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Diffstat (limited to 'content/know/concept/lagrange-multiplier')
-rw-r--r-- | content/know/concept/lagrange-multiplier/index.pdc | 27 |
1 files changed, 23 insertions, 4 deletions
diff --git a/content/know/concept/lagrange-multiplier/index.pdc b/content/know/concept/lagrange-multiplier/index.pdc index fffe85f..fc1319e 100644 --- a/content/know/concept/lagrange-multiplier/index.pdc +++ b/content/know/concept/lagrange-multiplier/index.pdc @@ -49,15 +49,14 @@ of all the partial derivatives. To help us solve this, we introduce a "dummy" parameter $\lambda$, the so-called **Lagrange multiplier**, -which need not be constant, and contruct a new function $L$ given by: $$\begin{aligned} L(x, y, z) = f(x, y, z) + \lambda \phi(x, y, z) \end{aligned}$$ -Clearly, $\dd{L} = \dd{f} + \lambda \dd{\phi} = 0$, -so now the problem is a single equation again: +At the extremum, $\dd{L} = \dd{f} + \lambda \dd{\phi} = 0$, +so now the problem is a "single" equation again: $$\begin{aligned} 0 = \dd{L} @@ -69,7 +68,21 @@ This choice represents satisfying the constraint, so now the remaining $\dd{x}$ and $\dd{y}$ are independent again, and we simply have to find the roots of $f_x + \lambda \phi_x$ and $f_y + \lambda \phi_y$. -This generalizes nicely to multiple constraints or more variables: +In effect, after introducing $\lambda$, +we have four unknowns $(x, y, z, \lambda)$, +but also four equations: + +$$\begin{aligned} + L_x = L_y = L_z = 0 + \qquad \quad + \phi = C +\end{aligned}$$ + +We are only really interested in the first three unknowns $(x, y, z)$, +so $\lambda$ is sometimes called the **undetermined multiplier**, +since it is just an algebraic helper whose value is irrelevant. + +This method generalizes nicely to multiple constraints or more variables: suppose that we want to find the extrema of $f(x_1, ..., x_N)$ subject to $M < N$ conditions: @@ -103,3 +116,9 @@ $$\begin{aligned} 0 = \dd{L} = \sum_{n = 1}^N \Big( f_{x_n} + \sum_{m = 1}^M \lambda_m \phi_{x_n} \Big) \dd{x_n} \end{aligned}$$ + + +## References +1. G.B. Arfken, H.J. Weber, + *Mathematical methods for physicists*, 6th edition, 2005, + Elsevier. |