Lagrange multiplier

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In mathematical optimization, the method of Lagrange multipliers is a strategy for finding the local maxima and minima of a function subject to equation constraints (i.e., subject to the condition that one or more equations have to be satisfied exactly by the chosen values of the variables).[1] It is named after the mathematician Joseph-Louis Lagrange.

Summary and rationale

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The basic idea is to convert a constrained problem into a form such that the derivative test of an unconstrained problem can still be applied. The relationship between the gradient of the function and gradients of the constraints rather naturally leads to a reformulation of the original problem, known as the Lagrangian function or Lagrangian.[2] In the general case, the Lagrangian is defined as   for functions  ;   is called the Lagrange multiplier.

In simple cases, where the inner product is defined as the dot product, the Lagrangian is  

The method can be summarized as follows: in order to find the maximum or minimum of a function   subject to the equality constraint  , find the stationary points of   considered as a function of   and the Lagrange multiplier  . This means that all partial derivatives should be zero, including the partial derivative with respect to  .[3]

    and    

or equivalently

    and   

The solution corresponding to the original constrained optimization is always a saddle point of the Lagrangian function,[4][5] which can be identified among the stationary points from the definiteness of the bordered Hessian matrix.[6]

The great advantage of this method is that it allows the optimization to be solved without explicit parameterization in terms of the constraints. As a result, the method of Lagrange multipliers is widely used to solve challenging constrained optimization problems. Further, the method of Lagrange multipliers is generalized by the Karush–Kuhn–Tucker conditions, which can also take into account inequality constraints of the form   for a given constant  .

Statement

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The following is known as the Lagrange multiplier theorem.[7]

Let   be the objective function,   be the constraints function, both belonging to   (that is, having continuous first derivatives). Let   be an optimal solution to the following optimization problem such that, for the matrix of partial derivatives  ,  :

 

Then there exists a unique Lagrange multiplier   such that   (Note that this is a somewhat conventional thing where   is clearly treated as a column vector to ensure that the dimensions match. But, we might as well make it just a row vector without taking the transpose.)

The Lagrange multiplier theorem states that at any local maximum (or minimum) of the function evaluated under the equality constraints, if constraint qualification applies (explained below), then the gradient of the function (at that point) can be expressed as a linear combination of the gradients of the constraints (at that point), with the Lagrange multipliers acting as coefficients.[8] This is equivalent to saying that any direction perpendicular to all gradients of the constraints is also perpendicular to the gradient of the function. Or still, saying that the directional derivative of the function is 0 in every feasible direction.

Single constraint

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Figure 1: The red curve shows the constraint g(x, y) = c. The blue curves are contours of f(x, y). The point where the red constraint tangentially touches a blue contour is the maximum of f(x, y) along the constraint, since d1 > d2 .

For the case of only one constraint and only two choice variables (as exemplified in Figure 1), consider the optimization problem   (Sometimes an additive constant is shown separately rather than being included in  , in which case the constraint is written   as in Figure 1.) We assume that both   and   have continuous first partial derivatives. We introduce a new variable ( ) called a Lagrange multiplier (or Lagrange undetermined multiplier) and study the Lagrange function (or Lagrangian or Lagrangian expression) defined by   where the   term may be either added or subtracted. If   is a maximum of   for the original constrained problem and   then there exists   such that ( ) is a stationary point for the Lagrange function (stationary points are those points where the first partial derivatives of   are zero). The assumption   is called constraint qualification. However, not all stationary points yield a solution of the original problem, as the method of Lagrange multipliers yields only a necessary condition for optimality in constrained problems.[9][10][11][12][13] Sufficient conditions for a minimum or maximum also exist, but if a particular candidate solution satisfies the sufficient conditions, it is only guaranteed that that solution is the best one locally – that is, it is better than any permissible nearby points. The global optimum can be found by comparing the values of the original objective function at the points satisfying the necessary and locally sufficient conditions.

The method of Lagrange multipliers relies on the intuition that at a maximum, f(x, y) cannot be increasing in the direction of any such neighboring point that also has g = 0. If it were, we could walk along g = 0 to get higher, meaning that the starting point wasn't actually the maximum. Viewed in this way, it is an exact analogue to testing if the derivative of an unconstrained function is 0, that is, we are verifying that the directional derivative is 0 in any relevant (viable) direction.

