Lagrange multiplier

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

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 ; the notation denotes an inner product. The value 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
The following is known as the Lagrange multiplier theorem.[7]

Let be the objective function and let 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
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 Figure 1: The red curve shows the constraint
Lagrange multiplier (or Lagrange undetermined g(x, y) = c. The blue curves are contours of
multiplier) and study the Lagrange function (or f(x, y). The point where the red constraint
Lagrangian or Lagrangian expression) defined by tangentially touches a blue contour is the
maximum of f(x, y) along the constraint, since
d1 > d2 .
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 maximum 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
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 Figure 2: A paraboloid constrained along two
words, Thus there are scalars intersecting lines.
such that

Figure 3: Contour map of Figure 2.

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
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
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
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

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
[15]
marginal cost of the constraint, and is referred to as the shadow price.

Sufficient conditions
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

Example 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

Illustration of the constrained optimization

hence the Lagrangian function,
problem 1

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
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
Illustration of the constrained optimization
not tangent to the constraint. The condition that
problem 2
correctly
identifies all four points as extrema; the minima are
characterized in by and the maxima by

Example 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

Illustration of constrained optimization problem 3.

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
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

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 Lagrange multipliers cause the critical points to
occur at saddle points (Example 5).
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

The magnitude of the gradient can be used to
unconstrained problem with respect to each variable: force the critical points to occur at local minima
(Example 5).

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

Control theory
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 maximum principle.

Nonlinear programming
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]

Economics
In many models in mathematical economics such as general equilibrium models, consumer behavior is
implemented as utility maximization and firm behavior as profit maximization, both entities being subject
to constraints such as budget constraints and production constraints. The usual way to determine an
optimal solution is achieved by maximizing some function, where the constraints are enforced using
Lagrangian multipliers.[19][20][21][22]

Power systems
Methods based on Lagrange multipliers have applications in power systems, e.g. in distributed-energy-
resources (DER) placement and load shedding.[23]

Safe Reinforcement Learning

The method of Lagrange multipliers applies to constrained Markov decision processes.[24] It naturally
produces gradient-based primal-dual algorithms in safe reinforcement learning.[25]
Normalized solutions
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
Adjustment of observations
Duality
Gittins index
Karush–Kuhn–Tucker conditions: generalization of the method of Lagrange multipliers
Lagrange multipliers on Banach spaces: another generalization of the method of Lagrange
multipliers
Lagrange multiplier test in maximum likelihood estimation
Lagrangian relaxation

References
1. Hoffmann, Laurence D.; Bradley, Gerald L. (2004). Calculus for Business, Economics, and
the Social and Life Sciences (8th ed.). McGraw Hill Higher Education. pp. 575–588. ISBN 0-
07-242432-X.
2. Beavis, Brian; Dobbs, Ian M. (1990). "Static Optimization" (https://books.google.com/books?
id=L7HMACFgnXMC&pg=PA40). 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. Walsh, G.R. (1975). "Saddle-point Property of Lagrangian Function" (https://books.google.c
om/books?id=K0EZAQAAIAAJ&pg=PA39). 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 (https://doi.org/10.1080%2F0025570X.2009.119536
17). JSTOR 27765899 (https://www.jstor.org/stable/27765899). S2CID 121070192 (https://a
pi.semanticscholar.org/CorpusID:121070192).
6. 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 (https://archi
ve.org/details/mathematicalmeth00fuen). Cambridge: Cambridge University Press. p. 285 (h
ttps://archive.org/details/mathematicalmeth00fuen/page/n288).
doi:10.1017/CBO9780511810756 (https://doi.org/10.1017%2FCBO9780511810756).
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" (https://www.encyclopediaofmath.org/i
ndex.php?title=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 (https://mathscinet.ams.o
rg/mathscinet-getitem?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 (https://mathscinet.ams.org/mathscinet-getitem?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 (https://doi.org/10.1007%2F3-540-45586
-8_4). ISBN 3-540-42877-1. MR 1900016 (https://mathscinet.ams.org/mathscinet-getitem?m
r=1900016). S2CID 9048698 (https://api.semanticscholar.org/CorpusID:9048698).
14. Lafontaine, Jacques (2015). An Introduction to Differential Manifolds (https://books.google.c
om/books?id=KNhJCgAAQBAJ&pg=PA70). Springer. p. 70. ISBN 978-3-319-20735-3.
15. Dixit, Avinash K. (1990). "Shadow Prices" (https://books.google.com/books?id=dHrsHz0Voc
UC&pg=PA40). 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 (https://archive.
org/details/fundamentalmetho0000chia_h4v2) (Third ed.). McGraw-Hill. p. 386 (https://archiv
e.org/details/fundamentalmetho0000chia_h4v2/page/386). ISBN 0-07-010813-7.
17. Heath, Michael T. (2005). Scientific Computing: An introductory survey (https://books.googl
e.com/books?id=gwBrMAEACAAJ). McGraw-Hill. p. 203. ISBN 978-0-07-124489-3.
18. Pourciau, Bruce H. (1980). "Modern multiplier rules" (http://www.maa.org/programs/maa-aw
ards/writing-awards/modern-multiplier-rules). American Mathematical Monthly. 87 (6): 433–
452. doi:10.2307/2320250 (https://doi.org/10.2307%2F2320250). JSTOR 2320250 (https://w
ww.jstor.org/stable/2320250).
19. Kamien, M. I.; Schwartz, N. L. (1991). Dynamic Optimization: The Calculus of Variations and
Optimal Control in Economics and Management (https://books.google.com/books?id=0IoGU
n8wjDQC) (Second ed.). New York: Elsevier. ISBN 0-444-01609-0.
20. Glötzl, Erhard; Glötzl, Florentin; Richters, Oliver (2019). "From constrained optimization to
constrained dynamics: extending analogies between economics and mechanics". Journal of
Economic Interaction and Coordination. 14 (3): 623–642. doi:10.1007/s11403-019-00252-7
(https://doi.org/10.1007%2Fs11403-019-00252-7). hdl:10419/171974 (https://hdl.handle.net/
10419%2F171974).
21. Baxley, John V.; Moorhouse, John C. (1984). "Lagrange Multiplier Problems in Economics".
The American Mathematical Monthly. 91 (7): 404–412.
doi:10.1080/00029890.1984.11971446 (https://doi.org/10.1080%2F00029890.1984.119714
46)..
22. Janová, Jitka (2011). "Applications of a constrained mechanics methodology in economics".
European Journal of Physics. 32 (6): 1443–1463. arXiv:1106.3455 (https://arxiv.org/abs/110
6.3455). Bibcode:2011EJPh...32.1443J (https://ui.adsabs.harvard.edu/abs/2011EJPh...32.1
443J). doi:10.1088/0143-0807/32/6/001 (https://doi.org/10.1088%2F0143-0807%2F32%2F
6%2F001).
23. 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 (https://doi.org/10.1109%2FTPEC48276.2020.9042
569).
24. Altman, Eitan (2021). Constrained Markov Decision Processes. Routledge.
25. 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
Beavis, Brian; Dobbs, Ian M. (1990). "Static Optimization" (https://books.google.com/books?
id=L7HMACFgnXMC&pg=PA32). 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" (https://book
s.google.com/books?id=TfhVXlWtOPQC&pg=PA244). 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" (https://books.google.com/books?id=KysvrGGf
zq0C&pg=PA516). 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.

