Date: December 17, 2020

Topic: Constrained optimisation

Recall

What function do you have to minimise to find the minimum in the function I(p) subject to the constraint C(p)=K?

Constrained optimisation and Lagrange Multipliers

To find the optimum value of a function, I(p), subject to some constraints, (C(p)-K) you introduce the set of Lagrange multipliers and look for the unconstrained optimum of the extended function:

$F(\mathbf{p},\{\lambda_j\}) = I(\mathbf{p}) + \sum_j \lambda_j( C_j(\mathbf{p}) - K_j )$

In other words, you try to find a point where:

$\frac{\partial F(\mathbf{p},\{\lambda_j\})}{\partial p_i} = 0 \qquad \forall \quad i \qquad \textrm{and} \qquad \frac{\partial F(\mathbf{p},\{\lambda_j\})}{\partial \lambda_j } = 0 \qquad \forall \quad j$

The basis of this technique is the recognition that, at a constrained optimum the gradients of the constraint functions are either parallel or antiparallel to the gradient of the target function.

This method is explained in:

https://www.youtube.com/watch?v=ivxdxpv0oQU&ab_channel=GarethTribello

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