We can visualize contours of f given by f(x, y) = d for various values of d, and the contour of g given by g(x, y) = c.

Suppose we walk along the contour line with g = c . We are interested in finding points where f almost does not change as we walk, since these points might be maxima.

There are two ways this could happen:

  1. We could touch a contour line of f, since by definition f does not change as we walk along its contour lines. This would mean that the tangents to the contour lines of f and g are parallel here.
  2. We have reached a "level" part of f, meaning that f does not change in any direction.

To check the first possibility (we touch a contour line of f), notice that since the gradient of a function is perpendicular to the contour lines, the tangents to the contour lines of f and g are parallel if and only if the gradients of f and g are parallel. Thus we want points (x, y) where g(x, y) = c and   for some  

where   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. This constant is called the Lagrange multiplier. (In some conventions   is preceded by a minus sign).

Notice that this method also solves the second possibility, that f is level: if f is level, then its gradient is zero, and setting   is a solution regardless of  .

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

Note that this amounts to solving three equations in three unknowns. This is the method of Lagrange multipliers.

Note that   implies   as the partial derivative of   with respect to   is  

To summarize  

The method generalizes readily to functions on   variables   which amounts to solving n + 1 equations in n + 1 unknowns.

The constrained extrema of f are critical points of the Lagrangian  , but they are not necessarily 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 method of Lagrange multipliers are not necessarily extrema of the Lagrangian, also poses difficulties for numerical optimization. This can be addressed by minimizing the magnitude of the gradient of the Lagrangian, as these minima are the same as the zeros of the magnitude, as illustrated in Example 5: Numerical optimization.

Multiple constraints

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Figure 2: A paraboloid constrained along two intersecting lines.
 
Figure 3: Contour map of Figure 2.

The method of Lagrange multipliers can be extended to solve problems with multiple constraints using a similar argument. Consider a paraboloid subject to two line constraints that intersect at a single point. As the only feasible solution, this point is obviously a constrained extremum. However, the level set of   is clearly not parallel to either constraint at the intersection point (see Figure 3); instead, it is a linear combination of the two constraints' gradients. In the case of multiple constraints, that will be what we seek in general: The method of Lagrange seeks points not at which the gradient of   is a multiple of any single constraint's gradient necessarily, but in which it is a linear combination of all the constraints' gradients.

Concretely, suppose we have   constraints and are walking along the set of points satisfying   Every point   on the contour of a given constraint function   has a space of allowable directions: the space of vectors perpendicular to   The set of directions that are allowed by all constraints is thus the space of directions perpendicular to all of the constraints' gradients. Denote this space of allowable moves by   and denote the span of the constraints' gradients by   Then   the space of vectors perpendicular to every element of  

We are still interested in finding points where   does not change as we walk, since these points might be (constrained) extrema. We therefore seek   such that any allowable direction of movement away from   is perpendicular to   (otherwise we could increase   by moving along that allowable direction). In other words,   Thus there are scalars   such that  

These scalars are the Lagrange multipliers. We now have   of them, one for every constraint.

As before, we introduce an auxiliary function   and solve   which amounts to solving   equations in   unknowns.

The constraint qualification assumption when there are multiple constraints is that the constraint gradients at the relevant point are linearly independent.

Modern formulation via differentiable manifolds

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The problem of finding the local maxima and minima subject to constraints can be generalized to finding local maxima and minima on a differentiable manifold  [14] In what follows, it is not necessary that   be a Euclidean space, or even a Riemannian manifold. All appearances of the gradient   (which depends on a choice of Riemannian metric) can be replaced with the exterior derivative  

Single constraint

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Let   be a smooth manifold of dimension   Suppose that we wish to find the stationary points   of a smooth function   when restricted to the submanifold   defined by   where   is a smooth function for which 0 is a regular value.

Let   and   be the exterior derivatives of   and  . Stationarity for the restriction   at   means   Equivalently, the kernel   contains   In other words,   and   are proportional 1-forms. For this it is necessary and sufficient that the following system of   equations holds:   where   denotes the exterior product. The stationary points   are the solutions of the above system of equations plus the constraint   Note that the   equations are not independent, since the left-hand side of the equation belongs to the subvariety of   consisting of decomposable elements.

