Math 2.0

statement corollary

Lagrange multiplier with one constraint

Statement

Let U⊆RnU \subseteq \mathbb{R}^n be open with n≥2n \ge 2, and let f,g ⁣:U→Rf, g \colon U \to \mathbb{R} be of class C1C^1. Let c∈Rc \in \mathbb{R}, and let aa be a point of the level set {x∈U:g(x)=c}\{x \in U : g(x) = c\} with ∇g(a)≠0\nabla g(a) \ne 0. If the restriction of ff to this level set has a local extremum at aa, then there is a unique λ∈R\lambda \in \mathbb{R} with ∇f(a)=λ ∇g(a).\nabla f(a) = \lambda \, \nabla g(a).

Remarks

This is the case m=1m = 1 of the Lagrange multiplier theorem, applied to g−cg - c. Geometrically, the level set of ff through aa is tangent to the constraint set at aa, because both gradients are orthogonal to it. Example: to maximise f(x,y)=x+yf(x, y) = x + y on x2+y2=1x^2 + y^2 = 1, solve (1,1)=λ(2x,2y)(1, 1) = \lambda (2 x, 2 y) and x2+y2=1x^2 + y^2 = 1. The maximum is 2\sqrt{2}, at (1/2,1/2)(1/\sqrt{2}, 1/\sqrt{2}). Without the condition ∇g(a)≠0\nabla g(a) \ne 0 the conclusion can fail. For g(x,y)=y2−x3g(x, y) = y^2 - x^3 and f(x,y)=xf(x, y) = x, the minimum on g=0g = 0 is at (0,0)(0, 0), where ∇g=0\nabla g = 0 and ∇f=(1,0)\nabla f = (1, 0).

Explanations

L1 human

Move along the constraint curve and watch the value of ff. At the best point, the curve just touches a level curve of ff, so the two curves have the same normal direction there. The multiplier λ\lambda is the ratio between the two normal vectors.

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Sources

  1. Web https://en.wikipedia.org/wiki/Lagrange_multiplier, Single constraint