Lagrange Multiplier

Lagrange Multiplier

In mathematical optimization, the method of Lagrange multipliers (named after Joseph Louis Lagrange) provides a strategy for finding the local maxima and minima of a function subject to equality constraints.

For instance (see Figure 1), consider the optimization problem

maximize

subject to

We need both and to have continuous first partial derivatives. We introduce a new variable called a Lagrange multiplier and study the Lagrange function defined by

where the term may be either added or subtracted. If is a maximum of 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, i.e. ). 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. Sufficient conditions for a minimum or maximum also exist.