In this formulation, it is not necessary to explicitly find the Lagrange multiplier, a number   such that  

Multiple constraints

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Let   and   be as in the above section regarding the case of a single constraint. Rather than the function   described there, now consider a smooth function   with component functions   for which   is a regular value. Let   be the submanifold of   defined by  

  is a stationary point of   if and only if   contains   For convenience let   and   where   denotes the tangent map or Jacobian   (  can be canonically identified with  ). The subspace   has dimension smaller than that of  , namely   and     belongs to   if and only if   belongs to the image of   Computationally speaking, the condition is that   belongs to the row space of the matrix of   or equivalently the column space of the matrix of   (the transpose). If   denotes the exterior product of the columns of the matrix of   the stationary condition for   at   becomes   Once again, in this formulation it is not necessary to explicitly find the Lagrange multipliers, the numbers   such that  

Interpretation of the Lagrange multipliers

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In this section, we modify the constraint equations from the form   to the form   where the   are m real constants that are considered to be additional arguments of the Lagrangian expression  .

Often the Lagrange multipliers have an interpretation as some quantity of interest. For example, by parametrising the constraint's contour line, that is, if the Lagrangian expression is   then  

So, λk is the rate of change of the quantity being optimized as a function of the constraint parameter. 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, F = −∇V, 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 control theory this is formulated instead as costate equations.

Moreover, by the envelope theorem the optimal value of a Lagrange multiplier has an interpretation as the marginal effect of the corresponding constraint constant upon the optimal attainable value of the original objective function: If we denote values at the optimum with a star ( ), then it can be shown that  

For example, in economics the optimal profit to a player is calculated subject to a constrained space of actions, where a Lagrange multiplier is the change in the optimal value of the objective function (profit) due to the relaxation of a given constraint (e.g. through a change in income); in such a context   is the marginal cost of the constraint, and is referred to as the shadow price.[15]

Sufficient conditions

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Sufficient conditions for a constrained local maximum or minimum can be stated in terms of a sequence of principal minors (determinants of upper-left-justified sub-matrices) of the bordered Hessian matrix of second derivatives of the Lagrangian expression.[6][16]

Examples

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Example 1

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Illustration of the constrained optimization problem 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 that the minimum occurs at  

For the method of Lagrange multipliers, the constraint is   hence the Lagrangian function,   is a function that is equivalent to   when   is set to 0.

Now we can calculate the gradient:   and therefore:  

Notice that the last equation is the original constraint.

The first two equations yield   By substituting into the last equation we have:   so   which implies that the stationary points of   are  

Evaluating the objective function f at these points yields  

Thus the constrained maximum is   and the constrained minimum is  .

Example 2

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Illustration of the constrained optimization problem 2

Now we modify the objective function of Example 1 so that we minimize   instead of   again along the circle   Now the level sets of   are still lines of slope −1, and the points on the circle tangent to these level sets are again   and   These tangency points are maxima of  

On the other hand, the minima occur on the level set for   (since by its construction   cannot take negative values), at   and   where the level curves of   are not tangent to the constraint. The condition that   correctly identifies all four points as extrema; the minima are characterized in by   and the maxima by  

Example 3

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Illustration of constrained optimization problem 3.

This example deals with more strenuous calculations, but it is still a single constraint problem.

Suppose one wants to find the maximum values of   with the condition that the  - and  -coordinates lie on the circle around the origin with radius   That is, subject to the constraint  

As there is just a single constraint, there is a single multiplier, say  

The constraint   is identically zero on the circle of radius   Any multiple of   may be added to   leaving   unchanged in the region of interest (on the circle where our original constraint is satisfied).

