase in income or bribery or
other means) the marginal cost of a constraint, called the shadow price.
In control theory this is formulated instead as costate equations.

Lagrange multiplier

Examples
Example 1
Suppose

we

wish
to
maximize
subject to the constraint

. The feasible set is the unit

circle, and the level sets of f are diagonal
lines (with slope -1), so we can see
graphically that the maximum occurs at
, and the minimum occurs
at
Formally,

.
set
, and

Set the derivative

, which yields

the system of equations:

Fig. 3. Illustration of the constrained optimization problem

As always, the

equation ((iii) here) is the original constraint.

Combining the first two equations yields

(explicitly,

, otherwise (i) yields 1 = 0, so one has

).
Substituting into (iii) yields
are

, so

and

thus the maximum is

, showing the stationary points

. Evaluating the objective function f on these yields

, which is attained at
.

and

, and the minimum is

, which is attained at

Lagrange multiplier

Example 2
Suppose we want to find the maximum
values of

with the condition that the x and y

coordinates lie on the circle around the
origin with radius 3, that is, subject to the
constraint

As there is just a single constraint, we will

use only one multiplier, say .
The constraint g(x,y)-3 is identically zero
on the circle of radius 3. So any multiple of
g(x,y)-3 may be added to f(x,y) leaving
f(x,y) unchanged in the region of interest
(above the circle where our original
constraint is satisfied). Let

The critical values of

Fig. 4. Illustration of the constrained optimization problem

occur where its gradient is zero. The partial derivatives are

Equation (iii) is just the original constraint. Equation (i) implies

must have

or = y. In the first case, if x=0 then we

by (iii) and then by (ii) =0. In the second case, if = y and substituting into equation (ii)

we have that,
Then x2 = 2y2. Substituting into equation (iii) and solving for y gives this value of y:

Thus there are six critical points:

Evaluating the objective at these points, we find

Therefore, the objective function attains the global maximum (subject to the constraints) at
global minimum at

The point

is a local minimum and

may be determined by consideration of the Hessian matrix of

Note that while
is a critical point of

is a local maximum, as

.
, it is not a local extremum. We have

. Given any neighborhood of

small positive

and a small

of either sign to get

and the

values both greater and less than

, we can choose a
.

Lagrange multiplier

Example: entropy
Suppose we wish to find the discrete probability distribution on the points

with maximal

information entropy. This is the same as saying that we wish to find the least biased probability distribution on the
points
. In other words, we wish to maximize the Shannon entropy equation:

For this to be a probability distribution the sum of the probabilities

constraint is

at each point

must equal 1, so our

= 1:

We use Lagrange multipliers to find the point of maximum entropy,

on

, across all discrete probability distributions

. We require that:

which gives a system of n equations,

, such that:

Carrying out the differentiation of these n equations, we get

This shows that all

are equal (because they depend on only). By using the constraint j pj = 1, we find

Hence, the uniform distribution is the distribution with the greatest entropy, among distributions on n points.

Lagrange multiplier

10

Example: numerical optimization

With Lagrange multipliers, the critical
points occur at saddle points, rather than at
local maxima (or minima). Unfortunately,
many numerical optimization techniques,
such as hill climbing, gradient descent, some
of the quasi-Newton methods, among
others, are designed to find local maxima (or
minima) and not saddle points. For this
reason, one must either modify the
formulation to ensure that it's a
minimization problem (for example, by
extremizing the square of the gradient of the
Lagrangian as below), or else use an
optimization technique that finds stationary
points (such as Newton's method without an
extremum seeking line search) and not
necessarily extrema.
As a simple example, consider the problem
of finding the value of x that minimizes
, constrained such that

Lagrange multipliers cause the critical points to occur at saddle points.

. (This problem is somewhat

pathological because there are only two
values that satisfy this constraint, but it is
useful for illustration purposes because the
corresponding unconstrained function can
be visualized in three dimensions.)
Using Lagrange multipliers, this problem
can be converted into an unconstrained
optimization problem:

The two critical points occur at saddle

points where
and
.
In order to solve this problem with a
numerical optimization technique, we must
first transform this problem such that the
The magnitude of the gradient can be used to force the critical points to occur at
critical points occur at local minima. This is
local minima.
done by computing the magnitude of the
gradient of the unconstrained optimization problem.
First, we compute the partial derivative of the unconstrained problem with respect to each variable:

If the target function is not easily differentiable, the differential with respect to each variable can be approximated as

Lagrange multiplier

11

,
,
where

is a small value.