External links

Exposition
Steuard. "Conceptual introduction" (http://www.slimy.com/~steuard/teaching/tutorials/Lagran
ge.html). slimy.com. — plus a brief discussion of Lagrange multipliers in the calculus of
variations as used in physics.
Carpenter, Kenneth H. "Lagrange multipliers for quadratic forms with linear constraints" (htt
p://ece.k-state.edu/people/faculty/carpenter/documents/lagrange.pdf) (PDF). Kansas State
University.

Additional text and interactive applets

Resnik. "Simple explanation with an example of governments using taxes as Lagrange
multipliers" (http://www.umiacs.umd.edu/~resnik/ling848_fa2004/lagrange.html).
umiacs.umd.edu. University of Maryland.
Klein, Dan. "Lagrange multipliers without permanent scarring] Explanation with focus on the
intuition" (http://nlp.cs.berkeley.edu/tutorials/lagrange-multipliers.pdf) (PDF).
nlp.cs.berkeley.edu. University of California, Berkeley.
Sathyanarayana, Shashi. "Geometric representation of method of Lagrange multipliers" (htt
p://demonstrations.wolfram.com/GeometricRepresentationOfMethodOfLagrangeMultipliers).
wolfram.com (Mathematica demonstration). Wolfram Research. "Needs Internet Explorer /
 Firefox / Safari." — Provides compelling insight in 2 dimensions that at a minimizing point,
the direction of steepest descent must be perpendicular to the tangent of the constraint
curve at that point.
"Lagrange multipliers – two variables" (http://ocw.mit.edu/ans7870/18/18.02/f07/tools/Lagran
geMultipliersTwoVariables.html). MIT Open Courseware (ocw.mit.edu) (Applet).
Massachusetts Institute of Technology.
"Lagrange multipliers" (http://ocw.mit.edu/courses/mathematics/18-02-multivariable-calculus
-fall-2007/video-lectures/lecture-13-lagrange-multipliers/). MIT Open Courseware
(ocw.mit.edu) (video lecture). Mathematics 18-02: Multivariable calculus. Massachusetts
Institute of Technology. Fall 2007.
Bertsekas. "Details on Lagrange multipliers" (http://www.athenasc.com/NLP_Slides.pdf)
(PDF). athenasc.com (slides / course lecture). Non-Linear Programming. — Course slides
accompanying text on nonlinear optimization
Wyatt, John (7 April 2004) [19 November 2002]. "Legrange multipliers, constrained
optimization, and the maximum entropy principle" (http://www-mtl.mit.edu/Courses/6.050/20
04/unit9/wyatt.apr.7.pdf) (PDF). www-mtl.mit.edu. Elec E & C S / Mech E 6.050 –
Information, entropy, and computation. — Geometric idea behind Lagrange multipliers
"Using Lagrange multipliers in optimization" (http://matlab.cheme.cmu.edu/2011/12/24/using
-lagrange-multipliers-in-optimization/). matlab.cheme.cmu.edu (MATLAB example).
Pittsburgh, PA: Carnegie Mellon University. 24 December 2011.

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