Applying the ordinary Lagrange multiplier method yields   from which the gradient can be calculated:   And therefore:   (iii) is just the original constraint. (i) implies   or   If   then   by (iii) and consequently   from (ii). If   substituting this into (ii) yields   Substituting this into (iii) and solving for   gives   Thus there are six critical points of    

Evaluating the objective at these points, one finds that  

Therefore, the objective function attains the global maximum (subject to the constraints) at   and the global minimum at   The point   is a local minimum of   and   is a local maximum of   as may be determined by consideration of the Hessian matrix of  

Note that while   is a critical point of   it is not a local extremum of   We have  

Given any neighbourhood of   one can choose a small positive   and a small   of either sign to get   values both greater and less than   This can also be seen from the Hessian matrix of   evaluated at this point (or indeed at any of the critical points) which is an indefinite matrix. Each of the critical points of   is a saddle point of  [4]

Example 4 – Entropy

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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 structured 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   at each point   must equal 1, so our constraint is:  

We use Lagrange multipliers to find the point of maximum entropy,   across all discrete probability distributions   on   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 λ only). By using the constraint   we find  

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

Example 5 – Numerical optimization

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Lagrange multipliers cause the critical points to occur at saddle points (Example 5).
 
The magnitude of the gradient can be used to force the critical points to occur at local minima (Example 5).

The critical points of Lagrangians occur at saddle points, rather than at local maxima (or minima).[4][17] 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   (This problem is somewhat untypical 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 x = 1 and x = −1.

In order to solve this problem with a numerical optimization technique, we must first transform this problem such that the critical points occur at local minima. This is 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   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 x = 1 and x = −1, 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

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Control theory

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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.

Nonlinear programming

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The Lagrange multiplier method has several generalizations. In nonlinear programming there are several multiplier rules, e.g. the Carathéodory–John Multiplier Rule and the Convex Multiplier Rule, for inequality constraints.[18]

Power systems

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Methods based on Lagrange multipliers have applications in power systems, e.g. in distributed-energy-resources (DER) placement and load shedding.[19]

Safe Reinforcement Learning

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The method of Lagrange multipliers applies to constrained Markov decision processes.[20] It naturally produces gradient-based primal-dual algorithms in safe reinforcement learning.[21]

Considering the PDE problems with constraints, i.e., the study of the properties of the normalized solutions, Lagrange multipliers play an important role.