Next, we compute the magnitude of the gradient, which is the square root of the sum of the squares of the partial
derivatives:

(Since magnitude is always non-negative, optimizing over the squared-magnitude is equivalent to optimizing over
the magnitude. Thus, the ``square root" may be omitted from these equations with no expected difference in the
results of optimization.)
The critical points of h occur at

and

, just as in

. Unlike the critical points in

, however, the

critical points in h occur at local minima, so numerical optimization techniques can be used to find them.

Applications
Economics
Constrained optimization plays a central role in economics. For example, the choice problem for a consumer is
represented as one of maximizing a utility function subject to a budget constraint. The Lagrange multiplier has an
economic interpretation as the shadow price associated with the constraint, in this example the marginal utility of
income. Other examples include profit maximization for a firm, along with various macroeconomic applications.

Control theory
In optimal control theory, the Lagrange multipliers are interpreted as costate variables, and Lagrange multipliers are
reformulated as the minimization of the Hamiltonian, in Pontryagin's minimum principle.

References
[1] Bertsekas, Dimitri P. (1999). Nonlinear Programming (Second ed.). Cambridge, MA.: Athena Scientific. ISBN1-886529-00-0.
[2] Vapnyarskii, I.B. (2001), "Lagrange multipliers" (http:/ / www. encyclopediaofmath. org/ index. php?title=Lagrange_multipliers), in
Hazewinkel, Michiel, Encyclopedia of Mathematics, Springer, ISBN978-1556080104, .

Lasdon, LeonS. (1970). Optimization theory for large systems. Macmillan series in operations research. New York: The Macmillan
Company. pp.xi+523. MR337317.
Lasdon, LeonS. (2002). Optimization theory for large systems (reprint of the 1970 Macmillan ed.). Mineola, New York: Dover
Publications, Inc.. pp.xiii+523. MR1888251.
[4] Hiriart-Urruty, Jean-Baptiste; Lemarchal, Claude (1993). "XIIAbstract duality for practitioners". Convex analysis and minimization
algorithms, VolumeII: Advanced theory and bundle methods. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of
Mathematical Sciences]. 306. Berlin: Springer-Verlag. pp.136193 (and Bibliographical comments on pp.334335). ISBN3-540-56852-2.
MR1295240.
[5] Lemarchal, Claude (2001). "Lagrangian relaxation". In Michael Jnger and Denis Naddef. Computational combinatorial optimization:
Papers from the Spring School held in Schlo Dagstuhl, May1519,2000. Lecture Notes in Computer Science. 2241. Berlin:
Springer-Verlag. pp.112156. doi:10.1007/3-540-45586-8_4. ISBN3-540-42877-1. MR1900016.

Lagrange multiplier

External links
Exposition
Conceptual introduction (http://www.slimy.com/~steuard/teaching/tutorials/Lagrange.html) (plus a brief
discussion of Lagrange multipliers in the calculus of variations as used in physics)
Lagrange Multipliers for Quadratic Forms With Linear Constraints (http://www.eece.ksu.edu/~bala/notes/
lagrange.pdf) by Kenneth H. Carpenter
For additional text and interactive applets
Simple explanation with an example of governments using taxes as Lagrange multipliers (http://www.umiacs.
umd.edu/~resnik/ling848_fa2004/lagrange.html)
Applet (http://ocw.mit.edu/ans7870/18/18.02/f07/tools/LagrangeMultipliersTwoVariables.html)
Tutorial and applet (http://www.math.gatech.edu/~carlen/2507/notes/lagMultipliers.html)
Video Lecture of Lagrange Multipliers (http://midnighttutor.com/Lagrange_multiplier.html)
MIT Video Lecture on Lagrange Multipliers (http://academicearth.com/lectures/lagrange-multipliers)
Slides accompanying Bertsekas's nonlinear optimization text (http://www.athenasc.com/NLP_Slides.pdf),
with details on Lagrange multipliers (lectures 11 and 12)
Method of Lagrange multipliers with complex variables (http://blog.daum.net/kipid/8307235) by kipid

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