See also

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References

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  1. ^ Hoffmann, Laurence D.; Bradley, Gerald L. (2004). Calculus for Business, Economics, and the Social and Life Sciences (8th ed.). pp. 575–588. ISBN 0-07-242432-X.
  2. ^ Beavis, Brian; Dobbs, Ian M. (1990). "Static Optimization". Optimization and Stability Theory for Economic Analysis. New York: Cambridge University Press. p. 40. ISBN 0-521-33605-8.
  3. ^ Protter, Murray H.; Morrey, Charles B. Jr. (1985). Intermediate Calculus (2nd ed.). New York, NY: Springer. p. 267. ISBN 0-387-96058-9.
  4. ^ a b c Walsh, G.R. (1975). "Saddle-point Property of Lagrangian Function". Methods of Optimization. New York, NY: John Wiley & Sons. pp. 39–44. ISBN 0-471-91922-5.
  5. ^ Kalman, Dan (2009). "Leveling with Lagrange: An alternate view of constrained optimization". Mathematics Magazine. 82 (3): 186–196. doi:10.1080/0025570X.2009.11953617. JSTOR 27765899. S2CID 121070192.
  6. ^ a b Silberberg, Eugene; Suen, Wing (2001). The Structure of Economics: A Mathematical Analysis (Third ed.). Boston: Irwin McGraw-Hill. pp. 134–141. ISBN 0-07-234352-4.
  7. ^ de la Fuente, Angel (2000). Mathematical Methods and Models for Economists. Cambridge: Cambridge University Press. p. 285. doi:10.1017/CBO9780511810756. ISBN 978-0-521-58512-5.
  8. ^ Luenberger, David G. (1969). Optimization by Vector Space Methods. New York: John Wiley & Sons. pp. 188–189.
  9. ^ Bertsekas, Dimitri P. (1999). Nonlinear Programming (Second ed.). Cambridge, MA: Athena Scientific. ISBN 1-886529-00-0.
  10. ^ Vapnyarskii, I.B. (2001) [1994], "Lagrange multipliers", Encyclopedia of Mathematics, EMS Press.
  11. ^ Lasdon, Leon S. (2002) [1970]. Optimization Theory for Large Systems (reprint ed.). Mineola, New York, NY: Dover. ISBN 0-486-41999-1. MR 1888251.
  12. ^ Hiriart-Urruty, Jean-Baptiste; Lemaréchal, Claude (1993). "Chapter XII: Abstract duality for practitioners". Convex analysis and minimization algorithms. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences]. Vol. 306. Berlin, DE: Springer-Verlag. pp. 136–193 (and Bibliographical comments pp. 334–335). ISBN 3-540-56852-2. MR 1295240. Volume II: Advanced theory and bundle methods.
  13. ^ Lemaréchal, Claude (15–19 May 2000). "Lagrangian relaxation". In Jünger, Michael; Naddef, Denis (eds.). Computational combinatorial optimization: Papers from the Spring School held in Schloß Dagstuhl. Spring School held in Schloß Dagstuhl, May 15–19, 2000. Lecture Notes in Computer Science. Vol. 2241. Berlin, DE: Springer-Verlag (published 2001). pp. 112–156. doi:10.1007/3-540-45586-8_4. ISBN 3-540-42877-1. MR 1900016. S2CID 9048698.
  14. ^ Lafontaine, Jacques (2015). An Introduction to Differential Manifolds. Springer. p. 70. ISBN 978-3-319-20735-3.
  15. ^ Dixit, Avinash K. (1990). "Shadow Prices". Optimization in Economic Theory (2nd ed.). New York: Oxford University Press. pp. 40–54. ISBN 0-19-877210-6.
  16. ^ Chiang, Alpha C. (1984). Fundamental Methods of Mathematical Economics (Third ed.). McGraw-Hill. p. 386. ISBN 0-07-010813-7.
  17. ^ Heath, Michael T. (2005). Scientific Computing: An introductory survey. McGraw-Hill. p. 203. ISBN 978-0-07-124489-3.
  18. ^ Pourciau, Bruce H. (1980). "Modern multiplier rules". American Mathematical Monthly. 87 (6): 433–452. doi:10.2307/2320250. JSTOR 2320250.
  19. ^ Gautam, Mukesh; Bhusal, Narayan; Benidris, Mohammed (2020). A sensitivity-based approach to adaptive under-frequency load shedding. 2020 IEEE Texas Power and Energy Conference (TPEC). Institute of Electronic and Electrical Engineers. pp. 1–5. doi:10.1109/TPEC48276.2020.9042569.
  20. ^ Altman, Eitan (2021). Constrained Markov Decision Processes. Routledge.
  21. ^ Ding, Dongsheng; Zhang, Kaiqing; Jovanovic, Mihailo; Basar, Tamer (2020). Natural policy gradient primal-dual method for constrained Markov decision processes. Advances in Neural Information Processing Systems.

Further reading

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  • Beavis, Brian; Dobbs, Ian M. (1990). "Static Optimization". Optimization and Stability Theory for Economic Analysis. New York, NY: Cambridge University Press. pp. 32–72. ISBN 0-521-33605-8.
  • Bertsekas, Dimitri P. (1982). Constrained optimization and Lagrange multiplier methods. New York, NY: Academic Press. ISBN 0-12-093480-9.
  • Beveridge, Gordon S.G.; Schechter, Robert S. (1970). "Lagrangian multipliers". Optimization: Theory and Practice. New York, NY: McGraw-Hill. pp. 244–259. ISBN 0-07-005128-3.
  • Binger, Brian R.; Hoffman, Elizabeth (1998). "Constrained optimization". Microeconomics with Calculus (2nd ed.). Reading: Addison-Wesley. pp. 56–91. ISBN 0-321-01225-9.
  • Carter, Michael (2001). "Equality constraints". Foundations of Mathematical Economics. Cambridge, MA: MIT Press. pp. 516–549. ISBN 0-262-53192-5.
  • Hestenes, Magnus R. (1966). "Minima of functions subject to equality constraints". Calculus of Variations and Optimal Control Theory. New York, NY: Wiley. pp. 29–34.
  • Wylie, C. Ray; Barrett, Louis C. (1995). "The extrema of integrals under constraint". Advanced Engineering Mathematics (Sixth ed.). New York, NY: McGraw-Hill. pp. 1096–1103. ISBN 0-07-072206-4.
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Exposition

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Additional text and interactive applets

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